海外市场的中国信用违约互换息差定价实证研究

摘要

我国信用违约掉期在漫长的筹备期后于2010年11月初破茧而出,但目前仅还处于试点阶段.然而海外市场上基于我国公司的信用合约发展已久而相对成熟.首次从实证角度探索信用违约掉期合约的行业定价标准在我国市场的适用性.应用通用的定价公式--CreditGrades结构化模型计算以我国上市公司为连结主体的信用违约互换理论息差,通过和实际息差进行对比分析,发现投资者主要通过H股信息为该类产品定价,而非A股;主权信用息差是主要定价影响因素;国际标准不适用于我国市场.%After decades of preparation, China finally launched its trail CDS market in this November.However, oversea markets have seen huge amount of issuance and transactions of CDS contracts with Chinese companies as their underlying reference entities for long time.Aims to study empirically the fitness of industry standard pricing method in Chinese context, so I applied the CreditGrades model, the generic pricing formula for CDS, the theoretical spread implied by public information is calculated.Through the correlation and the regression analyses, the conclusion could be drawn as: firstly, Chinese CDS is priced based on H share information other than that of A share market; secondly, the sovereign credit spread is the most important factor in pricing while the theoretical spread is less correlated, which in other words means that international conventions don't apply to China's situation.