Measurement And Application Of Bond Premium Factor Based On Stochastic Dynamic Model

The risk premium of a bond is a spread between the bond yield and the benchmark interest rate,which reflects the risk factors that investors hold for non-national debt.Since each investor holds a different type of bond,the risk premium will not only be reflected in the difference in size,but also in the difference of risk information.If we can get the relevant risk premium information through the difference between various bond yields,then we will predict future bond yields and pricing,as well as future interest rate related derivatives hedging and investment.The selection of bond varieties in the strategy will have a wide range of applications.Although the study of the domestic bond yield curve has made great progress in these years,academic research on the term structure of interest rates and the bond premium component implied in the estimation and decomposition yield curves is still in its infancy.In the past large amount of research,there is very little literature in China to conduct a detailed study on the premium between various types of bonds.Most of the literature is based on the risk premium of stocks and equity.In view of the many practical and theoretical significance of the bond yield rate,this paper uses the CIR model framework to study the decomposition of the yield curve,in order to make a stone in this field.According to the main body of bonds,bonds can be divided into three categories: government bonds,financial bonds and corporate bonds.Government bonds are government bonds and local government bonds,financial bonds are policy financial bonds,and corporate bonds are corporate bonds of different credit ratings.This paper mainly studies the above types of bonds and interest rate swaps,because interest rate swaps also belong to interest rate terms.The constituent parts of the structure.This paper mainly studies and analyzes from two angles,firstly,the factors affecting the premium,and secondly,the degree of influence of the premium influence factors on the rate of return.This paper divides the bonds under study into risk-free bonds and risk bonds,without risk.Bonds mainly include: national debt,policy financial bonds and interest rate swaps;risk bonds mainly include: corporate bonds and local government bonds.And according to the risk premium between various types of bonds,the corresponding decomposition.The theoretical part of this paper mainly introduces the basic information and premium factor characteristics of various types of bonds,and then establishes different factor models according to different bond types for analysis.Finally,the CIR model based on stochastic process and Kalman filter maximum likelihood estimation will be used.The state variables in the CIR model are estimated and the corresponding bond yields are derived.The main ideas of the evidence are clearly stated in the empricial part.The main idea of this paper is to establish a two-factor affine model based on the term structure factor of interest rate included in the yield of government bonds,and then establish a three-factor imitation by the yield spread between policy financial bonds and local government bonds and government bonds.The model is used to separate the convenience income factor contained in the policy financial bond and the liquidity risk factor contained in the local government bond.Finally,the four-factor model is established by combining the interest rate swap and the spread of the corporate bond and the policy financial bond.Therefore,the exchange traits factor included in the interest rate swap and the credit default risk factor existing in the corporate bond are stripped off,and the state variables predicted in the different bonds are compared accordingly,thereby predicting various bonds.The predicted rate of return.The specific process is mainly: firstly,the yield-to-benefit ratio data of various bonds are obtained,followed by setting the optimization parameters of the CIR models of various bonds,and then passing the yield-yield data of various bonds through the Kalman filter.The large likelihood estimation method is used to fit the predicted value and the observed value,and proves the rationality of factor decomposition.Then,the state variables corresponding to various securities impact factors are decomposed,and finally the state variables of various securities are compared and analyzed.A corresponding conclusion is drawn.The corresponding empirical results show that the average fitting error of all kinds of bonds is relatively small,so we can think that the CIR affine model can ideally represent the interest rate term structure factors of various bonds of different maturities,as well as the existence of different bonds.Specific risk factors.It can be seen from the four factors that are stripped out that the swap includes the term structure factor of the interest rate,the convenient income factor of the policy financial bond,and the trait risk factor of the exchange;the corporate bond includes the term structure factor of the interest rate and Credit default factor;interest rate term structure factor and liquidity risk factor of local government bonds.Moreover,through the above stripping,we can judge that the interest rate term structure factor has different degrees of influence on the yield of these securities.Through the calculation of the state variables by the CIR model,we can clearly see the numerical value of each risk factor represented by the state variables.Therefore,we can judge the degree of influence on the yield of various securities according to the size of the term structure factor of interest rate,and then we can extract the premium factor information of various bonds and price it based on the term structure of interest rate.In this way,we can meet the needs of investors with different risk preferences in the bond market and provide important supplementary means in the bond investment strategy.