企业债券信用价差度量多参数优化模型

An integrated model for measuring the credit spreads of corporate bonds with multi-parameter optimization

用多参数利率期限结构模型确定的利率期限结构为输入变量,利用Jarrow简化模型确定信用价差,从而给出一种新的企业债券的信用价差度量多参数集成优化模型。同时选取上海证券交易所多个交易日国债和企业债交易数据,通过遗传算法及两次最小二乘法联合估计得到相对精确的模型参数,由此拟合出企业债券发行主体的信用价差方程。最后选用基准方法作为对比,实证结果表明,以价格为输入变量所得信用价差更符合实际且拟合的模型参数更精确。该方法可以用于度量任何债券的信用价差,具有实用推广价值。

It is very important to measure the credit spreads of corporate bonds for bond pricing and risk manage- ment. This paper describes an integrated model for measuring the credit spreads of corporate bonds with multi-pa- rameter optimization, in which the risk-free rates obtained by the term structure model with multi-parameters are in- put as variables, and the credit spreads are determined using Jarrow＇s model. More exact parameters were obtained by solving the model through genetic algorithms and twice least squares estimations, using the trading data of treas- ury bonds and bonds issued by the China Yangtze Power Co. , Ltd. and SINOPEC on the Shanghai Stock Ex- change. In this way, the credit spread equation of corporate bonds was obtained. In order to prove the accuracy of the new method, another data set was also employed. The results showed that the new method is much better than the conventional one, and the parameters of the Jarrow model obtained are more accurate and practical. The credit spread of any bond can be measured and this method should be extensively applied.