Two Essays on Credit Default Swaps

信用衍生性商品於近十年來已快速發展，為反映信用風險管理的迫切需求，本篇論文將以實證的方式探討信用衍生性市場。尤其著重在信用違約交換市場，因其佔信用衍生性市場的交易量高達45％。本篇論文分別討論以下二個議題：第一個議題乃在探討股票報酬率的峰態係數與信用違約交換報酬率的關係。第二個議題乃著重探討拉丁美洲國家的信用違約交換對阿根廷事件的反應。The development of credit derivatives in the past decade has brought about pronounced innovations in the markets. To reflect dramatic demand in managing credit risk, this thesis dedicates to the empirical world of credit derivatives markets. We especially focus on Credit Default Swaps (CDS) market due to its most widely trading in credit derivatives markets, capturing almost 45% of the market shares. This thesis encompasses two essays related to CDS. In the first essay, we attempt to extend empirical explanation of CDS premiums by considering the excess kurtosis of equity return distribution. As well, we show how copula functions can be applied to specify both the dependence structure and the tail relationship between CDS return and kurtosis of equity distribution. We contribute to the better specification of the dependence structure between the CDS return and the corresponding kurtosis, and provide an illustration of its implication which may be misled using conventional methods. In the second essay, we turn to focus on CDS in emerging markets. Thereby, further policy-oriented applications for governments can be extra induced. We empirically study the correlated default at sovereign level in Latin America region due to the eruption of Argentina debt crisis in 2001. A comprehensive understanding of correlated default at sovereign level is of critical importance in several respects. From the government and IMF point of views, the comovement in sovereign credit default swaps can serve as one of the leading indicators of financial crises. From the perspectives of mutual funds and banks, correlated movement which exists in sovereign CDS spreads is regarded as one of the measures of country risk premium. The findings and the associated methodology can provide useful insights not only to policymakers but also to whoever is interested in credit derivatives markets, particularly in emerging markets. From the methodology point of view, applying a copula method to identify the contagion corresponds to the arguments from Bae et. al. (2003) and Dungey and Tambakis (2003), the further challenge is to develop a model for capturing the nonlinear property