基于风险的债券定价评述

Review of Bond Pricing Based on Risk Premium

根据金融市场中收益与风险相对应原则,债券的定价应体现相应的风险补偿。由于利率风险、违约风险、流动性风险是债券所面临的最主要风险,因此,对债券价格中所包含的即期利率、违约风险溢价以及流动性风险溢价进行了系统剖析,进而对基于这3种风险的债券定价模型进行评述,指出其在实际应用中的可行性及存在的不足并从风险补偿角度提出债券定价的未来研究方向。

According to the principle of return-risk correspondence,the fixed price of bond should reflect corresponding risk compensation. The main risks of bond lies in interest rate risk,default risk and liquidity risk. The paper systematically analyzes the bond price which consists of interest rate,default risk premium and liquidity risk premium. Based on the analysis,it points out the feasibility and the shortcomings concerned. Finally,it proposes the future research orientation of bond pricing from the perspective of risk compensation.