讲座预告 | A URC bridged CDS implied volatility and associated trading strategies （信用违约互换隐含的波动率计算及相关交易策略）

讲座时间：4月25日（周四）09：00

讲座地点：25A511

主讲人：石玉坤

主讲人简介：

石玉坤博士，格拉斯哥大学亚当斯密商学院会计与金融学副教授，杜伦大学金融学博士。特许金融分析师（CFA）。石教授在《European Journal of Finance》，《Journal of International Financial Markets, Institutions and Money》，《International Review of Financial Analysis》等国际重要金融期刊发表论文10余篇，并担任《Quantitative Finance》，《International Journal of Finance and Economics》《European Journal of Finance》等10余本国际重要金融期刊的论文评审人。石教授的研究领域为公司金融、计量金融、能源经济、资产定价，衍生品市场与风险管理。

讲座内容：

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.