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Contingent Claims and Hedging of Credit Risk with Equity Options
dc.contributor.author | Avino, Davide | |
dc.contributor.author | Salvador, Enrique | |
dc.date.accessioned | 2024-06-12T15:42:25Z | |
dc.date.available | 2024-06-12T15:42:25Z | |
dc.date.issued | 2024 | |
dc.identifier.citation | AVINO, Davide E.; SALVADOR, Enrique. Contingent Claims and Hedging of Credit Risk with Equity Options. The Review of Asset Pricing Studies, 2024, vol. 14, núm. 2. p. 310-348 | ca_CA |
dc.identifier.issn | 2045-9920 | |
dc.identifier.issn | 2045-9939 | |
dc.identifier.uri | http://hdl.handle.net/10234/207803 | |
dc.description.abstract | Using contingent-claims valuation, we introduce novel hedge ratios for credit exposures using put options. Option hedge ratios are generally in line with the empirical sensitivities of credit spread changes to put option returns and, relative to stock hedge ratios, produce further reductions in volatility for a portfolio of North American firms. We show that option hedge ratios capture option-specific credit exposure related to the VIX index and the default spread, which is unaccounted for by Merton’s (1974) equity hedge ratios alone. Combining stocks and put options for credit risk hedging can be done effectively using the volatility smirk. (JEL E43, E44, G10) | ca_CA |
dc.format.extent | 39 p. | ca_CA |
dc.format.mimetype | application/pdf | ca_CA |
dc.language.iso | eng | ca_CA |
dc.publisher | Oxford University Press | ca_CA |
dc.rights | © The Author(s) 2024. Published by Oxford University Press on behalf of The Society for Financial Studies. This is an Open Access article distributed under the terms of the Creative Commons Attribution License (https://creativecommons.org/licenses/by/4.0/), which permits unrestricted reuse, distribution, and reproduction in any medium, provided the original work is properly cited. | ca_CA |
dc.rights.uri | http://creativecommons.org/licenses/by/4.0/ | ca_CA |
dc.title | Contingent Claims and Hedging of Credit Risk with Equity Options | ca_CA |
dc.type | info:eu-repo/semantics/article | ca_CA |
dc.identifier.doi | https://doi.org/10.1093/rapstu/raae005 | |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | ca_CA |
dc.relation.publisherVersion | https://academic.oup.com/raps/article/14/2/310/7624689 | ca_CA |
dc.type.version | info:eu-repo/semantics/publishedVersion | ca_CA |
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Excepto si se señala otra cosa, la licencia del ítem se describe como: © The Author(s) 2024. Published by Oxford University Press on behalf of The Society for Financial Studies.
This is an Open Access article distributed under the terms of the Creative Commons Attribution License (https://creativecommons.org/licenses/by/4.0/), which permits unrestricted reuse, distribution, and reproduction in any medium, provided the original work is properly cited.