Explaining credit default swap premia

Explaining credit default swap premia This article proposes a simple approach for explaining credit default swap premia. Specifically, it investigates the effects of historical and option‐implied equity volatility on credit default swap premia, thus extending an idea proposed by Campbell and Taksler (in press) in the context of corporate bond yields. Using panel data of credit default swaps on 120 international firms from 1999 to mid‐2002, it becomes evident that option‐implied volatility is a more important factor in explaining variation in credit default swap premia than historical volatility. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:71–92, 2004 http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Futures Markets Wiley

Explaining credit default swap premia

The Journal of Futures Markets, Volume 24 (1) – Jan 1, 2004

Loading next page...
 
/lp/wiley/explaining-credit-default-swap-premia-Ef4O9nNh75
Publisher
Wiley
Copyright
© 2004 Wiley Periodicals, Inc.
ISSN
0270-7314
eISSN
1096-9934
D.O.I.
10.1002/fut.10112
Publisher site
See Article on Publisher Site

Abstract

This article proposes a simple approach for explaining credit default swap premia. Specifically, it investigates the effects of historical and option‐implied equity volatility on credit default swap premia, thus extending an idea proposed by Campbell and Taksler (in press) in the context of corporate bond yields. Using panel data of credit default swaps on 120 international firms from 1999 to mid‐2002, it becomes evident that option‐implied volatility is a more important factor in explaining variation in credit default swap premia than historical volatility. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:71–92, 2004

Journal

The Journal of Futures MarketsWiley

Published: Jan 1, 2004

References

  • On the pricing of corporate debt: The risk structure of interest rates
    Merton, Merton

You’re reading a free preview. Subscribe to read the entire article.


DeepDyve is your
personal research library

It’s your single place to instantly
discover and read the research
that matters to you.

Enjoy affordable access to
over 18 million articles from more than
15,000 peer-reviewed journals.

All for just $49/month

Explore the DeepDyve Library

Search

Query the DeepDyve database, plus search all of PubMed and Google Scholar seamlessly

Organize

Save any article or search result from DeepDyve, PubMed, and Google Scholar... all in one place.

Access

Get unlimited, online access to over 18 million full-text articles from more than 15,000 scientific journals.

Your journals are on DeepDyve

Read from thousands of the leading scholarly journals from SpringerNature, Elsevier, Wiley-Blackwell, Oxford University Press and more.

All the latest content is available, no embargo periods.

See the journals in your area

DeepDyve

Freelancer

DeepDyve

Pro

Price

FREE

$49/month
$360/year

Save searches from
Google Scholar,
PubMed

Create folders to
organize your research

Export folders, citations

Read DeepDyve articles

Abstract access only

Unlimited access to over
18 million full-text articles

Print

20 pages / month

PDF Discount

20% off