A Research On The Corporate Bond Pricing Based On The Term Structure Of Interest Rates And Credit Risk Model

With capital working as a key factor to the economic activities and development, the efficiency of capital allocation essentially determines the development process and future of the national economy. So the development level of the national capital market definitely indicates the development level of the national economics. Accordingly, the development level of corporate bonds, which act as important component of capital market, also directly influences the development level of capital market. And how to rationally and effectively price corporate bonds has always been an important subject as well as a hot issue investigated in various circles. Since so many jobs such as interest risk measurement, credit risk measurement and fluid risk measurement are involved in pricing corporate bonds, while the corresponding data for measurement are in lack in the market, it's very difficult to give the precisely price corporate bonds so far.This paper makes brief introduction to the elementary knowledge about bonds pricing, and then discusses the details of the primary influencing factors about corporate bonds price, mainly focusing on the pricing models of credit risk and interest risk. After that, the paper introduces two kinds of credit risk pricing models which adopt stochastic interest rate and credit risk: structural model and reduced-form model. In succession, under the framework of reduced-form model, this paper builds an improved corporate bonds pricing model based on term structure of credit spreads.Subsequently, with credit risk introduced on the basis of term structure model of interest rate, this paper adopts the pricing model which is based on term structure of credit spreads to give fact study on the short-term commerce coupon. And with generalized matrix method (GMM) applied, this paper also gives the estimate for parameters of the stochastic interest rate process. From the afore-mentioned investigation, the result shows the actual corporate bonds price can be better reflected by the corporate bond pricing model which is based on term structure of credit spreads, and the credit risk can also be reflected by the credit spreads which are observed in the market. This kind of pricing model not only helps to build the term structure of credit spreads which is fit for the financial market status in China, but also helps to price the credit derivatives such as asset-backed securities.Finally, based on the positive fact-study results, this paper gives analysis to the insufficiency of the present corporate bonds pricing models, and also gives proposals to...