题目：Market Segment between CDS and Option Markets
石玉坤副教授，英国格拉斯哥大学亚当·斯密商学院副教授。研究领域为大数据分析和金融技术、企业融资、能源经济与金融、对冲基金和要素投资、风险管理。已在Journal of International Financial Markets, Institutions and Money、International Review of Financial Analysis、 Energy Economics、European Journal of Finance 等国际期刊上发表文章。
This paper examines the comovement between CDX curve and S&P 500 index’ option volatility surface. We connect reduced-form no arbitrage model with N-S model on hazard rate implied from CDX curve. In particular, we use deterministic linear function to model volatility surface, while applying N-S model on hazard rate implied from CDX curve. Level, slope and curvature among two markets are hidden states extracted by Kalman Filter. We find changes in level, slope and curvature in CDX curve and those in volatility surface are correlated due to the bridge of S&P 500 index return. After controlling index returns, the correlations between credit factors and volatility factors mostly disappear or significantly decrease. Comovement between CDX curve and S&P 500 index’s volatility surface is enhanced after 2008 financial crisis.