摘要
名义利差、零波动利差和期权调整利差是国际上三种最主要的债券价值衡量工具。本文从理论上揭示了三种利差工具的作用原理,并分析其优点和缺陷。在此基础上,本文运用这些债券利差工具的真实交易数据,对三种利差工具进行实际测算,对我国企业债券市场进行实证分析。研究结果表明,期权调整利差是目前较为精准的债券利差工具。
Nominal spread, z-spread and OAS play key roles in bond valuation. Theoretically, based on the deep analysis in the three measures above, the paper compares of their advantages and disadvantages. In practice, the author uses real data applying the three to solve application problems on the industry bond maker. What＇s more, it concludes that OAS is the most accurate measure through theory and empirical analysis.
出处
《南方金融》
北大核心
2012年第12期71-78,共8页
South China Finance
基金
广东高校人文社科重大攻关项目<中国企业国际并购方式与策略研究>(项目编号:11ZGXM63005)的资助
关键词
金融市场
债券定价
名义利差
零波动利差
期权调整利差
Financial Market
Pricing of Bond Markets
Nominal Spread
Zero Volatility Spread
Option Adjusted Spread
