短期融资券发行利差结构分析

本文选取175只短期融资券为样本，研究各主要因素对短期融资券发行利差的影响。实证分析发现，短期融资券发行利差具有明显的期限结构，并受到发行规模、央票利率水平、企业性质和重大信用风险事件的显著影响，个另4行业和超大型企业也能享受一定的利差优惠。研究还表明，现阶段在发行人个体层面没有明显的利差结构性差异，表现为发行人财务指标对发行利差的影响不显著。     

Disentangling types of liquidity and testing limits-to-arbitrage theories in the CDS–bond basis

We disentangle asset-specific, market, and funding liquidity in the CDS–bond basis outside and during the 2007–9 global financial crisis. Our findings stress the importance of separating different types of liquidity, since all three measures have independently negative impacts on the basis. Funding liquidity emerges as the economically most important liquidity metric. While asset-specific liquidity is cross-correlated in both the cash and derivative markets, funding and market liquidity only matter for the cash market. We exploit the decomposition of the basis to test predictions of limits-to-arbitrage theories. We find strong evidence in favor of margin-based asset pricing and flight-to-quality effects.     

公司信用债违约风险预警与防范研究

我国债券规模位居世界第二,债券市场已成为企业直接融资的主要渠道;同时我国公司信用债违约频发,违约主体几乎涵盖了全部行业,永煤AAA债券违约事件引发各方关注。在此背景下,本文研究了信用债违约风险预警与防范,搭建了债券违约预警模型:一是深入分析了违约原因,提出了经济下行加剧‘债务-通缩’流动性分层导致再融资困难民企互保引发违约风险串联的观点;二是基于KLR信号分析法,以历史违约主体财报数据为基础构建了上市公司债违约预警模型,抽离出相关指标权重构成预警指标体系,并进行了实证检验;三是基于预警模型,提出加强动态监测、构建债券风险分类管理办法等政策建议。     

公司债券市场流动性有效衡量及实证检验

摘要：公司债券的流动性问题越来越受到研究者的关注,而且随着理论研究扩展和实践的加深,流动性出现了很多不同的度量指标。本文在对公司债券市场流动性测量方法进行总结的基础上,实证检验了我国公司债券的流动性状况,分析了当前公司债券市场流动性存在的问题,并提出改革公司债券流动性的相关建议。     

企业发债和贷款期限的差异化:基于增量法的实证研究

已有文献主要从资产负债表法来实证研究企业负债期限结构的影响因素,本文以我国企业在1998～2008年企业发行的各类债券和银行贷款为研究对象,运用增量法从企业财务特征和债务契约属性等方面对企业增量债务期限的影响因素进行实证研究,采用了GMM计量方法,并通过对比分析筛选出了影响企业发债和贷款期限差异化的关键因素。研究表明:企业规模越大,利润率越高,具备担保,信用评级和授信比率越高,其债务期限越长。企业若选择发债,债务期限会延长,而选择银行贷款则企业债务期限会缩短。     

Implied liquidity risk premium in the term structure of sovereign credit default swap and bond spreads

In this study, we focus on the dynamic properties of the risk-neutral liquidity risk premium specific to the sovereign credit default swap (CDS) and bond markets. We show that liquidity risk has a non-trivial role and participates directly to the variation over time of the term structure of sovereign CDS and bond spreads for both the pre- and crisis periods. Secondly, our results indicate that the time-varying bond and CDS liquidity risk premium move in opposite directions which imply that when bond liquidity risk is high, CDS liquidity risk is low (and vice versa), which may in turn be consistent with the substitution effect between CDS and bond markets. Finally, our Granger causality analysis reveals that, although the magnitude of bond and CDS liquidity risk is substantially different, there is a strong liquidity flow between the CDS and the bond markets, however, no market seems to consistently lead the other.     

欧洲高收益债券市场违约风险监管研究

多年以来,欧洲一直是仅次于美国的世界第二大高收益债券市场。除了债券自身信用评级水平之外,欧洲高收益债券违约率的高低与市场监管力度以及宏观金融经济运行状况密切相关。欧洲监管当局把对高收益债券市场的监管重点放在:规范市场信息披露及信用评级标准和行为、保护投资者权益、保持交易行为的规范性和跨国界市场交易衔接处理等方面,这些监管策略的实施对控制市场违约风险起到了积极的作用。欧洲的监管经验对于今后我国高收益债券市场的尝试性推出也极具借鉴意义。     

Coming of age – a comparative study of emerging foreign exchange markets

We developed a market maturity index as a composite of the relative liquidity index (which was used historically to measure market maturity) and a market sophistication index, constructed by analyzing market volume and transaction data. We also constructed a risk management index using volatility and V2 (volatility of the volatility) to measure ease of risk management. Five (out of 14) emerging markets we studied – India, Brazil, Malaysia, Turkey and Poland – improved their risk management index scores from 2007 to 2009, suggesting increasing maturity. On the other hand, South Africa, Taiwan and South Korea, all markets that had seemed reasonably mature in 2007, performed extremely poorly from a risk management perspective in 2009, suggesting that their original high market maturity index scores were probably not very stable.     

Estimating liquidity premia in the Spanish government securities market

This paper investigates the presence of liquidity premia in the relative pricing of assets traded on the Spanish government securities market. First, a classification of bonds into four different categories based on their degree of liquidity is proposed. Second, liquidity premia are estimated introducing liquidity parameters in the estimation of the zero-coupon yield curve. Results suggest the existence of a liquidity premium for post-benchmark bonds (both strippable and non-strippable). The size of this premium is relatively small. In the case of pre-benchmark bonds, the lack of liquidity does not seem to be priced. It is also shown that these pricing discrepancies are robust to the impact of taxes on bonds.     

Pricing of Defaultable Bonds with Log-Normal Spread: Development of the Model and an Application to Argentinean and Brazilian Bonds During the Argentine Crisis

In this paper we describe a two-factor model for a defaultable discount bond, assuming log-normal dynamics with bounded volatility for the instantaneous short rate spread. Under some simplified hypothesis, we obtain an explicit barrier-type solution for zero recovery and constant recovery. We also present a numerical application for Argentinean and Brazilian Sovereign Bonds during the default crisis of Argentina.JEL Classification: G 13     

基于信用利差的中国城投债券信用风险分析

在\"四万亿\"投资的推动下,中国城投债券的发行规模大幅增加。与此同时,城投公司的整体债务规模也急剧攀升,其债务总量超过了地方政府的财政收入水平,城投公司的整体信用水平不容乐观。因此,城投债券的信用风险需引起足够重视。本文从量化角度研究了影响中国城投债券信用风险的四个因素,结果显示,中国城投债券的信用利差与发债企业的资产规模以及发债企业所在地区的人均GDP水平负相关,与企业债券收益率以及担保正相关。     

Yield spreads,agency costs and the corporate bond call feature

This paper theoretically compares yields and optimal default policies for callable and non-callable corporate debt. It shows that, contrary to the conventional wisdom, it is possible for the yield spread (callable minus non-callable) to be negative. It also identifies the key determinants of the yield spread. Next, it shows that the optimal default trigger for non-callable debt is higher than the trigger for callable debt, resulting in additional default-related costs. Thus, the use of non-callable debt gives rise to an indirect agency cost of early default, which is the difference in total firm value with callable and non-callable debt. This agency cost provides a rationale for the existence of callable debt. By examining the determinants of the magnitude of this agency cost, the conditions that make callable debt more attractive (to the issuing firm) relative to non-callable debt are identified. This allows certain predictions to be made regarding the likelihood of a call feature in a corporate bond. The model's implications are supported by existing empirical studies.     

Exploring the components of credit risk in credit default swaps

In this paper, we test the influence of various fundamental variables on the pricing of credit default swaps. The theoretical determinants that are important for pricing credit default swaps include the risk-free rate, industry sector, credit rating, and liquidity factors. We suggest a linear regression model containing these different variables, especially focusing on liquidity factors. Unlike bond spreads which have been shown to be inversely related to liquidity (i.e., the greater the liquidity, the lower the spread), there is no a priori reason that the credit default swap spread should exhibit the same relationship. This is due to the economic characteristics of a credit default swap compared to a bond. Our empirical result shows that all the fundamental variables investigated have a significant effect on the credit default swap spread. Moreover, our findings suggest that credit default swaps that trade with greater liquidity have a wider credit default swap spread.     

Hedging Corporate Bonds

We examine Treasury bond and stock index futures, the swap curve and two types of hypothetical corporate bond assets as alternative hedging instruments for portfolios of corporate bonds. Conducting ex post and ex ante tests we find evidence that credit quality and maturity are important sources of basis risk when hedging corporate bonds whose credit rating are below triple A. We conclude that a new corporate hedging instrument may be useful for those wishing to hedge corporate bond portfolios provided that transaction costs are not too high relative to existing futures contracts.