论文标题
信用利差曲线。 I：基本概念，合适的，调整的差异和预期的回报
The credit spread curve. I: Fundamental concepts, fitting, par-adjusted spread, and expected return
论文作者
论文摘要
信用利差曲线的概念在固定收益投资中至关重要，但实际上，它不是“给出的”，需要从特定发行人或逐级评级的债券价格制成。 Z-Spread并没有尝试拟合扩散，而是不适合使用，我们符合参数化的生存曲线。通过得出冒险债券的估值公式，我们可以解释并避免以高价或价格低的价格交易的债券（在同一成熟点处于同一成熟点），即使它们不一定提供更好的价值，它们也是如此。实际上，对这种效果的简洁待遇是难以捉摸的，许多关于风险债券定价的学术文献，包括Duffie和Singleton（1997）的著名论文，从根本上是不正确的。然后，我们继续展示如何计算债券/CD的携带，rolldown和相对值。同样，一旦对曲线进行编程和自动化，我们就可以在历史上运行它，并评估曲线随着时间的流逝的移动方式。这为计量经济学和无套利的曲线动态模型提供了必要的基础，该模型将在以后的工作中追求，并评估特定仪器的感知相对价值如何随时间变化。
The notion of a credit spread curve is fundamental in fixed income investing, but in practice it is not `given' and needs to be constructed from bond prices either for a particular issuer, or for a sector rating-by-rating. Rather than attempting to fit spreads -- and as we discuss here, the Z-spread is unsuitable -- we fit parametrised survival curves. By deriving a valuation formula for a risky bond, we explain and avoid the problem that bonds with a high dollar price trade at a higher yield or spread than those with low dollar price (at the same maturity point), even though they do not necessarily offer better value. In fact, a concise treatment of this effect is elusive, and much of the academic literature on risky bond pricing, including a well-known paper by Duffie and Singleton (1997), is fundamentally incorrect. We then proceed to show how to calculate carry, rolldown and relative value for bonds/CDS. Also, once curve construction has been programmed and automated we can run it historically and assess the way a curve has moved over time. This provides the necessary grounding for econometric and arbitrage-free models of curve dynamics, which will be pursued in later work, as well as assessing how the perceived relative value of a particular instrument varies over time.
