摘要
针对银行间债券市场上对第三方担保债券中隐含的发行人与担保人信用利差相关性量化缺失问题,运用混合Copula函数构建了发行人与担保人信用利差的相关性模型,通过对银行间债券市场上发行人(信用级别AA-)与担保人(信用级别AA+)的实证研究发现,发行人与担保人信用利差具有非对称尾部相关性。
To solve the lack of quantified credit spreads correlation between the issuer and guarantor for third-party guarantee debt in Inter-bank bond market,this paper uses mixed Copula function to construct the correlation model for credit spreads between the issuer and guarantor.Based on the empirical study of issuers（credit rating AA-） and the guarantor（credit rating AA＋） in the inter-bank bond market we find the credit spreads between issuer and guarantor have asymmetric tail correlation.
出处
《科技与管理》
2011年第6期125-127,共3页
Science-Technology and Management
