Credit spread index of fixed income securities in China

Wu Huishan; Jiang Yuanying; Ma Yunqian; Zhang Bo

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Credit spread index of fixed income securities in China

机译：中国固定收益证券的信贷传播指数

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Credit risk of fixed income securities is widely concerned during bond trading and risk monitoring, which can be measured by an important economic indicator credit spreads. This paper establishes a credit spread index by GZ model based on yield-to-maturity data of corporate bonds and government bonds from inter-bank bond market in China. In order to analyze the dynamic characteristics of credit spread index, we use GARCH model with Markov-switching process to fit the volatility of credit spread index data and estimate the unknown parameters by MCMC algorithm. The results show that the credit spread index can well reflect the trends and volatilities of the corporate bond credit spreads.

机译：固定收益证券的信贷风险在债券交易和风险监测期间广泛关注，这可以通过重要的经济指标信贷额来衡量。本文根据公司债券的收益率数据和来自中国银行间债券市场的政府债券的收益率数据，建立了GZ模型的信贷差价指标。为了分析信用传播指数的动态特征，我们使用带有马尔可夫切换过程的Garch模型来符合信用率扩展指标数据的波动性，并通过MCMC算法估算未知参数。结果表明，信贷差价率可以很好地反映了公司债券信贷差价的趋势和挥发性。

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来源
《Soft computing: A fusion of foundations, methodologies and applications》 |2018年第17期|共6页
作者
Wu Huishan; Jiang Yuanying; Ma Yunqian; Zhang Bo;
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作者单位

Capital Univ Econ &

Business Sch Stat Beijing Peoples R China;

Guilin Univ Technol Coll Sci Guangxi Peoples R China;

Minist Agr Inst Food &

Nutr Dev Beijing Peoples R China;

Renmin Univ China Sch Stat Ctr Appl Stat Beijing Peoples R China;

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原文格式 PDF
正文语种 eng
中图分类计算机软件;
关键词
Fixed income securities; Credit spread index; Credit risk; Markov-switching;

机译：固定收益证券;信用差价指数;信用风险;马尔可夫切换;

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1. Credit spread index of fixed income securities in China [J] . Wu Huishan, Jiang Yuanying, Ma Yunqian, Soft computing: A fusion of foundations, methodologies and applications . 2018,第17期

机译：中国固定收益证券的信贷传播指数
2. Changes in volatility of credit spread and market efficiency during rapid growth of credit-related securities [J] . Hessel C., Wang J. Quantitative finance . 2010,第5期

机译：信贷相关证券快速增长期间信贷利差波动和市场效率的变化
3. Changes in volatility of credit spread and market efficiency during rapid growth of credit-related securities [J] . ChristopherHesselaJunWanga* Quantitative Finance . 2010,第5期

机译：信贷相关证券快速增长期间信贷利差波动和市场效率的变化
4. Research on Micro-Credit Impact on Farmers' Income: Relevance, Question and Measurement: A Case from the Areas in Western China [C] . Dehong Lu, Jin Tao, Zhang Lei 2010 International Conference on E-Product E-Service and E-Entertainment . 2010

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5. Three essays on the pricing of fixed income securities with credit risk. [D] . Li, Xiaofei. 2004

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Credit spread index of fixed income securities in China

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