论文标题
公平基础：减少形式框架中的资金和资本
The Fair Basis: Funding and capital in the reduced form framework
论文作者
论文摘要
负面的贸易进入较长的债券职位，并通过信用违约掉期（CDS）对债券发行人购买保护，旨在凭借债券-CD的基础，以套利利润为目标。对于经典的模型理论家而言，基础的存在是异常或仅流动性噪声。但是，这种观点无法解释金融危机期间发生的大量基础交易损失。 CD在具有债券回购融资的动态差价模式下连续地对冲的债券，我们发现由于信贷相关性而无法多样化，毫无根据和不可降低的剩余跳跃到违约风险。必须采用一种经济资本方法，并对以下资本使用进行指控。与对冲资金成本一起，它使我们能够更好地了解基础的经济学并预测其公平水平。
A negative basis trade enters a long bond position and buys protection on the issuer of the bond through credit default swap (CDS), aiming at arbitrage profit due to the bond-CDS basis. To classic reduced form model theorists, the existence of the basis is an abnormality or merely liquidity noise. Such a view, however, fails to explain large basis trading losses incurred during the financial crisis. Employing a bond continuously hedged by CDS under a dynamic spread model with bond repo financing, we find that there is unhedged and unhedgeable residual jump to default risk that can't be diversified because of credit correlation. An economic capital approach has to apply and a charge on the use of capital follows. Together with the hedge funding cost, it allows us to better understand the basis's economics and to predict its fair level.
