| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w22723 |
| 来源ID | Working Paper 22723 |
| Do Rare Events Explain CDX Tranche Spreads? | |
| Sang Byung Seo; Jessica A. Wachter | |
| 发表日期 | 2016-10-10 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | We investigate whether a model with a time-varying probability of economic disaster can explain the pricing of collateralized debt obligations, both prior to and during the 2008-2009 financial crisis. Namely, we examine the pricing of tranches on the CDX, an index of credit default swaps on large investment-grade firms. CDX senior tranches are essentially deep out-of-the money put options because they do not incur losses until a large fraction of previously stable firms default. As such, these products clearly reflect the market’s assessment of rare-event risk. We find that the model can simultaneously explain prices on CDX senior tranches and on equity index options at parameter values that are consistent with the equity premium and with aggregate stock market volatility. Our results demonstrate the importance of beliefs about rare disasters for asset prices, even during periods of relative economic stability. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w22723 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/580396 |
| 推荐引用方式 GB/T 7714 | Sang Byung Seo,Jessica A. Wachter. Do Rare Events Explain CDX Tranche Spreads?. 2016. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w22723.pdf（552KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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