基于转移概率矩阵的企业债券定价模型  

Pricing Model of Corporate Bonds Based on Transition Probability Matrix

作　　者：贺思辉[1] 李正宾[1] HE Si-hui LI Zheng-bin(Faculty of Economics and Management, East China Normal University, Shanghai 200241, China)

机构地区：[1]华东师范大学经济与管理学部,上海200241

出　　处：《统计与信息论坛》2017年第1期50-53,共4页Journal of Statistics and Information

基　　金：国家自然科学基金项目<函数型含指标项半参数回归模型的统计分析>(11571112)

摘　　要：企业债券评估的主要方法为结构化风险模型和密度式风险模型,但中国企业债券市场评级数据少、缺乏历史违约事件,因此可以通过对JLT模型进行改进,以加权平均的方式计算经验转移概率矩阵,然后利用市场上各评级债券的时间序列数据计算风险中性违约概率,并通过市场宏观数据判断经济处于上升期还是衰退期,据此计算条件转移概率矩阵,最后通过债券远期折现的方式构建适合中国市场特色的债券定价模型。实证部分选取了2014年部分新发行债券对模型进行了实证检验,并对国内企业债券定价的现状进行了分析。As the corporate bond market of China don＇t have enough credit rating data, and lack of history events of default, the JLT model was improved. Based on the weight average procedure and market time series data of bonds rating, I obtained the experience transition probability matrix and Risk-neutral default probability respectively. Then, Judged whether the economy is on the rising or recession based on the market macro economic data, the conditional transition probability matrix was obtained. Finally, the bond pricing model was built through the discount of the bonds forwards, which is more appropriate for the Chinese market. The bonds issued in 2014 were selected to test the model. Analyzed the current situation of corporate bond pricing in China.

关 键 词：企业债券 信用风险 马尔科夫链 条件转移概率矩阵 修正JLT模型 

分 类 号：O212[理学—概率论与数理统计] F224.0[理学—数学]