신용위험에 따른 선물시장의 가격관계와 영향

The Price Relationship and Its Effect in the Futures Market According to Credit Risk

Purpose– The purpose of this research is to confirm that borrowing interest rate affects futures price relationship. This research provided the borrowing implied interest rate from the improved futures price relationship and this research confirmed whether this had a risk premium. In addition, the relationship between risk premium and credit risk was determined by empirical analysis. Design/methodology/approach– This research provides an improved futures price relationship from traditional futures price theory. Concretely, this research separated interest rate as borrowing and investment rate and this research considered margin of futures contract, short selling from underlying asset for no arbitrage conditions as mentioned in the improved futures price theory. Also, this research explores empirical analysis with an improved futures price relationship. Findings–Results showed first that borrowing implied interest rate from improved futures price relationship has a risk premium. When this research compared the borrowing implied interest rate and risk-free interest rate, borrowing implied interest rate was found to be higher than the risk-free interest rate. Second, risk premium calculated by the borrowing implied interest rate and the risk-free interest rate is affected by credit risk. Research implications or Originality– These results imply that additional factors such as credit risk, margin of futures and condition on short selling of underlying asset need to reflect on the futures price relationship. Finally, this theory should be used in financial markets because the futures price was affected these factors, particularly, the borrowing interest rate in the futures market.