投资者异质信念下的信用债违约风险量化研究——基于我国信用债市场的应用

信用债违约不完全依赖于企业资产负债结构，投资者无从得知企业兑付意愿，且我国市场信息披露与违约追偿机制尚不完全，市场价格与外部评级反应延迟，投资者信息认知不同，因此对违约判断存在异质信念。针对提出了适用于我国市场的信用债违约风险模型，将Giesecke（2006）中关于企业违约阈值预期的均匀分布假设拓展到一般的Beta分布，通过Beta分布的方差刻画投资者异质信念的强度，并给出条件违约概率和信用价差的一般解析表达式。数值分析指出，投资者异质信念对短中期信用债影响较大，异质信念越高，信用利差越大；在接近违约时，异质信念会造成违约风险预期的低估。通过我国市场真实信用案例的实证检验，模型可以较早预警信用事件，且精度优于已有信用风险量化模型。

Forecasting the Default of Credit Bond under Heterogeneous Beliefs with Applications to Chinese Credit Bond Market

The default of credit bond does not completely depend on the asset and liability structure of the company. Investors are unable to accurately predict the default decision of the bond issuers because of the absence of mature default handling market, latency in price discovery, incomplete information and distortion in information disclosure make. Disagreements on forecasted default events are thus common, creating heterogeneous beliefs among investors. We accordingly propose a model for default prediction in China's bond market. We extend the uniform distribution assumption of expected default barrier in Giesecke(2006) to a more general Beta distribution, which takes into account heterogeneous investors by calibrating the variance of the Beta distribution with public data. We derive the analytical formulas of the default probability and the credit spread of credit bonds. The numerical analysis shows that heterogeneous beliefs have a larger effect on short-term and intermediate bonds, the higher level of heterogeneous beliefs are, the larger the credit spread is. When close to default, heterogeneity of investors will cause the default probability being underestimated. Empirical applications with public market data show that the model admits more robust and precise results with earlier alarm compared to the well-adopted models.