中国企业债信用利差期限结构影响因素研究

Common Factors for Term Structure of Chinese Corporate Bonds’ Credit Spreads

信用利差期限结构的特征及其共同决定因素可以揭示信用违约的来源、集中度,以及违约相关性的本质,其研究对于信用产品的评级、定价、交易和风险管理都至关重要。通过主成分分析对中国企业债的信用利差期限结构的特征及变化进行了研究。比较2016年前后信用利差情况,研究发现:决定信用利差变化的潜在共同因素存在差异。2016年之前,我国信用利差期限结构与利率期限结构类似,与资金面变化密切相关,没有体现对信用风险的定价作用;2016年之后,信用利差体现了信用等级和波动的信息,开始表现出与经济周期和信用变化的相关性。中国信用债市场风险结构正从原来单一的利率风险结构向利率与信用风险并存的二元风险结构转变。

Characteristics of and common factors for term structure of credit spreads can reveal the essence of correlated default,sources and degree of default clustering.Understanding the term structure is particularly important for rating,pricing,and risk management of corporate debt portfolio.We examine the common factors that determine systematic credit risk with the principal component analytic method.Evidences suggest that there are distinctly different common latent factors around 2016.The term structure of credit spread is similar to that of interest rate before the year of 2016,which is more related to capital quantity other than default risk premium.But after 2016,the credit spread contains information of credit rate,fluctuation,and business cycle.These evidences show that the Chinese market is being transformed from a single interest rate risk to a state where interest rate risk and credit risk coexist.