债券流动性与违约风险相关性溢价及实证研究

Bond's liquidity and default risk correlation premium and empirical test

债券的流动性与违约风险都是影响债券溢价的重要因素,然而以往在违约风险最为突出的公司债券定价中却很少考虑两种风险相关性关系的影响,这与发达市场实证经验不符.在已有研究的基础上同时引入两种风险相关性,通过对Copula函数刻画的不同相关性结构情况下公司债券的收益率和风险变化分析,以及对中国短、中、长期公司债券市场数据的实证检验均发现,流动性与违约风险的相关性之间存在显著的正相关性,且对债券利差具有显著的影响和交互作用.

Empirical researches have showed that the liquidity and default risk are correlated in financial mar- kets. However, traditional corporate bond pricing seldom considers this risk correlation even when the market is affected by default significantly. In this paper, we introduce both liquidity and default risk into a unified framework. Based on this expression, we extend the reduced form model by considering the correlation be- tween liquidity and default risk. Theoretical derivation, numerical results and the empirical results based on corporate bond data in Chinese market show that there is a positive correlation between liquidity and default risk, which has a quite important effect and interaction on the spread of corporate bonds.