Option-implied correlation between iTraxx Europe Financials and Non-Financials Indexes: A measure of spillover effect in European debt crisis
Publication in refereed journal

香港中文大學研究人員

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摘要This paper proposes an analytic method to estimate the option-implied correlation embedded in options on the iTraxx Europe CDS indexes. The option-implied correlation is suggested as a measure of the spill-over effect of default risk between the financial and corporate sectors in Europe. In particular, the correlation between the iTraxx Financials and Non-Financials sub-indexes is estimated from options on the iTraxx Main Index, which is considered as a basket option with the two sub-indexes being its underlyings. The abrupt changes of the realized correlation anticipated information of the corresponding option prices. The sovereign default risk, funding liquidity risk, level of risk aversion, and equity market performance are identified to be significant determinants of the option-implied correlation, implying interdependence amongst various markets during the European debt crisis. (C) 2013 Elsevier B.V. All rights reserved.
著者Hui CH, Lo CF, Lau CS
期刊名稱Journal of Banking and Finance
出版年份2013
月份9
日期1
卷號37
期次9
出版社Elsevier
頁次3694 - 3703
國際標準期刊號0378-4266
電子國際標準期刊號1872-6372
語言英式英語
關鍵詞Credit default swaps; European debt crisis; Option-implied correlation; Spillover effect
Web of Science 學科類別Business & Economics; Business, Finance; BUSINESS, FINANCE; Economics; ECONOMICS

上次更新時間 2020-10-08 於 01:43