公司资产的隐含波动率曲面
Journal of Banking and Finance Volume 112 March 2020
作者：Lidija Lovreta (Department of Finance & Management Control - EADA Business School)
Florina Silaghi (Universitat Autònoma de Barcelona - Campus UAB)
摘要：本文使用2007-2014年间欧洲投资级企业的样本，分析了CDS隐含企业在整体市场水平上的波动情况。 隐含波动率的期限结构从CDS利差的期限结构中被分离，从资金维度而言，由违约点与资产价值之比来代替。我们发现了向下倾斜的期限结构以及负偏斜的性质。对波动率进行主成分分析，结果表明，资产隐含波动率日变化的86%由层次水平、期限结构、偏斜和与货币相关的曲率模式构成。我们还发现，期限结构和市场与资金流动性不足、投资者的风险规避、信息摩擦、需求/供应以及动量有关。
关键词：公司的资产隐含波动率，波动率曲面，CDS价差The surface of implied firm’s asset volatility
Lidija Lovreta (Department of Finance & Management Control - EADA Business School), Florina Silaghi (Universitat Autònoma de Barcelona - Campus UAB)
ABSTRACT
This paper analyzes the surface of CDS implied firm’s asset volatility at the aggregate market level, using a sample of European investment-grade firms during the 2007–2014 period. The term structure of asset implied volatilities is backed-out from the term structure of CDS spreads, while the moneyness dimension is proxied by the ratio of the default barrier to asset value. We find both a downward sloping term structure and a negative skew. Principal component analysis on the entire volatility surface shows that the first four components interpreted as a level, a term structure, a skew and a moneyness-related curvature mode capture 86% of the daily variation in asset implied volatility. We also find that the term structure slope is related to market and funding illiquidity, investors’ risk aversion, informational frictions, demand/supply factors and momentum.
中央财经大学中国资产管理研究中心 中央财经大学中国资产管理研究中心依托于中央财经大学金融学院成立，中心致力于针对中国资产管理市场实践的独立学术研究，为中国资产市场发展提供基于学术研究的政策建议，为中国资产管理机构提供咨询服务。“以学术服务市场，以市场检验学术”，努力打造成在中国资产管理市场中具有一定影响力的智库。
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