원문정보
초록
영어
We study empirical evidence on credit contagion in the U.S. CDS market. To investigate both intra- and cross-industry credit contagion e ect embedded in CDS spreads, we construct `hypothetical' industry-wide credit portfolio using an extensive cross-sectional corporate CDS data. Modeling portfolio losses by bivariate Hawkes (1971) processes which are appropriate to explain defaults clustered in time, we price the industry-wide portfolio and extract the market information. As a result, we nd that systemic credit risk of the nancial sector sharply increases during the nancial crisis and it is substantially contagious to non- nancial sectors. Most of the highly increased CDS spreads in non- nancial sectors are owing to the contagious systemic credit risk, which con rms that CDS market participants request high premiums to compensate contagion risk from nancial institutions. In addition, while investors optimistically anticipate that the big event (causing 38% of the nancial institutions to default) would occur once in 1,753 years in 2006, their view is radically altered into once in 194 years, 4.72 years and 1.49 years in 2007, 2008 and 2009, respectively as the crisis progresses.
목차
1 Introduction
2 Model
2.1 Portfolio loss processes
2.2 Intensity processes
2.3 Pricing of CDS indices
3 Data
4 Empirical Study
4.1 Estimation method
4.2 Estimation results
4.3 Fitted intensities and conditional jump sizes
5 Concluding remarks
Appendix
References
Figure
Table