2020 Fiscal Year Final Research Report
Pricing and forecasting of sovereign CDS premium with stochastic risk-free rate and default intensity
| Project/Area Number |
18K01707
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Review Section |
Basic Section 07060:Money and finance-related
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| Research Institution | Musashi University |
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Principal Investigator |
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| Project Period (FY) |
2018-04-01 – 2021-03-31
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| Keywords | ソブリンCDS / quanto CDS / Fractional Step Methods / 国債 / リスクフリー・レート / デフォルト強度 |
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| Outline of Final Research Achievements |
A unified model that consistently evaluates sovereign credit default swap (CDS) quanto and government bonds is developed. By product, a new procedure is proposed to calibrate stochastic processes for the risk-free interest rate and the sovereign default intensity to sovereign CDS quanto spreads and government bond yields. Fractional step methods are applied to solve a partial differential equation (PDE) for derivative prices, which cannot be solved using a standard finite difference method due to a cross derivative term. An empirical study is conducted on United States, German and Portuguese CDS quanto spreads in the midst of the European sovereign debt crisis and reveals that sovereign CDS quanto spread differentials are partially explained by introducing a correlation between the risk-free interest rates and the sovereign default intensity.
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| Free Research Field |
金融工学，数理ファイナンス
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| Academic Significance and Societal Importance of the Research Achievements |
米国，ドイツなどの国債は重要な投資対象であり，ソブリン危機が発生するまでは無リスク資産と見なされてきた．しかしながら，ソブリン債務危機は国債のクレジット・リスクを顕在化した．その結果，投資家は，国債のクレジット・リスクをヘッジするために，ソブリンCDSを購入している．国債とソブリンCDSは共にリスクフリー・レートとデフォルト強度を原資産とするデリバティブと解釈できるが，別々に価格評価がされてきた．本研究成果により，国債とソブリンCDSを統一的にリスク評価と管理を可能にし，さらに，クォートする通貨によって異なるソブリンCDSプレミアム差を説明できる．
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