信用利差

在计算方面，我们运用快速傅里叶变换以及逆变换给出了CDO参考资产池损失的计算方法，并且做了数值模拟，在此基础上就可以得到CDO各分券层的合理信用利差。

As for calculation , we apply Fast Fourier Transform and the inverse transform to give the calculation method of CDO reference assets pool loss , carry out numerical simulation and on this basis obtain the fairy credit spread of every CDO tranche . 2 .

信用利差从定义上可以表述为企业债券收益率与相同剩余期限国债收益率的差值。

Credit spread can be defined as the difference between enterprise bond yield and government bond yield that have the same remaining maturity .

本文首先以基于信用利差的信用违约互换定价强度模型为理论基础，通过计算机模拟了简化条件下的房贷市场CDS交易过程。

In this paper , based on the principles of the reduced-form models and the mortgage market , there is a CDS trading process by computer simulation on simplified conditions .

首当其冲的是南欧国家，这些国家的主权债券相对于德国国债（Bund）的信用利差，从370个基点（意大利）到1960个基点（希腊）不等。

The burden is primarily on southern Europe , where sovereign bond credit spreads ( relative to the German Bund ) range from 370 basis points ( Italy ) to 1,960 basis points ( Greece ) .

信息非完全时的信用利差期限结构

The Term Structure of Credit Spread with Incomplete Information

基于信用利差期限结构的企业债券定价研究

Study on the Corporate Bond Pricing Based on the Term Structure of Credit Spreads

通货膨胀对固定收益证券到期收益率和信用利差的影响：基于中国的实证研究

The Influence of Inflation on the Yield to Maturity and Credit Spread of Fixed-income Securities

然后通过信用利差及定价模型验证了内部评级的有效性。

Then this thesis uses yield spread and pricing model to validate the effectiveness of the internal raing .

此外，定量宽松货币政策可能进一步刺激风险偏好，这可能会利好信用利差。

In addition , further quantitative easing could boost risk appetite , which may be positive for credit spreads .

信用利差扩大50个基点，回到三月份贝尔斯登破产时的水平。

Credit spreads widened by50 basis points , returning to levels that were set during the Bear Stearns collapse in March .

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。

In succession , under the framework of reduced-form model , this paper builds an improved corporate bonds pricing model based on term structure of credit spreads .

此外还得到了从A企业债信用利差受过去的外部扰动的影响程度大于AA+企业债。

The results also reflect the impact of AAA corporate bonds credit spread influenced by external disturbances in the past is greater than AA + corporate bonds .

摘要运用违约风险评估的结构化建模方法，在信息不完全的情形下推导了风险零息票债券的定价公式，并得到了此时信用利差的期限结构。

Applying structural approach to modeling default risk , the pricing of default risk zero-coupon bond and a credit spread term structure under incomplete information is developed .

信用利差是信用债券收益率超过无风险收益率的部分，是投资者承担企业违约风险而要求的超额收益率。

Credit Spread is the excess return of credit bond yield over risk-free rate , which is compensated for the default risk of the company investors bear .

从宏观数据出发来分析经济金融因素对基准利率和信用利差的影响，本文提供了一个内部一致的分析框架。

Proceeding to analyze the data from the macro-economic and financial market on benchmark interest rates and credit spreads , the article shows a internally consistent analytical framework .

但是存在抵押资产组合时的信用利差可能小于也可能大于单一抵押资产时的信用利差，这就需要我们选择恰当的资产组合，使得减小抵押风险的同时可以减小信用风险。

But the credit spreads with collateral portfolio may larger or smaller than that with single collateral , so this need us select suitable portfolio to reduce the credit risk .

目前，学术界所研究的企业债券、市政债券和高收益债券信用利差的影响因素主要包括宏观因素、区域因素、债券自身因素、财务因素和其他因素。

The factors influencing the credit risk of corporate bonds , municipal bonds , and high-yield bonds include macro factors , regional factors , bond factors , financial factors and other factors .

实证结果显示我国企业债市场是可以通过对信用利差的波动特征分析，预测其未来的走势。

The empirical results show Chinese corporate bonds market is effective , that is to say , we can predict the future trend of credit spreads according to analyzing current characteristics on them .

信用利差（即高于无风险利率的风险溢价）被放大到前所未有的程度，并且导致股票市场充斥着恐慌情绪。

Credit spreads that is to say , the risk premium over and above the riskless rate of interest widened to unprecedented levels and eventually the stock market also was overwhelmed by panic .

信用利差是指为了补偿企业债务到期违约风险，债权人要求债务主体提供高于相同期限结构国债收益率的额外收益。

Credit spreads in order to compensate for corporate debt maturity default risk , and the creditor requires the debts the main additional revenue which is higher than the same term structure of bond yields .

在总结出债券收益率及信用利差与经济周期的关系之后，本文利用投资回报率这一衡量投资价值的指标，对不同经济周期内的各类券种进行了比较。

According to the relationship between bond yield , credit spread and economic cycle , we measured and compared the type of bonds in different economic phases by using investment return rate as the indicator .

与此同时，信用利差的预测效果还不是十分理想，应进一步完善我国债券市场，以使信用价差期限结构成为更有效的宏观经济预测指标。

Meanwhile , credit spreads prediction effect is not very ideal . So China securities market should be further perfected . And to make the term structure of credit spreads to become more effective macroeconomic forecasting index .

其中，收益率曲线斜率、广义货币供应量以及股市市值均对信用利差综合指数产生负向影响，而无风险利率对信用利差综合指数具有显著的正向影响，与理论解释恰恰相反。

The slope of the yield curve , M2 and the stock market value are all negatively related to credit spread , while the default-free rate is positively related to it , which is opposite to the theory .

影响信用利差的因素很多，理论界的学者在长期的研究中也没有得到统一的结论，因此信用利差之谜一直是学者试图解决的问题。

Many factors affecting the credit risk , there is no unified conclusion made by the theoretical circles of scholars in the long-term studies . Scholars have been trying to solve the problem of the mystery of credit spreads .

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。

This kind of pricing model not only helps to build the term structure of credit spreads which is fit for the financial market status in China , but also helps to price the credit derivatives such as asset-backed securities .

无套利定价模型和风险中性因子的应用，把经济因子与国债收益率、企业债信用利差的期限结构联系起来，形成统一的分析框架。

Furthermore , by the use of no-arbitrage pricing model and the application of risk-neutral factors , the economic factors is associated with the term structure of Treasury yields and corporate bond credit spreads , and it get a unified analytical framework .

本文所研究的我国企业债券信用利差的宏观影响因素包括利率、股票市场指数回报率、股票市场波动率几个宏观经济变量，考察的是我国上海证券交易所流通的企业债券的信用利差。

The macro influencing factors of corporate bond include the macroeconomic variables of interest rates , stock market index returns and stock market fluctuation . Investigated in this paper is the credit spreads of the corporate bond circulated in the Shanghai Stock Exchange market .

假设无风险利率是一个确定性的函数，债权人和股东的信息成本为常数，分析了信息成本对信用利差期限结构的影响。

On the assumption that the spot rate of interest is a deterministic function and the information cost of creditor and shareholder is const , result shows that : the credit spread goes to creditor 's information cost when maturity date goes to zero .

本文在理论阐述的基础上对国内债券市场中期票据的信用利差进行实证分析，以各种宏观指标作为解释变量，得出相关结论并试图通过模型分析找出它们之间存在的内在关系。

This paper did the empirical analysis of the medium-term notes of credit spreads based on the theoretical explanations , and draw relevant conclusions then attempted to identify the inherent relationship that exists between them by models using a variety of macroeconomic indicators as explanatory variables .

可是现有研究表明信用风险因素只能解释信用利差的一小部分，剩下大部分是由其他因素解释，这被称为信用利差之谜。

However , existing research shows that credit risk factors explain only a small part of the credit spread , the rest is mostly explained by other factors , which is called " credit spread puzzle " .