我国企业债券信用利差研究.docVIP

中国企业债券信用利差研究 ——基于银行间债券市场的B样条联合估计模型 Corporate bond credit spread—Based on B-spline joint estimation model of inter-bank market 李凯峰 指导教师姓名：牛霖琳 助理教授 专 业 名 称： 金 融 学 摘要 企业债券信用利差期限结构是研究企业债券信用风险和定价的重要依据，传统的信用利差估计模型是先分别估计出无风险利率期限结构和具有信用风险的企业债券的利率期限结构，再通过二者相减求得，但是这种单独估计方法常常得出不稳定、结构异常的信用利差曲线，并且和信用利差期限结构理论也不符。而联合估计方法将企业债券期限结构分成无风险部分和信用利差部分，对于无风险部分，所有企业债券都使用和国债相同的期限结构建模，而信用利差部分则分别进行参数节俭化( parsimoniously) 建模，联合估计方法不仅对样本数据信息的利用更加充分，同时也能得出比单独估计更平滑更具有参考价值的信用利差曲线。 本文首先提出一套科学合理的债券样本选择方案，从2009年9月中国银行间债券市场的AAA级和AA级企业债与中短期票据中筛选出比较具有代表性的债种进入样本，接着使用B样条函数分别对单独估计和联合估计的企业债券贴现函数进行建模，实证结果也验证了联合估计的优越性。通过对即期利率和信用利差期限结构的图形和衡量模型优劣的几个统计量的比较发现，在不失曲线拟合度的情况下，联合估计的信用利差曲线具有更平滑、曲线可靠性更强的特点。同时本文还比较了单独估计和联合估计结果对模型参数设定的稳健性，单独估计方法则对模型参数设定相对敏感，而联合估计的结果受参数设定的影响较小，曲线的形状比较一致，这说明信用利差曲线的联合估计方法不仅在结果上更具有参考价值，而且也是一个相对稳健的模型。 关键词：信用利差；联合估计；B样条函数 Abstract Term structure of corporate bond credit spread is valuable for research on corporate bond credit risk and pricing. The traditional method of credit spread is obtained from subtracting independently estimated risk-free and corporate bond term structure which has credit risk. But the credit spread curves results from traditional single-curve method are usually twisted and irregular, which also may contradict with credit spread term structure theory. But joint estimation method divides corporate bond term structure into two parts, risk-free parts, which have a same function form with the Treasury bond and the other is credit spread parts, which are modeled parsimoniously. The joint estimation method uses two features to improve the single-curve method, first it uses the sample data more efficiently and second it could get a smoother and valuable credit spread curve. In this paper, we design a scientific and reasonable program to choose our sample bonds into estimation model, we choose some representative ranked from AAA to AA corporate bonds, medium term notes and commercial papers from Sep. 2009 China inter-bank bond market. And then use B-spline basis function to