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Study on the Term Structure of Credit Spreads

Author: ZhangJianWei
Tutor: OuYangYong
School: Southwestern University of Finance and Economics
Course: Finance
Keywords: credit spread reduced model structure mode credit spread term structure the Risk-free interest rate term structure GARCH
CLC: F224
Type: Master's thesis
Year: 2010
Downloads: 207
Quote: 2
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Abstract


Credit spread is very important,the relative research work is just beginning.In this article we do it from other aspect. We use information of the credit spreads term structure to forecast the next credit spread. Via the demonstration,the model is very useful. Undersurface is the main content of this article.Firstly,we describe the credit market of China,the credit product has a short history and few classes in China.The system should be perfected, and the market needs more innovation.Secondly,we introduce three credit spread models, structure mode、reduced model and Factor Model.The structure credit spread mode is just related to credit risk of a company,but the credit spread based reduced model includes the default loss and risk premium,and reduced model is analyzed based market data and is fit of our market at present. Factor Model tells us the three factors that may affect credit spread:macroscopical factor、the factor related to company and Liquidity.Thirdly, we introduce nominal spread、static spread、dynamic spread and OAS.Then we used Nelson-Siegel extended model estimate Risk-free interest rate curve, and jointly estimate on-line credit spread model by the curve.we have gotten that on-line credit spread model is not fit of the fact.Finally,we builded credit spread Forecasting Model based the credit spread term structure、credit spread Forecasting Model based the Risk-free interest rate term structure and joint-estimate model. According to the effect, credit spread Forecasting Model based the credit spread term structure is the best model,then we corrected it by GARCH method and predicted the next term credit spread of 1 year、5 years and 10 years.The values that we predicted are all in confidence intervals,so the research made a lot of sense.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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