中国违约风险溢酬研究

11ResearchontheDefaultRiskPremiuminChina3610051966,,220592-592092313328311066Email:[e-mail]3610050592-219479413616036900Email:[e-mail],207336100512ResearchontheDefaultRiskPremiuminChina36100522002AbstractTheinvestorsofcorporatebondshavetoundertaketheadditionalriskthatthecorporatewilllosetheabilityofpayingofftheprincipalandinterestanddefault.Sothereturnofcorporatebondsshouldbehigherthantheinterestrateofthesameperiod.Thedifferenceisthedefaultriskpremium.ThispaperusestheestimationresultofZhengandLin(2002)andmakesanempiricaltestonthedefaultriskpremiuminChina’scorporatebondmarket.Theresultsshowtheexistenceofdefaultriskpremium,whichincreasesgenerallywithtimehorizon.Thismatchestherationalinvestmentidea.ButduetothelessdevelopmentofChina’scorporatebondmarket,thepriceofcorporatebondsisunreasonableinsomeextentandinsomeperiods.KeyWords:DefaultRiskPremium,CreditSpread,CorporateBonds,TermStructure20022creditspread3singleestimationjointestimationHouweling2001Houweling2001defaultprobability(recoveryrate)S&P3CartyandLieberman(1996)Merton(1974)HullandWhite(1995)JarrowandTurnbull(1995)TsiveriotisandFernandes(1998)Houweling2001B41411453Hull(2001)420025411142511298031999-06-242003-6-1058.6%1298062000-11-212003-12-2456.95%1299012000-11-212004-10-1253.8%1200012001-09-262005-8-1054%1299042001-01-152006-6-1575.48%1298051999-06-182007-1-1786.2%1299052001-10-092007-9-884.5%1299022000-11-212009-10-13104.5%1299032000-12-182010-7-25104%()1201012001-10-192011-6-17104%()1201022002-04-192016-11-8155.21%2002)(mdm11()()kjjjmaafmd==+∑m=01)0(=d,1,(0)0jaf==6maa=1100∑∑∑===+++=nikjijjkjjjmfaCmfaP0110))(1())(1(100P=)1(100++nC+∑∑==+kjniijjjmfCmfa100))()(100(620025PCn+10mnjmj,...2,1,=)1(100+--=nCPy∑=+=niijjjmfCmfx00)()(100∑==kjjjxay11,1,2,...,kijijijyaxiqe==+=∑,t,)(mfjkjajammmr))(ln()(d-=)()()(21mmmddd+=)(1md)(2md0)0(,)(1)(11=+=∑=jkjjjfmfamd∑==='120)0(),()(kjjjjgmgbmdP=)1(100++nC+∑∑==+kjniijjjmfCmfa100))()(100(+∑∑==+'100)()(100(kjnijjjjmgCmgbja))()(100()1(100001∑∑==+-+--=niijjkjjmfCmfanCPy∑=+=niijjjmgCmgx00)()(100∑=='1kjjjxby'1,1,2,...,kijijijybxiqe==+=∑6MacCulloch(1971)2002913⎪⎪⎭⎪⎪⎬⎫⎪⎪⎩⎪⎪⎨⎧≤≤-=nmmdddmmdmmf222221,210,21)(,1...2,),(2/1,)(2)()()(2/1,)(2)(0,0)(111112111211-=⎪⎪⎪⎪⎪⎩⎪⎪⎪⎪⎪⎨⎧≤≤-≤----+-≤≤--=+-+++-----kjmmddddmddddmdmdddmddddmdmmfnjjjjjjjjjjjjjjjjjj⎪⎭⎪⎬⎫⎪⎩⎪⎨⎧≤--≤≤=----nkknkkkmmddmdmdmmf11211,)(2)(0,0)(.)(1llljmmmd-+=+qlm1/]1[--knj,lmknj---=)1/()1(q222002-09-13123',4==kk4',4==kk4=k1a-0.0177***-0.0177***-0.0233***2a-0.0297***-0.0297***-0.0397***3a-0.007***-0.007***-0.0130***4a-0.0494***-0.0494***-0.0586***1b-0.0140***-0.0071***2b0.0022***-0.0101***3b-0.0315***0.0179***74b-0.0698***2R95%99%98%***1%PˆP∑-2)ˆ(PP∑-2)ˆ(PP332002-09-13129.802.0234.2432122710010511011512012513013514014512345678972BOOTSTRAPMETHOD200282200182420029133113553153311112511320023500420029451113354T10.65%0.54%8.61***10.72%0.42%12.23***30.90%0.23%28.52***50.98%0.13%55.84******1%51-11-33-5T0.752.70***2.23*****1%**5%1220%3420025AAABCarty,L.V.,andD.Lieberman,1996,“CorporateBondDefaultsandDefaultRates,1983-1995”,GlobalCreditResearch.Houweling,P.,J.Hoek,andF.Kleibergen,2001,“TheJointEstimationofTermStructureandTermSpread”,JournalofEmpiricalFinance,vol.8,297-323.10Hull,J.andA.White,1995,“TheImpactofDefaultRiskonthePricesofOptionsandOtherDerivativeSecurities”,JournalofBankingandFinance,vol.19,299-322.Hull,J.,2000,Options,Futures,andOtherDerivatives(forthedition),PrenticeHall.Jarrow,R.A.,andS.M.Turnbull,1995,“PricingDerivativesonFinancialSecuritiesSubjecttoCreditRisk”,JournalofFinance,vol.50,53-85.Mcculloch,J.H.,1971,”MeasuringtheTermStructureofInterestRates”,JournalofBusiness,vol.44,19-31.Tsiveriotis,K.,andC.Fernandes,1998,“ValuingConvertibleBondswithCreditRisk”,JournalofFixedIncome,vol.8,95-102.,2002