基于信用利差期限结构的企业债券定价研究

Study on the Corporate Bond Pricing Based on the Term Structure of Credit Spreads

在目前中国普遍缺少违约概率和回收率等历史数据的情况下,简约定价模型模拟出的理论价格与市场价格吻合得较为理想,这说明简约定价方法能够较好的反映短期企业债券的内在价值。而且市场对中长期企业债券的不同信用风险的定价信息理论上也可以用类似的方法得到(如中长期企业债券的风险定价可以用中长期的国债作为计量的参照物,其计算程序与短期的一致)。

Given the current situation that China lacks of historical data on recovery rate and default probability, the theoretical price simulated by reduced - form pricing model fits with the market price relatively well. The result indicates that the reduced - form pricing method can better reflect the intrinsic value of the short - term corporate bonds. Moreover,theoretically we ,can also apply similar method to the market pricing of different credit risk of medium and long - term corporate bonds （for example, we can use medium and long -term national bonds as the reference of measurement to price the risk of medium and long- term corporate bonds ,and the computational procedure is consistent with short -term corporate bonds）.