信用利差曲线 I：基本概念、拟合、经票面利率调整的利差与预期收益
The credit spread curve. I: Fundamental concepts, fitting, par-adjusted spread, and expected return
AI总结：
本文针对信用利差曲线构建问题，提出拟合参数化生存曲线而非Z-spread，推导风险债券估值公式以纠正高价格债券利差偏误，并给出债券/CDS的carry、rolldown与相对价值计算及历史曲线分析框架。
摘要：
信用利差曲线的概念是固定收益投资的基础，但在实践中它并非“给定”的，需要根据债券价格构建，既可以针对特定发行人，也可以按行业逐评级构建。本文并不尝试拟合利差——正如我们在此讨论的，Z-spread并不适用——而是拟合参数化生存曲线。通过推导风险债券的估值公式，我们解释并规避了如下问题：在同一到期期限点，高美元价格债券的收益率或利差高于低美元价格债券，尽管它们未必提供更好的价值。事实上，对这一效应给出简洁处理并不容易，而且许多关于风险债券定价的学术文献（包括Duffie和Singleton于1997年发表的著名论文）存在根本性错误。随后，我们进一步说明如何计算债券/CDS的carry、rolldown和相对价值。此外，一旦曲线构建被编程并自动化，我们就可以对其进行历史回测，并评估曲线随时间推移的变动方式。这为后续研究将开展的曲线动态计量经济模型和无套利模型，以及评估特定工具的感知相对价值如何随时间变化，提供了必要基础。
英文摘要：
The notion of a credit spread curve is fundamental in fixed income investing, but in practice it is not `given' and needs to be constructed from bond prices either for a particular issuer, or for a sector rating-by-rating. Rather than attempting to fit spreads -- and as we discuss here, the Z-spread is unsuitable -- we fit parametrised survival curves. By deriving a valuation formula for a risky bond, we explain and avoid the problem that bonds with a high dollar price trade at a higher yield or spread than those with low dollar price (at the same maturity point), even though they do not necessarily offer better value. In fact, a concise treatment of this effect is elusive, and much of the academic literature on risky bond pricing, including a well-known paper by Duffie and Singleton (1997), is fundamentally incorrect. We then proceed to show how to calculate carry, rolldown and relative value for bonds/CDS. Also, once curve construction has been programmed and automated we can run it historically and assess the way a curve has moved over time. This provides the necessary grounding for econometric and arbitrage-free models of curve dynamics, which will be pursued in later work, as well as assessing how the perceived relative value of a particular instrument varies over time.
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。
