学术活动

ACADEMIC ACTIVIYTIES
Image

TBSI湾区智荟讲堂第七十一讲丨科研研讨会【南山智园】

  1. 报告主题:A URC bridged CDS implied volatility and associated trading strategies
  2. 报告人:Prof Yukun Shi
  3. 主持:

注:本讲座为计入学分的科研研讨会(Research Seminar)


时间

————————————

2018年12月3日(周一) 2:30-4:30 p.m.


报告摘要

————————————

We propose a new measure of the implied volatility of Credit Default Swap (CDS): CIV. Specifically, we employ the unite recovery claim to bridge CDS and deep out-of-the-money put options of the same company, and back out CIV via the binomial tree. Our CIV measure strongly commoves with the Option Implied Volatility (OIV), with a correlation coefficient of 0.8. Based on the standardized difference between CIV and OIV, we construct CDS and option trading strategies. Without taking transaction costs into account, the long-short CDS trading strategy achieves an annualized return of 58.29% and a Sharpe ratio of 2.97, which can hardly be explained by non-parametric skewness and volatility risk.



报告人简介

————————————

Yukun Shi holds a PhD in Finance from Durham University and is a CFA Charter holder. He is currently an Associate Professor in Accounting and Finance at Adam Smith Business School, University of Glasgow. Prior to coming to Glasgow, he taught at the University of Leicester and Middlesex University. His research interests lie in energy and environmental finance, derivatives markets, risk management, asset pricing, corporate finance and fintech. Dr. Shi is also an academic consultant in Moody’s Analytics.



参与方式

————————————

欢迎TBSI各研究中心师生、社会公众及产业界人士参加。校外人员请扫描下方二维码登记信息(姓名、单位、联系电话、身份证号)。讲座语言为英文。