基于信用利差的企业债券定价模型
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摘要
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.
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.
引文
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[4] 曹勇,李孟刚,李刚,等.基于信用利差与Logistic回归的公司违约概率测算模型与实证研究[J].运筹与管理,2016,25(6):209-213.
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[2] 任学敏,姜礼尚,梁进.信用风险估值的数学模型与案例分析[M].北京:高等教育出版社,2014.
[3] 王琼,袁泽沛,冯宗宪.基于违约过程的企业债券定价模型研究[J].武汉理工大学学报,2006,28(2):104-107.
[4] 曹勇,李孟刚,李刚,等.基于信用利差与Logistic回归的公司违约概率测算模型与实证研究[J].运筹与管理,2016,25(6):209-213.
[5] 王玉文,刘冠琦,王紫,等.随机金融数学引论[M].北京:科学出版社,2015.