基于市场定价测算信用评级指标权重

Applying weighted credit ratings to market pricing

一般而言，投资者会参考一系列指标来综合评估企业债券的信用水平，合理设定这些指标的权重是相对准确地衡量债券信用水平的关键。文章基于有效市场假定，在分类梳理备选信用指标的基础上，将由加权信用指标计算的债券信用估值差异与债券实际收益率差异进行拟合，以此确定最优的信用指标权重组合，以期为简要分析企业信用资质和债券定价判断提供一个参考。

In general, investors will make reference to a series of indexes to comprehensively assess the credit condition of corporate bonds. The key to accurately assess the credit condition of the bonds is to properly set the weights of these indexes. Based on efficient market hypothesis and categorization of selected credit indexes, the article compares the estimated difference of bond credit calculated by using weighted credit indexes with the actual difference of the bond yields to determine the best credit index weight, and to provide reference for the analysis of corporate credit and bond pricing.