信息非完全时的信用利差期限结构  

The Term Structure of Credit Spread with Incomplete Information

作　　者：胡吉卉[1] 简志宏[2] 

机构地区：[1]华中科技大学数学系,湖北武汉430074 [2]华中科技大学经济学院,湖北武汉430074

出　　处：《武汉理工大学学报（信息与管理工程版）》2006年第1期116-119,共4页Journal of Wuhan University of Technology：Information & Management Engineering

基　　金：国家自然科学基金资助项目(70301003)

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。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。结果表明,当到期日趋于零时信用利差恰好趋于债权人的信息成本;当债权人的信息成本增加时会导致信用利差的增加,而当股东的信息成本增加时会导致信用利差的减小。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. 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. The effect of information cost on spread term structure is analyzed, and it shows that credit spread increases with the increasing of creditor＇s information cost while credit spread decreases with the increasing of shareholder＇s information cost.

关 键 词：信息成本 不完全信息 违约风险 信用利差 

分 类 号：F830.91[经济管理—金融学]