信用价差是用以向投资者补偿参照资产违约风险的、高于无风险利率的利差,有两种形式:①以无风险利率为基准的信用价差,其计算公式为:信用价差=贷款或证券收益率一相应的无风险收益率(绝对差额);②两种对信用敏感的资产之间的信用价差(相对差额)。
而所谓的信用价差(Credit Spread) 是指某种资产与相应的无信用风险资产的收益率差额。而这种收益率差额其实表 现了标的资产的信用变化情况,因为:在市场利率变动...
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The article adopts structure method to measure Chinese listing companies default distance, recovery rate and credit spread and come into being an integrated and serial judge with long time data collection and massive samples.2.
采用结构法,以我国数据度量上市公司违约距离、回收率和信用价差,计算时间跨度长、样本多,形成了对整体情况和时间序列的判断。
参考来源 - 信用风险度量及其与宏观经济关系研究·2,447,543篇论文数据,部分数据来源于NoteExpress
二者之间的差额即是企业债券信用价差。
The spread between them is the credit spread of the corporate bond.
1信用等级之间没有形成明显不同的信用价差影射区间。
There is not different zone of credit spreads between issuers rated A-1 + and rated A-1.
这里信用价差指的是期限相同、到期日相同的企业债和国债收益率之间的差额。
Credit spread is the difference of yields between corporate and national bond that has the same due time.
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