CDS 스프레드의 결정요인에 대한 연구An Empirical Analysis on the Determinants of Credit Default Swap Spreads
CDS 스프레드는 회사채 스프레드를 대신하여 신용위험을 측정하는 대용치로 최근에 많이 사용되고 있다. 이에 본 논문에서는 CDS 스프레드의 결정요인에 대한 실증분석을 시도하였으며 연구의 주요 실증분석결과는 다음과 같다. 첫째, 각 회사별 CDS 스프레드 및 CDS 스프레드 차이에 대한 회귀분석에서 추정된 주요 설명변수 계수의 부호가 이론과 일치하였으며 이는 CDS 스프레드가 신용위험을 측정하는 좋은 대용치가 될 수 있음을 시사한다. 둘째, 설명변수 중에서 주가 변동성, 부채비율, 절대 매도-매수 스프레드, 외평채 CDS 스프레드의 설명력이 특히 높았으며 이들 변수만으로 회사채 CDS 스프레드의 약 95%를 설명할 수 있었다. 한편, 이들 변수는 CDS 스프레드 차이의 약 21%를 설명하였는데 이는 잡음이 있는 CDS 스프레드를 차분하면 설명력의 큰 감소가 발생한다는 Ericsson et al.(2009)의 연구결과와 일치한다. 셋째, 2008년 하반기에 발생한 금융위기를 기점으로 각 부표본에 대하여 회귀분석을 실시한 결과에서도 주요변수의 부호가 이론과 일치하여 이론에서 제시된 변수들의 설명력이 재확인되었다.
Estimating and explaining the credit risk has long been a central research question in finance. Structural and reduced-form models are the two most popular approaches in credit risk literature. Both approaches have advantages and disadvantages : while explicitly explaining the mechanism of default, structural models do a poor job in explaining the prices of corporate bonds. On the other hand, the reduced-form models lack of economic rationale for determining the default process despite of the empirical success in pricing the corporate bonds. As an alternative, Collin-Dufresne et al.(2001) identify the determinants of the credit spreads from the structural models, and regress the credit spreads on these determinants to examine the explanatory power of these variables. Following the approach used by Collin-Dufresne et al. (2001), and employing credit default swap (CDS) spread as a proxy of credit risk, this paper investigates the determinants of CDS spreads by regressing the CDS spreadsin level (CDS) and spreads differences (ΔCDS) on the variables such as leverage ratio (Lev), equity volatilities (Vol), jump risk (Jumps), past stock returns (Ret), absolute bid-ask spread (Liq), risk-free rate (Macro), and CDS premium on foreign exchange stabilization bonds issued by Korean government (Macro). Specifically, we use the following regressions.
Estimating and explaining the credit risk has long been a central research question in finance. Structural and reduced-form models are the two most popular approaches in credit risk literature. Both approaches have advantages and disadvantages : while explicitly explaining the mechanism of default, structural models do a poor job in explaining the prices of corporate bonds. On the other hand, the reduced-form models lack of economic rationale for determining the default process despite of the empirical success in pricing the corporate bonds. As an alternative, Collin-Dufresne et al.(2001) identify the determinants of the credit spreads from the structural models, and regress the credit spreads on these determinants to examine the explanatory power of these variables. Following the approach used by Collin-Dufresne et al. (2001), and employing credit default swap (CDS) spread as a proxy of credit risk, this paper investigates the determinants of CDS spreads by regressing the CDS spreadsin level (CDS) and spreads differences (ΔCDS) on the variables such as leverage ratio (Lev), equity volatilities (Vol), jump risk (Jumps), past stock returns (Ret), absolute bid-ask spread (Liq), risk-free rate (Macro), and CDS premium on foreign exchange stabilization bonds issued by Korean government (Macro). Specifically, we use the following regressions.
- Publisher
- 한국금융학회
- Issue Date
- 2010-06
- Keywords
신용 디폴트 스왑; 신용 위험; 신용 스프레드; 채권 스프레드
- Citation
금융연구, Vol.24, No.2, pp.99-128
- Appears in Collection
- KGSF-Journal Papers(저널논문)
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