| 债券发行人与担保人信用利差相关性分析 |
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| 引用本文： | 陈秀梅,施楚.债券发行人与担保人信用利差相关性分析[J].科技与管理,2011,13(6):125-127. |
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| 作者姓名： | 陈秀梅 施楚 |
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| 作者单位： | 1. 哈尔滨理工大学管理学院,黑龙江哈尔滨,150080
2. 上海交通大学人力资源处,上海,200240 |
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| 摘 要： | 针对银行间债券市场上对第三方担保债券中隐含的发行人与担保人信用利差相关性量化缺失问题,运用混合Copula函数构建了发行人与担保人信用利差的相关性模型,通过对银行间债券市场上发行人（信用级别AA-）与担保人（信用级别AA＋）的实证研究发现,发行人与担保人信用利差具有非对称尾部相关性。
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| 关 键 词： | 信用利差 混合Copula函数 相关性 |
Analysis of the credit spreads correlation between bond issuer and guarantor |
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| CHEN Xiu-mei,SHI Chu.Analysis of the credit spreads correlation between bond issuer and guarantor[J].Science-Technology and Management,2011,13(6):125-127. |
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| Authors: | CHEN Xiu-mei SHI Chu |
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| Institution: | CHEN Xiu-mei1,SHI Chu2 (1.School of Management,Harbin University of Science and Technology,Harbin 150080,China,2.Division of Human Resources,Shanghai Jiao Tong University,Shanghai 200240,China) |
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| Abstract: | To solve the lack of quantified credit spreads correlation between the issuer and guarantor for third-party guarantee debt in Inter-bank bond market,this paper uses mixed Copula function to construct the correlation model for credit spreads between the issuer and guarantor.Based on the empirical study of issuers(credit rating AA-) and the guarantor(credit rating AA+) in the inter-bank bond market we find the credit spreads between issuer and guarantor have asymmetric tail correlation. |
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| Keywords: | credit spreads mixed Copula function correlation |
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