Volatility information difference between CDS, options, and the cross section of options returns

DOI10.1080/14697688.2020.1814018MaRDI QIDQ4957262zbMATH OpenOpenAlexFDO

Authors Biao Guo, Yukun Shi, Yaofei Xu

Publication date 3 September 2021

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2020.1814018

zbMATH Keywords

CDSequity optionequity returnsimplied volatility

Mathematics Subject Classification ID

Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Recommendations

• Volatility spreads and expected stock returns
• CDS volatility: the key signal of credit quality
• Using equity options to imply credit information
• Cross-section stock return and implied covariance between jump and diffusive volatility
• An implied volatility model determined by credit default swaps

Cites work

• Common risk factors in the returns on stocks and bonds
• Forecasting the term structure of government bond yields
• Hypothesis Testing with Efficient Method of Moments Estimation

Cited in

(4)

• CDS volatility: the key signal of credit quality
• CDS returns
• Volatility spreads and expected stock returns
• Using equity options to imply credit information

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