"以Culp, Yoshio& Veronesi模型(2014)預估中國公司債券市場信用價差"

Abstract

中國債公司債市場的信用風險近年來受投資人所重視，在中國公司債券市場中缺少信用衍生性商品提供保護信用風險的管道下，從不同方式捕捉中國公司債券市場信用風險的資訊有被研究的需要。本篇論文透過應用Culp,Yoshio& Veronesi (2014)模型連結股票市場選擇權與信用風險的模型，模擬中國公司債券市場的信用價差，研究內容包括信用價差估計、違約機率估計和模型檢驗。本文發現，來自境外交易的中國指數股票型基金和其衍生的選擇權市場所預估的模型信用價差與中國公司債券市場真實信用價差存在一定關聯性，投資人可從中國指數股票型基金與其衍生的選擇權市場捕捉信用風險的資訊。

Credit risk of China’s corporate bond market is looming in the minds of investors. The lack of credit derivatives cause investors difficult to hedge credit risk and evaluate the credit risk through direct observation from credit derivatives market. The paper discusses that if there is any credit risk information could be capture from the information of an offshore China large exchange traded fund and its options markets. The paper extend the Culp, Yoshio& Veronesi’s model(2014) to simulate the credit spread by using the data of iShares China Large-Cap ETF and its options. The paper show that the model credit spread and the credit spread of AA-rate China corporate bond are moderately correlated. Investors could capture credit risk information through direct observation from the information of iShares China Large-Cap ETF and its options