Financial Management · 11 May 2018

衡量主权风险：CDS价差是否比主权信用评级更好？

作者： Iván M. Rodríguez (Eastern Michigan University in Ypsilanti, MI)

Krishnan Dandapani (Florida International University in Miami, FL)

Edward R. Lawrence (Florida International University in Miami, FL)

摘要：使用12年内54个国家的数据，我们发现，一年内平均主权评级的变化可以被平均信用违约互换（CDS）在过去三年的价差来解释。在CDS价差和主权评级之间的比较中，我们发现CDS价差的变化可以预测主权事件，而评级变化不能。当穆迪和标普对一个国家的评级存在分歧时，CDS价差的可预测性表现更好。

Measuring Sovereign Risk: Are CDS Spreads Better than Sovereign Credit Ratings?

Iván M. Rodríguez (Eastern Michigan University in Ypsilanti, MI), Krishnan Dandapani (Florida International University in Miami, FL), Edward R. Lawrence (Florida International University in Miami, FL)

ABSTRACT

Using data for 54 countries over a 12-year period, we find that the variation in average sovereign ratings in a given year can be explained by average credit default swap (CDS) spreads over the previous three years. In a horse race between CDS spreads and sovereign ratings, we find that CDS spread changes can predict sovereign events, while rating changes cannot. The predictability of CDS spreads is greater when there is disagreement between Moody’s and the S&P for a country’s rating.

原文链接：https://onlinelibrary.wiley.com/doi/full/10.1111/fima.12210

翻译：施懿