讲座题目：Information content of implied volatility and associated trading strategies

主讲人：石玉坤  英国格拉斯哥大学

讲座时间：2022年3月9日（ 星期三）16:00-17:30

讲座地点：中关村教学楼S302（线下）；腾讯会议ID：292 279 888（线上）

内容摘要：Using the theoretical link between put options and credit default swaps (CDS) in a very general setting, we develop a robust measure of CDS implied volatility (CIV) that captures the information content of CDS markets. Specifically, we use the unit recovery claim to bridge CDS and deep out-of-the-money put options of the same firm and then back out CIV via the binomial tree. Our CIV measure strongly co-moves 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 cannot be explained by non-parametric skewness and volatility risk.

主讲人简介：石玉坤博士（注册金融分析师）现为英国格拉斯哥大学亚当斯密商学院金融学副教授、博导。他的研究方向为碳金融、量化金融、金融科技和公司金融。石博士现担任留英留欧华人经济学家协会常务理事及苏格兰分会主席，国际金融与银行协会亚洲理事。他同时也是亚洲开发银行研究院、注册金融分析师（CFA）机构、英国国家统计局、穆迪分析、欧洲复兴开发银行等机构的培训师及学术顾问，并担任国内数所一流高校的客座教授。石博士已经发表学术论三十余篇，经常在国际学术会议上担任主旨演讲人并担任国际期刊编辑。