CAJ | 학술논문

波动结构对于可违约债券及其衍生品的定价和风险管理具有重要意义。利用AAA级企业债券价格数据，基于中国可违约债券市场构建三因子可违约随机波动HJM模型，并对其进行有限维马尔科夫仿射实现。在此基础上，从波动因子的随机波动特征、相关性结构和贡献度3个方面对中国可违约债券市场的波动结构进行系统分析。研究结果表明，样本期内中国可违约债券隐含的无风险利率和信用利差的波动率中含有显著的随机波动过程，且其数值呈现持续增大的趋势；无风险短期利率、短期信用利差和随机波动过程3个主要波动因子之间存在显著的相关关系；各波动因子的风险贡献度随时间推移而发生明显的波动。在经济向好时期，无风险短期利率的风险贡献较大；在经济趋冷时期，短期信用利差的风险贡献占优。
파동결구대우가위약채권급기연생품적정개화풍험관리구유중요의의。이용AAA급기업채권개격수거，기우중국가위약채권시장구건삼인자가위약수궤파동HJM모형，병대기진행유한유마이과부방사실현。재차기출상，종파동인자적수궤파동특정、상관성결구화공헌도3개방면대중국가위약채권시장적파동결구진행계통분석。연구결과표명，양본기내중국가위약채권은함적무풍험리솔화신용리차적파동솔중함유현저적수궤파동과정，차기수치정현지속증대적추세；무풍험단기리솔、단기신용리차화수궤파동과정3개주요파동인자지간존재현저적상관관계；각파동인자적풍험공헌도수시간추이이발생명현적파동。재경제향호시기，무풍험단기리솔적풍험공헌교대；재경제추랭시기，단기신용리차적풍험공헌점우。
Volatility structure is of significance in pricing and hedging of defanltab｜e bonds and its derivatives. Using AAA corpo- rate bond price data, the term structure of defauhable bonds in China is first of all calculated by the extended Nelson-Siegel mod- el based on genetic algorithm, and then analyzed by econometric methods, such as principal componem analysis, Jarque-Bera test and ARCH LM test. It shows that the term structure of defaultable bonds is mainly driven by three volatility factors with a significant ARCH characteristic from the perspective of dynamics. In the light of above analysis above, a defauhable HJM model with stochastic volatility is established by decomposing the defauhable short rate into the default-free short rate and the short-term credit spread, and setting their volatilities dependent at both state variable＇s level and in the stochastic volatility process. A finite dimensional affine realisation is obtained for the established model under appropriate volatility specifications. Then, a comparison is carried out between the established model and the HJM model with level-dependent volatility, demonstrating that the estab- lished model offers a much better performance in both data fitting and distribution depicting. Based on the established model, a systematic analysis is made on the volatility structure of the defauhable bond market in China in the three aspects of the stochastic volatility feature, correlation structure and contribution of the volatility factors. The result shows that the volatilities of both default-free interest rate and credit spread implied in the defauhable bond price have sig- nificant stochastic volatility, indicating a trend of continuous increase in the sample period with a considerable influence on the bond pricing precision and error distribution. There exist significant correlations among the three main volatility factors of the de- fault-free short rate, the short-term credit spread and the stochastic volatility. It is noteworthy that the defauh-free short rate is positively correlated with the short-term credit spread just opposite to what it is in USA market. Moreover, the risk contribution of each volatility factor fluctuates significantly accordingly. The default-free short rate contributes more to the total risk during the boom period, while the short-term credit spread contributes more during the recession period. Based on the analyses, this paper suggests that the stochastic volatility feature and the interaction between the interest rate risk and credit risk should be introduced into the term structure model of defaultable bonds with appropriate specifications on the basis of the reality of the defauhable bond market in China. It also suggests that the focal point of the risk management for de- fauhable bonds and its derivatives should be adjusted with the business cycle accordingly.