Regime dependency of credit risk discrepancy: Evidence of the sovereign CDS and Bond markets
<Speaker: 최서준 박사과정, 금융경제학 연구실>
Date & Time: 11월 24 일(금), 5:00pm~
Title: Regime dependency of credit risk discrepancy: Evidence of the sovereign CDS and Bond markets
In the paper, we investigate how the same sovereign credit risk is priced in different types of financial markets: sovereign bond and Credit Default Swap (CDS) markets. The difference between the CDS spreads (price) and the bond spreads is called the CDS-BS basis, which captures the discrepancy of the same credit risk, and is studied to explain why such discrepancy exists using the Markov switching regressions. Then, our study exploits the price discovery measure to discover the relative market efficiency in terms of the informational advantage.
Place : 2504, edu3.0 강의실