基于仿射期限结构的我国债券信用价差建模与实证

发布时间：2018-06-29 10:13

本文选题：利率期限结构 + 信用价差　；参考：《北京化工大学》2013年硕士论文

【摘要】：债券的信用价差是刻画信用等级的重要工具之一，，它可用于为信用级别不同的各种债券及其衍生品定价或套期保值，帮助投资者和监管部门做出正确的投融资决策。因此，如何合理计算信用价差具有重要理论与实用价值。本文分别从静态利率期限结构模型和动态利率期限结构模型出发，通过遗传算法和卡尔曼滤波法分别求解静态与动态利率期限结构模型，进而得到信用价差的静态和动态期限结构。由此可以很好的描述信用价差的动态变化过程，这为企业债券及其衍生品的定价和监管部门制定相关政策提供了理论和技术支持。主要研究工作和创新点如下： 1、通过遗传算法求解利率期限结构FF模型参数最优值，并应用上交所部分企业债和国债交易数据进行实证研究得到了基于Jarrow信用价差简化模型下信用价差的期限结构。结果表明该模型所得信用价差更符合实际且适用于计量单个企业的信用价差。 2、引入仿射期限结构模型，分别用两因子刻画无风险利率，两因子刻画信用价差，构造了基于仿射期限结构的企业债券收益率四因子模型，再利用卡尔曼滤波法求解进而得到信用价差的动态期限结构。通过样本内和样本外数据的实证研究表明，两因子的仿射模型能很好地刻画信用价差的动态变化。 3、利用已得到的企业债收益率动态变化过程对企业债做了定价分析，取得了较好的效果，这为企业债券的定价提供了理论及实证基础。
[Abstract]:The credit spread of bonds is one of the important tools to describe the credit rating. It can be used to price or hedge various kinds of bonds and their derivatives with different credit levels and help investors and regulators to make correct investment and financing decisions. Therefore, how to calculate credit spreads reasonably has important theoretical and practical value. Based on the term structure model of static interest rate and the term structure model of dynamic interest rate, this paper solves the term structure model of static and dynamic interest rates by genetic algorithm and Kalman filter, respectively. Then the static and dynamic term structure of credit spread is obtained. Therefore, the dynamic process of credit spreads can be well described, which provides theoretical and technical support for the pricing of corporate bonds and their derivatives and the establishment of relevant policies by regulators. The main research works and innovations are as follows: 1. The optimal value of FF model parameters of interest rate term structure is solved by genetic algorithm. The term structure of credit spread based on Jarrow credit spread simplification model is obtained by using the transaction data of some corporate bonds and treasury bonds of the Shanghai Stock Exchange. The results show that the credit spread obtained by this model is more practical and suitable for measuring the credit spread of a single enterprise. 2. The affine term structure model is introduced to characterize the risk-free interest rate and the credit spread by two factors, respectively. A four-factor model of corporate bond yield based on affine term structure is constructed, and then the dynamic term structure of credit spread is obtained by using Kalman filter method. The empirical study on the data inside and outside the sample shows that the affine model of two factors can well describe the dynamic change of credit spread. 3. The dynamic change process of corporate bond yield is used to analyze the pricing of corporate debt. It provides a theoretical and empirical basis for the pricing of corporate bonds.
【学位授予单位】：北京化工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

【参考文献】