基于信用利差的企业债券定价模型

Corporate Bond Pricing Model Based on Credit Spreads

对含有信用风险的企业债券定价一直是人们关注的重点,然而信用风险具有非系统性、收益可偏性等特点,这使得企业债券的定价不尽如人意.该文在约化方法下,以一年期国债利率作为无风险利率,同时考虑了公司债券的信用利差.以公司债券的信用利差计算公司的违约概率,进而建立了一个基于信用利差的企业债券信用风险模型,为含有信用风险的企业债券提供一种更为现实的定价方法.

The pricing of corporate bonds with credit risk has always been the focus of attention. However,credit risk has the characteristics of non-systematic and income bias,which makes the pricing of corporate bonds not satisfactory. Under the reduction method,taken the one-year government bond interest rate as the risk-free interest rate,considered the credit spread of corporate bonds,calculated the default probability of the company's credit spreads,a credit spread based on credit spreads is established. Corporate bond credit risk model provides a more realistic pricing method for corporate bonds with credit risk.