本文選題：利率期限結構 + 信用價差��； 參考：《北京化工大學》2013年碩士論文

【摘要】：債券的信用價差是刻畫信用等級的重要工具之一，，它可用于為信用級別不同的各種債券及其衍生品定價或套期保值，幫助投資者和監(jiān)管部門做出正確的投融資決策。因此，如何合理計算信用價差具有重要理論與實用價值。本文分別從靜態(tài)利率期限結構模型和動態(tài)利率期限結構模型出發(fā)，通過遺傳算法和卡爾曼濾波法分別求解靜態(tài)與動態(tài)利率期限結構模型，進而得到信用價差的靜態(tài)和動態(tài)期限結構。由此可以很好的描述信用價差的動態(tài)變化過程，這為企業(yè)債券及其衍生品的定價和監(jiān)管部門制定相關政策提供了理論和技術支持。 主要研究工作和創(chuàng)新點如下： 1、通過遺傳算法求解利率期限結構FF模型參數(shù)最優(yōu)值，并應用上交所部分企業(yè)債和國債交易數(shù)據(jù)進行實證研究得到了基于Jarrow信用價差簡化模型下信用價差的期限結構。結果表明該模型所得信用價差更符合實際且適用于計量單個企業(yè)的信用價差。 2、引入仿射期限結構模型，分別用兩因子刻畫無風險利率，兩因子刻畫信用價差，構造了基于仿射期限結構的企業(yè)債券收益率四因子模型，再利用卡爾曼濾波法求解進而得到信用價差的動態(tài)期限結構。通過樣本內和樣本外數(shù)據(jù)的實證研究表明，兩因子的仿射模型能很好地刻畫信用價差的動態(tài)變化。 3、利用已得到的企業(yè)債收益率動態(tài)變化過程對企業(yè)債做了定價分析，取得了較好的效果，這為企業(yè)債券的定價提供了理論及實證基礎。
[Abstract]:The credit spread of bonds is one of the important tools to describe the credit rating. It can be used to price or hedge various kinds of bonds and their derivatives with different credit levels and help investors and regulators to make correct investment and financing decisions. Therefore, how to calculate credit spreads reasonably has important theoretical and practical value. Based on the term structure model of static interest rate and the term structure model of dynamic interest rate, this paper solves the term structure model of static and dynamic interest rates by genetic algorithm and Kalman filter, respectively. Then the static and dynamic term structure of credit spread is obtained. Therefore, the dynamic process of credit spreads can be well described, which provides theoretical and technical support for the pricing of corporate bonds and their derivatives and the establishment of relevant policies by regulators. The main research works and innovations are as follows: 1. The optimal value of FF model parameters of interest rate term structure is solved by genetic algorithm. The term structure of credit spread based on Jarrow credit spread simplification model is obtained by using the transaction data of some corporate bonds and treasury bonds of the Shanghai Stock Exchange. The results show that the credit spread obtained by this model is more practical and suitable for measuring the credit spread of a single enterprise. 2. The affine term structure model is introduced to characterize the risk-free interest rate and the credit spread by two factors, respectively. A four-factor model of corporate bond yield based on affine term structure is constructed, and then the dynamic term structure of credit spread is obtained by using Kalman filter method. The empirical study on the data inside and outside the sample shows that the affine model of two factors can well describe the dynamic change of credit spread. 3. The dynamic change process of corporate bond yield is used to analyze the pricing of corporate debt. It provides a theoretical and empirical basis for the pricing of corporate bonds.
【學位授予單位】：北京化工大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51;F224

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