信用利差指数开发的方法研究  

On the Building of Credit Spreads Index

作　　者：毕玉升[1] 王效俐[1] 

机构地区：[1]同济大学经济管理学院,上海200092

出　　处：《金融理论与实践》2008年第7期3-5,共3页Financial Theory and Practice

摘　　要：构造国债收益率和公司债收益率之间的差距即信用利差指数具有重要的意义,不仅为券商和债券投资者提供债券定价依据,还可以度量发债公司的平均信用水平,为宏观经济的运行提供参考。基于多项式样条、指数样条和Nelson-Siegel模型等不同收益率曲线的构造方法,构造了信用利差指数,并对最优参数的估计进行了研究。It has great significant to build credit spreads index which shows the yield spread between treasury bonds and corporate bonds. Credit spreads index is not only the criterion of notes pricing for brokers and investors, but also the measure of corporate credit. It also provides valuable information for macroeconomic operation. This paper gets credit index based on polynomial spline, index spline and Nelson-Siegel model, and investigate the estimation of optimal parameters.

关 键 词：信用利差指数 国债收益率 平均信用水平 

分 类 号：F830.91[经济管理—金融学]