摘要
根据实证文献对信用价差之谜的解答,构建了考虑流动性风险影响的可违约债券定价模型,分离了信用价差中所包含的违约风险与流动性风险,并在此基础上得到了流动性风险调整的信用违约互换定价.由于排除了流动性风险的干扰,实现了对信用违约互换更为精确的定价.利用中国企业债券市场数据,分别估计了考虑流动性风险影响和忽略流动性风险影响下的违约强度参数,并据此计算了两种情况下的互换价格.结果表明,忽略流动性风险会导致对高信用级别公司债券,特别是到期期限较短的高信用级别公司债券违约率的高估,进而造成信用违约互换初始定价的高估.
A pricing model of defauhable bond considering the liquidity risk is proposed according to the empirical literature concerning the credit spread puzzle. This model separates default risk and the liquidity risk involved in bond prices, thus resulting in a liquidity risk-adjusted credit default swap pricing. As the disturbance from the liquidity risk is eliminated, the pricing of the credit default swap with great accuracy is implemented. Meanwhile, the default strength parameters with and without liquidity risk are respectively considered according to the data from Chinese corporate bond market, and the corresponding credit default swap prices are calculated. The results indicate that the neglect of liquidity risk will results in the overestimation of default probability of high-rated bonds, especially those with short maturities, thus further resulting in an overestimation of initial credit default swap prices.
出处
《华南理工大学学报（自然科学版）》
EI
CAS
CSCD
北大核心
2006年第11期117-122,共6页
Journal of South China University of Technology(Natural Science Edition)
