信用价差的度量模型及应用

The measurement model of credit spreads and its application

从衡量信用风险的主要工具信用价差的度量作为切入点,分别利用期权定价和KMV理论建立了信用价差度量的2种模型,并基于诸暨债数据,实证评估了其信用价差。研究结果表明,短期内KMV模型度量信用价差更合适,长期这2种方法都趋近于真实数据,模型可为理性的投资决策提供信息,对刻画公司信用风险发挥积极作用。

Taking the evaluation of credit spreads as a breakthrough point which is the main content for assessment of credit risk, two measure models are built by Option Pricing Theory and KMV theory respectively, credit spreads of Zhuji debt are studied based on its actual data. The results show that the KMV model to measure the credit spread is more appropriate in short-term. But in the long term these two methods are both close to the real data. These models provide the essential information to make the right investment decisions and played positive effects for the evaluation of credit risk.