中国企业债券信用价差分析

The Analyzing of China Corporate Bonds’ Credit Spreads

在假设不同回收率的基础上,利用信用衍生资产定价中估计信用价差的方法对我国不同发行人的具有不同到期日的债券分别估计了价差,发现我国企业债券市场发展至今已趋于理性,但是估计的价差结果明显偏大,与AAA信用级别不相符,对此做出了相应的分析,并提出了今后的研究方向。

On the basis of different recover rate, we use the method used in pricing credit derivatives in foreign countries to make an empirical test on credit spreads of the different issuers’ corporate bonds which have different maturities, find that the development of China＇s corporate bond market has become more rational, but the result of the estimated spread is clearly large, which does not match the AAA credit rating, finally we make a corresponding analysis and propose future research directions.