基于混合定价模型的中国信用债券利差研究

The Research of China's Credit-risky Bond Spread based on Hybrid Pricing Model

本文运用等价鞅理论建立了一个信用风险的混合定价模型,在该模型中,违约风险与公司资产负债表密切相关,具有结构模型的典型特征,同时引入刻画违约强度的损失大小、发生速度等变量,承继了简约模型的构建思想。本文也对影响债券信用利差的资本结构、信用等级的各种因素进行了数值模拟与实证分析。结果表明,模型能较好地拟合信用利差及其期限结构,对信用债券定价实践具有参考价值。

By applying equivalent martingale theory,the article builds a Hybrid Pricing Model of credit risk in which the default risk is close ly related to the firm's balance sheet.A typical of a structural model,the model keeps in accordance with the reduced model by introducing the size,speed of loss and other variables that depict default intensity.It conducts numerical simulation and empirical analysis of factors that affect bond credit spreads,such as capital structure and credit rating.The results show that the model can fit the term structure of credit spreads well and has a reference value for the pricing practices of credit-risky bonds.