公司债做市中的质量调整命中率目标
Quality-Adjusted Hit-Ratio Targeting in Corporate Bond Market Making
AI总结：
针对公司债电子做市中原始命中率目标因客户流逆向选择异质性而产生经济误导的问题，本文提出用残差质量调整命中率替代原始命中率，并扩展了随机控制框架，通过分解交易后标记为可观测信用因子和残差逆向选择，仅将残差部分视为客户流毒性，从而在保持可解性的同时优化报价策略，模拟表明残差质量目标能改善服务与经济前沿。
摘要：
命中率是电子公司债做市常用的服务指标，但当客户流具有异质性的逆向选择内容时，原始命中率目标可能在经济学上产生误导。本文通过用残差质量调整命中率替代原始命中率，扩展了具有命中率约束的OTC债券RFQ做市随机控制框架。关键建模区别在于，首先将不利的交易后标记分解为可观测的信用因子、持有/下滑收益、发行人相对价值效应、指数或ETF需求效应以及残差逆向选择。仅将残差成分视为客户流毒性。由此产生的控制问题仍然可解：在对质量命中率惩罚进行对偶化后，HJB保持可分离的哈密顿量，且对偶变量是每个目标层级精确一维非线性不动点的解。在二次价值函数近似下，最优报价分解为无风险利差、库存偏差、信用阿尔法偏差、残差毒性费用和质量命中率补贴。使用非线性对偶求解的合成多债券模拟表明，原始命中率目标可能补贴残差毒性流，而残差质量目标将服务重新分配给低残差毒性流，并改善所达到的服务/经济前沿。最后的简化形式扩展研究了通过风险意识风格对齐的客户流仓储实现库存回收价值。扫描或组合交易机会随机出现，参与规模使用与RFQ报价问题相同的二次价值近似。附录中报告了一个被动/指数需求实验，作为可预测客户流的特例。数值证据是合成且机制导向的；未使用专有RFQ数据。
英文摘要：
Hit ratio is a common service metric for electronic corporate bond market making, but raw hit-ratio targets can be economically misleading when client flow has heterogeneous adverse-selection content. This paper extends a stochastic-control framework for OTC bond RFQ market making with hit-ratio constraints by replacing raw hit ratio with a residual-quality-adjusted hit ratio. The key modelling distinction is that adverse post-trade markouts are first decomposed into observable credit factors, carry/rolldown, issuer-relative-value effects, index or ETF demand effects, and residual adverse selection. Only the residual component is treated as client-flow toxicity. The resulting control problem remains tractable: after dualizing the quality-hit-ratio penalty, the HJB retains separable Hamiltonians, and the dual variable is the solution of an exact one-dimensional nonlinear fixed point for each targeted tier. Under a quadratic value-function approximation, optimal quotes decompose into a riskless spread, inventory skew, credit-alpha skew, residual-toxicity charge, and quality-hit-ratio subsidy. Synthetic multi-bond simulations with nonlinear dual solves illustrate that raw hit-ratio targeting can subsidize residual-toxic flow, while residual-quality targeting reallocates service toward low-residual-toxicity flow and improves the attained service/economics frontier. A final reduced-form extension studies inventory-recycling value through risk-aware style-aligned client-flow warehousing. Sweep or portfolio-trade opportunities fill randomly, and participation is sized using the same quadratic value approximation as the RFQ quoting problem. A passive/index-demand experiment is reported in the appendix as a special case of forecastable client flow. The numerical evidence is synthetic and mechanism-oriented; no proprietary RFQ data are used.
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