Essays on default contagion in the CDS marketCDS 시장에서의 부도 전염 현상에 관한 논문

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This dissertation consists of three essays on credit default swap(CDS) markets. The first essay develops a model for the pricing of credit portfolios with default contagion in the U.S. corporate CDS market. Using sector-wide CDS portfolio spreads, I investigate how the investors collectively assessed about spillover effects within an industry and contagion effects across industries, providing evidence on default contagion during the 2008 global crisis. I find that the systemic credit risk within the financial sector was so contagious that it cause the other sectors` spreads to sharply increase. The second essay is closely related to the first one in the view of the methodology used. I apply Hawkes-diffusion process to modelling the sovereign CDS spreads during euro-debt crisis. The result shows that the conditional (risk-neutral) probability that big events occur in eurozone substantially increases during the euro-debt crisis even though it stays low during the global financial crisis. The third essay reports an anomaly that CDS slope negatively predicts future stock returns in the Korea market. I find that equity returns on the bottom-quintile slope portfolio outperform that on the top-quartile slope portfolio by 2\% per month. I fail to explain the abnormal stock returns with traditionally standard asset pricing models such as CAPM and Fama-French model. Furthermore, some analyses conducted shows that the abnormal return cannot be explained by credit risk nor credit risk premium.
Advisors
Hyun, Jung-Soonresearcher현정순
Description
한국과학기술원 : 경영공학과,
Publisher
한국과학기술원
Issue Date
2013
Identifier
516868/325007  / 020085042
Language
eng
Description

학위논문(박사) - 한국과학기술원 : 경영공학과, 2013.2, [ iii, 66 p. ]

Keywords

credit default swap; default contagion; Hawkes process; reduced-form approach; 신용디폴트스왑; 부도전염; Hawkes 프로세스; 축약형 모형; CDS 기간구조; CDS term-structure

URI
http://hdl.handle.net/10203/182106
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=516868&flag=dissertation
Appears in Collection
MT-Theses_Ph.D.(박사논문)
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