The Information Content of OTC Individual Put Option Implied Volatility for Credit Default Swap Spreads*

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dc.contributor.authorPark, Yuen-Jungko
dc.contributor.authorKim, Tong-Sukko
dc.date.accessioned2013-03-12T12:25:54Z-
dc.date.available2013-03-12T12:25:54Z-
dc.date.created2012-10-11-
dc.date.created2012-10-11-
dc.date.issued2012-08-
dc.identifier.citationASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, v.41, no.4, pp.491 - 516-
dc.identifier.issn2041-9945-
dc.identifier.urihttp://hdl.handle.net/10203/102321-
dc.description.abstractThis study investigates the information content of implied volatilities extracted from over-the-counter individual equity put options to explain credit default swap (CDS) spreads in the Korean market. Using out-of-the-money put options, we demonstrate that the implied volatility dominates historical volatility in explaining CDS spread variations and that both the predicted future volatility and the volatility risk premium inferred from the implied volatility are significant determinants of CDS spreads in an out-of-sample approach. Moreover, the effects of these variables were especially strong during the global crisis, while the volatility risk premium exhibited a negative sign during that time.-
dc.languageEnglish-
dc.publisherWILEY-BLACKWELL-
dc.subjectEQUITY VOLATILITY-
dc.subjectDETERMINANTS-
dc.subjectYIELDS-
dc.subjectRISK-
dc.titleThe Information Content of OTC Individual Put Option Implied Volatility for Credit Default Swap Spreads*-
dc.typeArticle-
dc.identifier.wosid000307727600004-
dc.identifier.scopusid2-s2.0-84867284219-
dc.type.rimsART-
dc.citation.volume41-
dc.citation.issue4-
dc.citation.beginningpage491-
dc.citation.endingpage516-
dc.citation.publicationnameASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES-
dc.identifier.doi10.1111/j.2041-6156.2012.01080.x-
dc.embargo.liftdate9999-12-31-
dc.embargo.terms9999-12-31-
dc.contributor.localauthorKim, Tong-Suk-
dc.type.journalArticleArticle-
dc.subject.keywordAuthorCredit default swap-
dc.subject.keywordAuthorEquity put option-
dc.subject.keywordAuthorImplied volatility-
dc.subject.keywordAuthorPredicted future volatility-
dc.subject.keywordAuthorVolatility risk premium-
dc.subject.keywordAuthorG11-
dc.subject.keywordAuthorG12-
dc.subject.keywordAuthorG14-
dc.subject.keywordPlusEQUITY VOLATILITY-
dc.subject.keywordPlusDETERMINANTS-
dc.subject.keywordPlusYIELDS-
dc.subject.keywordPlusRISK-
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