Federal Dposit InsuranceCorporation• Center for Financial Researchh
Sanjiv R. Das
Darrell Duffie
Nikunj Kapadia
Risk-Based Capital Standards,
Deposit Insurance and Procyclicality
Risk-Based Capital Standards,
Deposit Insurance and Procyclicality
FDIC Center for Financial Research
Working Paper
No. 2007-08
The Information Content of Option-Implied Volatility
for Credit Default SwapValuation
March 2007
Empirical Comparisons and Implied Recovery Rates
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An Empirical Analysis
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Efraim Benmel Efraim Benmelech May, 2005
June 20
May , 2005 Asset S2005-14
September 2005
Sanjiv R. Das
Darrell Duffie
Nikunj Kapadia
Risk-Based Capital Standards,
Deposit Insurance and Procyclicality
Risk-Based Capital Standards,
Deposit Insurance and Procyclicality
FDIC Center for Financial Research
Working Paper
No. 2007-08
The Information Content of Option-Implied Volatility
for Credit Default SwapValuation
March 2007
Empirical Comparisons and Implied Recovery Rates
kkk
An Empirical
An Empirical Analysis
State-
Efraim Benmel Efraim Benmelech May, 2005
June 20
May , 2005 Asset S2005-14
September 2005
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The Information Content of Option-Implied Volatility for
Credit Default Swap Valuation
Charles Cao Fan Yu Zhaodong Zhong1
First Draft: January 10, 2006
Current Version: March 15, 2007
1 Cao and Zhong are from the Smeal College of Business at the Pennsylvania State University, Email:
charles@loki.smeal.psu.edu, and zxz126@psu.edu. Yu is from the Paul Merage School of Business at the Uni-
versity of California, Irvine, Email: fanyu@uci.edu. We thank Gurdip Bakshi, Michael Brennan, Mikhail
Chernov, Albert Chun, Peter Christofferson, Georges Dionne, Eric Jacquier, Robert Jarrow, Jean Helwege,
Philippe Jorion, Mark Kamstra, Bill Kracaw, Paul Kupiec, Haitao Li, Pascal Maenhout, Daniel Nuxoll,
Maureen O’Hara, Lubos Pastor, Matt Pritsker, Til Schuermann, Stuart Turnbull, Hao Zhou, and semi-
nar/conference participants at BGI, FDIC, HEC Montreal, INSEAD, Michigan State University, National
University of Singapore, Penn State University, Santa Clara University, Singapore Management University,
SUNY-Buffalo, UC-Irvine, University of Houston, UT-Dallas, the McGill/IFM2 Risk Management Con-
ference, the 16th Annual Derivative Securities and Risk Management Conference, the HKUST Finance
Symposium, and the 2007 American Economic Association Meetings in Chicago for helpful comments. We
acknowledge the financial support of the FDIC’s Center for Financial Research.
Credit Default Swap Valuation
Charles Cao Fan Yu Zhaodong Zhong1
First Draft: January 10, 2006
Current Version: March 15, 2007
1 Cao and Zhong are from the Smeal College of Business at the Pennsylvania State University, Email:
charles@loki.smeal.psu.edu, and zxz126@psu.edu. Yu is from the Paul Merage School of Business at the Uni-
versity of California, Irvine, Email: fanyu@uci.edu. We thank Gurdip Bakshi, Michael Brennan, Mikhail
Chernov, Albert Chun, Peter Christofferson, Georges Dionne, Eric Jacquier, Robert Jarrow, Jean Helwege,
Philippe Jorion, Mark Kamstra, Bill Kracaw, Paul Kupiec, Haitao Li, Pascal Maenhout, Daniel Nuxoll,
Maureen O’Hara, Lubos Pastor, Matt Pritsker, Til Schuermann, Stuart Turnbull, Hao Zhou, and semi-
nar/conference participants at BGI, FDIC, HEC Montreal, INSEAD, Michigan State University, National
University of Singapore, Penn State University, Santa Clara University, Singapore Management University,
SUNY-Buffalo, UC-Irvine, University of Houston, UT-Dallas, the McGill/IFM2 Risk Management Con-
ference, the 16th Annual Derivative Securities and Risk Management Conference, the HKUST Finance
Symposium, and the 2007 American Economic Association Meetings in Chicago for helpful comments. We
acknowledge the financial support of the FDIC’s Center for Financial Research.