Abstract
This paper tries to empirically investigate whether the jump risk of Korean stock market may be statistically useful in explaining the Korean CDS (5Y) premium rate. This paper uses the jump-diffusion model with heteroscedasticity to estimate the conditional volatility of KOSPI from 7/2/2007 to 7/30/2010.
The total volatility of Korean stock market is decomposed into a heteroscedasticity and a jump risk by using the jump-diffusion model. The finding is that the jump risk in stead of heteroscedasticity in Korean stock market can explain the Korean CDS premium rate.
Keywords
Citation
Chang, K.-H. and Yoon, B.-J. (2012), "CDS Premium and Jump Risk in Stock Market", Journal of Derivatives and Quantitative Studies: 선물연구, Vol. 20 No. 3, pp. 347-364. https://doi.org/10.1108/JDQS-03-2012-B0004
Publisher
:Emerald Publishing Limited
Copyright © 2012 Emerald Publishing Limited
License
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