期刊文献+

基于期限结构溢价的商业银行信用利差测算模型与实证

Credit spread calculation model for banks based on term structure premium
原文传递
导出
摘要 商业银行的信用利差系指银行债与国债年到期收益率的差额,既反映市场众多投资者对特定银行信用风险程度的认同,又是银行债投资决策的重要依据.通过同一信用等级银行债到期收益率曲线上、不同期限的到期收益率之差确定T一1年的利率期限结构溢价,通过T年期银行债的到期收益率减去T一1年的利率期限结构溢价来确定1年期银行债的到期收益率,建立了基于期限结构溢价的商业银行信用利差测算模型和违约概率测算模型,并对可得到数据的46家商业银行进行了实证研究.本文的创新与特色一是通过用特定银行债T年期的理论到期收益率r_y,T减去收益率曲线上的同一信用级别银行债T-1年利率期限结构溢价r_p,T-1、来确定特定银行债1年期到期收益率r_y,1,解决了现有理论公式仅仅能够测算T年这一整个时段的到期收益率、无法确定特定债券1年期到期收益率、因而无法计算债券利差的难题.二是通过1年期的银行债与国债到期收益率的比较给出各有关银行的实际信用利差,反映资本市场对各有关商业银行信用风险的认同,为银行债的发行定价和投资决策提供依据.三是通过折算到同一基准日的国债与银行债实际到期收益率的比较来反映真实的信用利差,解决了各种债券由于发行日不同而无法进行比较的问题.四是通过实证研究得到了与穆迪公司对我国银行信用风险排序一致的结果,验证了本模型的合理性.实证研究结果表明,四大国有商业银行违约概率最低,地区性的城市商业银行违约概率较高,上市银行的违约概率居中. The credit spread of commercial bank bond and treasury bond. It reflects the credit risk is the difference of yield to maturity between the bank of bank accepted by the investors in the bond market, and is an important reference for bank bonds investment. The term structure premium of T - 1 years is measured by the difference of yields with T year maturity and 1 year maturity on the yield curve of bank bonds. The yield to maturity of 1 year of bank bond is measured by the yield to maturity of T years nfinus the term structure premium of T - 1 years. The calculation models of credit spread and default probabilities of commercial banks are established based on term structure premium of yield to maturity. The innovation and characteristics of the paper are as follows. Firstly, the yield to maturity of 1 year of a specific bank bond ry,1 is calculated by the theoretical yield to maturity of T years of a specific bank bond ry,T minus the term structure premium of T - 1 years on the yield curve of bank bonds with the same credit rate r~,T-1, solving the problem that the theoretical formula can only calculate the yield to maturity of whole period of T years and unable to calculate the yield to maturity of 1 year, thus unable to determine the credit spread of bank bond. Secondly, the real credit comparing the yields to maturity between bank bonds and spreads of commercial banks are calculated by treasury bonds, which reflects the credit risk of banks accepted by the capital market, and provides foundation for issue pricing and investment decision making of bank bonds. Thirdly, the real credit spread is measured by comparing the yields to maturity of bank bond and treasury bond on the same date, solving the problem that the yields of bank bonds issued on different dates are not comparable. Fourthly, the empirical results are consistent with the credit rating orders of the banks in our country by the Moody's company, which verifies the rationality of the models in the paper. The empirical study shows that the default probabilities of the four biggest state owned banks are the lowest, the default probabilities of the regional city banks are comparative higher, and the default probabilities of other listed ballks are mediate.
出处 《系统工程理论与实践》 EI CSSCI CSCD 北大核心 2013年第1期12-24,共13页 Systems Engineering-Theory & Practice
基金 国家自然科学基金(71171031) 中国邮政储蓄银行总行小额贷款信用风险评价与贷款定价(2009-07) 大连银行小企业信用风险评级系统与贷款定价(2012-01)
关键词 信用利差 利率期限结构 期限结构溢价 到期收益率 银行违约概率 credit spread term structure of interest rate term structure premium yield to maturity bankdefault probability
  • 引文网络
  • 相关文献

参考文献24

  • 1Elton E J,Gruber M J,Agrawal D. Explaining the rate spread on corporate bonds[J].Journal of Finance,2001,(01):247-277.doi:10.1111/0022-1082.00324.
  • 2Longstaff F A,Mithal S,Neis E. Corporate yield spreads:Default risk or liquidity? New evidence from the credit default swap market[J].Journal of Finance,2005,(05):2213-2253.
  • 3Wang J B,Wu C C,Zhang F X. Liquidity,default,taxes and yields on municipal bonds[R].Federal Reserve Board,Washington,2005.
  • 4Collin-Dufresne P,Goldstein R S,Martin J S. The determinants of credit spread changes[J].Journal of Finance,2001,(06):2177-2207.
  • 5Chen L,Lesmond D A,Wei J. Corporate yield spreads and bond liquidity[R].Michigan State University,Tulane University,University of Toronto,2005.
  • 6Chakravarty S,Sarkar A. Liquidity in US fixed income markets:A comparison of the bid-ask spread in corporate,government and municipal bond markets[R].Purdue University,Federal Reserve Bank of New York,1999.
  • 7Houweling P,Mentink A,Vorst T. Comparing possible proxies of corporate bond liquidity[J].Journal of Banking and Finance,2005,(06):1331-1358.
  • 8De Jong F,Driessen J. Liquidity risk premia in corporate bond markets[R].Tilburg University and University of Amsterdam,2007.
  • 9Christensen J H E,Diebold F X,Rudebusch G D. The affine arbitrage-free class of Nelson-Siegel term structure models[R].Federal Reserve Bank of San Francisco,2009.
  • 10朱世武,陈健恒.交易所国债利率期限结构实证研究[J].金融研究,2003(10):63-73. 被引量:167

二级参考文献7

  • 1McCulloeh J. Huston. "Measuring, the Term Structure of Interest Rates", Journal of Finance, 1971, Vol. 44, pp. 19 - 31.
  • 2Oldrich. A Vasicek, H Gifford Fong, "Term Structure Modeling using Exponential Splines". Journal of Finance, 1982,Vol. 37, pp.339-348.
  • 3C R Nelson & A F Siegel, "Parsimonious Modeling of Yield Curves". Journal of Business, i987, Vol. 60, pp.473-489.
  • 4T Ho, S Lee, "Term structure movements and pricing interest rate contingent claims", Journal of Finance, 1986, Vol. 41,pp 1011 - 1030.
  • 5Bruce Tuckman. Fixed Income Securities. New Jersey, John Wiley & Sons, Inc. 2002.
  • 6杜海涛.利率期限结构理论与实证研究[J].中国货币市场,2002(10):54-56. 被引量:8
  • 7曹兴华,杨春鹏.中国国债动态收益率曲线的实证研究[J].中国货币市场,2002(12):51-53. 被引量:2

共引文献166

相关主题

;
使用帮助 返回顶部