Les Dérivés de Crédit: Étude Des Répercussions de la Prime de Risque de la Variance (PRV) Sur Les (Credit Default Swap)

Ghada Zgolli (1)

1 CEROS - Centre d'Etudes et de Recherches sur les Organisations et la Stratégie

Using a new dataset of bid and offer quotes for credit default swaps, we investigate the relationship between theoretical determinants of default risk and actual market premia using cross sectional regressions. These theoretical determinants are variance risk premia, implied volatility and the riskless interest rate. We find that estimated coefficients for these variables are consistent with theory and that the estimates are highly significant both statistically and economically. The explanatory power of the theoretical variables for levels of default swap premia is approximately 98%. The explanatory power for the differences in the premia is approximately 64%. Implied Volatility and PRV by themselves also have substantial explanatory power for credit default swap premia. A principal component analysis of the residuals and the premia shows that there is only weak evidence for a residual common factor and also suggests that the theoretical variables explain a significant amount of the variation in the data. We therefore conclude that variance risk premia, volatility and the risk free rate are important determinants of credit default swap premia, as predicted by theory

Mots clés: credit default swap; credit risk; structural model; variance risk premia; implied volatility; historical volatility

Domaines: Economies et finances

Ghada Zgolli. Les Dérivés de Crédit: Étude Des Répercussions de la Prime de Risque de la Variance (PRV) Sur Les (Credit Default Swap). 2012. ⟨halshs-00761733⟩