信息非完全时的信用利差期限结构

The Term Structure of Credit Spread with Incomplete Information

运用违约风险评估的结构化建模方法,在信息不完全的情形下推导了风险零息票债券的定价公式,并得到了此时信用利差的期限结构。假设无风险利率是一个确定性的函数,债权人和股东的信息成本为常数,分析了信息成本对信用利差期限结构的影响。结果表明,当到期日趋于零时信用利差恰好趋于债权人的信息成本;当债权人的信息成本增加时会导致信用利差的增加,而当股东的信息成本增加时会导致信用利差的减小。

Applying structural approach to modeling default risk, the pricing of default risk zero - coupon bond and a credit spread term structure under incomplete information is developed. On the assumption that the spot rate of interest is a deterministic function and the information cost of creditor and shareholder is const, result shows that： the credit spread goes to creditor＇s information cost when maturity date goes to zero. The effect of information cost on spread term structure is analyzed, and it shows that credit spread increases with the increasing of creditor＇s information cost while credit spread decreases with the increasing of shareholder＇s information cost.