信用期限结构建模指南
A Guide to Modeling Credit Term Structures
摘要：
本文对信用期限结构建模方法进行了全面的综述。总结了信用期限结构的传统建模方法，并证明了其等价于一种特殊类型的简化形式的信用风险模型，即市场价值的部分恢复方法。我们认为，企业实践和市场观察不支持这种方法。更合适的假设是票面价值的部分恢复，这明显违反了传统信贷期限结构定义所必需的可剥离现金流估值假设。我们制定的生存为基础的估值方法，并给出各种信贷期限结构，是与市场观察一致的替代规格，并展示了如何可以从可观察的价格经验估计。我们重新推导出信用三角关系，考虑复制恢复互换。我们通过提出一个一致的CDS债券基础的测量来完成论述，并证明其与静态对冲策略的关系，该策略对于非票面债券和利率和信用风险的非平坦期限结构仍然有效。
英文摘要：
We give a comprehensive review of credit term structure modeling methodologies. The conventional approach to modeling credit term structure is summarized and shown to be equivalent to a particular type of the reduced form credit risk model, the fractional recovery of market value approach. We argue that the corporate practice and market observations do not support this approach. The more appropriate assumption is the fractional recovery of par, which explicitly violates the strippable cash flow valuation assumption that is necessary for the conventional credit term structure definitions to hold. We formulate the survival-based valuation methodology and give alternative specifications for various credit term structures that are consistent with market observations, and show how they can be empirically estimated from the observable prices. We rederive the credit triangle relationship by considering the replication of recovery swaps. We complete the exposition by presenting a consistent measure of CDS-Bond basis and demonstrate its relation to a static hedging strategy, which remains valid for non-par bonds and non-flat term structures of interest rates and credit risk.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
