基于仿射过程的企业债信用价差期限结构模型

本文选取上海证券交易所2003年至2010年国债和企业债交易数据,通过遗传算法求解五因子利率期限结构模型,分别得到不同期限国债和企业债的收益率时间序列,然后分别用两因子与四因子仿射过程来刻画国债收益率与企业债收益率的动态变化,从而构建债券信用价差的两因子仿射期限结构模型,并运用卡尔曼滤波法求解模型参数,进而预测出企业债信用价差序列.实证结果表明,该仿射模型能够较好地描述企业债信用价差的动态变化,可为企业债及其衍生产品的定价提供方法支持.

Term structure model of corporate bond credit spread based on affine processes

Based on the government bonds and corporate bonds trading data from the Shanghai stock exchange from 2003 to 2010, the time series of the yield of government bonds and corporate bonds to different maturities are obtained by solving five factors term structure model. Then two factors and four factors affine processes are respectively used to describe the dynamic change of treasury yields and corporate bond yields, and two factors model of affine term structure of corporate bond are developed. The parameters of the model can be solved with Kalman filtering method, and the dynamic changes of the corporate bond's credit spreads are predicted. Furthermore, the empirical results show that the affine model can describe the dynamic changes of the corporate bond credit spreads relative perfectly, which can provide the method support for pricing corporate bond and its derivates.