2023-08-31-美联储-违约集群风险溢价及其对跨市场资产定价的启示_32页_500kb

Default Clustering Risk Premium and Cross-Market Asset Pricing Analysis

Abstract and Introduction
This study examines the default clustering risk premium (DCRP), which captures the additional compensation investors demand for bearing risk from correlated defaults in credit markets. Using credit derivatives data (CDS and CDX spreads) from September 2005 to March 2021, the authors isolate DCRP by comparing market-traded CDX tranche spreads with reference spreads derived solely from single-name CDS. DCRP reflects systemic credit risk premiums, with empirical results showing significant increases during the 2007-09 global financial crisis and the COVID-19 pandemic. The research fills a gap in literature by quantifying dynamic correlations and identifying time-varying risk factors.

Methodology
The methodology involves decomposing portfolio default risk into individual and clustering components. DCRP is estimated by:

• Calculating reference tranche spreads from single-name CDS data.
• Comparing them to market-traded CDX senior tranche spreads.
• Using a multivariate geometric Brownian motion model and DCC-GARCH framework to capture default correlations.
  Data includes CDX NA IG index and single-name CDS from Markit, with a 5-year maturity focus for liquidity.

Key Findings

• DCRP time-series dynamics: Averaged 13 basis points, peaked during crises (e.g., Bear Stearns and Lehman Brothers bankruptcies), fell steadily post-2016, and surged during COVID-19. Product restructuring (Series 15) stabilized but reduced average DCRP.
• Cross-market implications: Equity market analysis (controlling for Fama-French factors and momentum) shows stock investors demand additional compensation for DCRP during financial stress periods (e.g., negative CFNAI, positive STLFSI/OFRFSI). DCRP acts as a transient, procyclical risk factor in equity markets.
• Robustness checks confirm DCRP's significance during distressed periods, unaffected by additional controls for volatility, credit spreads, and interbank risk.

Conclusion
The paper quantifies DCRP as a market-implied systemic risk premium, demonstrating its role in asset pricing and financial stability. Contributions include novel extraction methods and insights into crisis perceptions, providing policymakers and investors with tools for better risk management across credit and equity markets.