基于信用风险模型的公司债券定价研究

发布时间：2018-02-26 10:37

本文关键词： 利率风险信用风险简约模型短期融资券定价　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：我们常认为一个国家资本市场的发达程度标志着它的经济发展水平,资本的配置效率在根本上决定着一国经济的发展历程和前景,是经济活动和发展中的决定性因素。公司债是信用债的主要品种,是资本市场的重要组成部分,在资本市场的发展中有着举足轻重的作用。但因为目前中国债券市场上信用债的成交并不活跃,相关数据匮乏,因而不能提供公司债券定价所需要的对利率风险、信用风险以及流动性风险等的度量所需要较全面和能够反映市场真实情况的数据,进而给研究带来了很大的阻碍。本文首先对债券定价的基本理论进行了讨论,并具体对公司债券价格的主要影响因素进行了相关研究,重点对公司债券的信用风险以及利率风险的定价模型进行了研究。在此基础上,探讨了将随机利率与信用风险相结合的信用风险定价模型——结构模型和简约模型。并在简约模型的框架下构建了一个改进型的基于信用利差期限结构的公司债券定价模型。然后,本文对短期融资券的定价进行了实证研究,研究结果表明,基于信用利差期限结构的公司债券定价模型能够比较好的反映公司债券的实际价格,信用风险能够用市场上观测到的信用价差来体现。这对构建符合中国金融市场实际情况的信用利差期限结构提供了帮助,同时也对资产支持证券等信用衍生产品的定价提供了借鉴。最后,在实证研究结果的基础上,本文分析了现有公司债券定价模型的不足之处,提出了模型在以后的发展中需要进一步完善的地方,并进一步指出了影响公司债券定价发展的中国资本市场中所需要解决的问题。
[Abstract]:We often think that the degree of development of a country's capital market marks its level of economic development, and that the efficiency of capital allocation fundamentally determines the course and prospects of a country's economic development. Corporate bonds are the main types of credit debt and an important part of the capital market. It plays an important role in the development of the capital market. However, because the transaction of credit bonds in China's bond market is not active and the relevant data are scarce, it cannot provide the interest rate risk required for the pricing of corporate bonds. The measurement of credit risk and liquidity risk needs more comprehensive data and can reflect the real situation of the market, which brings great obstacles to the research. Firstly, this paper discusses the basic theory of bond pricing. The main factors affecting the price of corporate bonds are studied, especially the credit risk of corporate bonds and the pricing model of interest rate risk. This paper discusses the pricing model of credit risk, which combines stochastic interest rate with credit risk, and constructs an improved corporate bond based on term structure of credit spread under the framework of simplified model. Pricing model. And then, This paper makes an empirical study on the pricing of short-term financing bonds. The results show that the corporate bond pricing model based on the term structure of credit spreads can better reflect the actual price of corporate bonds. The credit risk can be reflected by the credit spread observed in the market. This will help to construct the term structure of the credit spread in accordance with the actual situation in China's financial market. At the same time, it also provides a reference to the pricing of credit derivatives such as asset-backed securities. Finally, based on the empirical results, this paper analyzes the shortcomings of the existing corporate bond pricing model. It also points out the problems that need to be solved in China's capital market, which affect the development of corporate bond pricing.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

【相似文献】