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摘要翻译：
本文对信贷期限结构建模方法进行了综述。总结了传统的信用期限结构建模方法，并指出其等价于一种特殊的简化形式的信用风险模型--市场价值分数恢复法。我们认为，企业实践和市场观察并不支持这种方法。更合适的假设是票面价值的部分回收，这显然违反了传统信贷期限结构定义成立所必需的可剥离现金流估值假设。我们提出了基于生存的估值方法，并给出了与市场观察一致的各种信用期限结构的替代规范，并说明了如何从可观察的价格中实证估计它们。我们通过考虑恢复掉期的复制，重新推导了信用三角关系。最后，我们给出了CDS-债券基础的一致度量，并证明了它与静态套期保值策略的关系，该策略对无面值债券和非固定利率期限结构和信用风险仍然有效。
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英文标题：
《A Guide to Modeling Credit Term Structures》
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作者：
Arthur M. Berd
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最新提交年份：
2009
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
We give a comprehensive review of credit term structure modeling methodologies. The conventional approach to modeling credit term structure is summarized and shown to be equivalent to a particular type of the reduced form credit risk model, the fractional recovery of market value approach. We argue that the corporate practice and market observations do not support this approach. The more appropriate assumption is the fractional recovery of par, which explicitly violates the strippable cash flow valuation assumption that is necessary for the conventional credit term structure definitions to hold. We formulate the survival-based valuation methodology and give alternative specifications for various credit term structures that are consistent with market observations, and show how they can be empirically estimated from the observable prices. We rederive the credit triangle relationship by considering the replication of recovery swaps. We complete the exposition by presenting a consistent measure of CDS-Bond basis and demonstrate its relation to a static hedging strategy, which remains valid for non-par bonds and non-flat term structures of interest rates and credit risk.
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PDF链接：
https://arxiv.org/pdf/0912.4623
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