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신용스프레드(Credit Spread)에 관한 연구

신용스프레드(Credit Spread)에 관한 연구
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대학원 경영학과
이화여자대학교 대학원
During the past several years, one of the biggest developments in the derivatives market has been the emergence of credit derivatives. More and more attention has been paid to the pricing of credit derivatives, and yet a standard pricing model has not emerged. The purpose of this paper is to investigate the most important input for pricing and studing credit derivatives-the credit spread, both empirically and theoretically. This paper focuses on the most important parameter in the study of credit derivatives-the credit spread. It first empirically investigates the credit spread between the corporate bond yield and the government bond yield. The evidences on the relationship between credit spread and risk-free rate are mixed. There are two different ways of credit modeling : The Black-Sholes-Merton approach and the reduced-form approach. The firsh approach began with the seminal works of Black and Sholes(1973) and Merton(1974). This approach focuses on the fundamental valuation of the risky debt in a firm, begins with the designation of a firm value process, and implies the event whenever the firm value below its liabilities. Papers within category include one by Longstaff & Schwartz(1995). They adopt Vasicek's model for the risk-free rate and correlate the default process with the interest rate. The second approach directly deals with the default risk by using the so-called reduced-form models. These come in three varieties: the credit spread, the default intensity and the credit rating models. Since Merton(1974) made a crucial contribution to extending the valuing framework of corporate liabilities, which suggests a method for pricing corporate liabilities using contingent claims approach and analyzes the characteristics of their default premiums, there have been lots of studies to take steps to strengthen the model through loosening the assumptions the model has adopted. Longstaff & Schwartz(1995) is inclined to emphasize that the correlation between two factors, a firm value factor and an interest rate factor, plays a crucial role in determining the properties of actual credit spreads, breaking from the traditional approach that credit spreads depends on only an firm value factor. The changes in interest rates can account for more of the variation in credit spreads of the bonds than changes on the value of a firm. The interest rate factor gives a clue to explain the existence of different default premiums within the bonds with the same credit ratings. I developed two factor model allowing for the stochastic interest rates. There are some paths for the interest rate to exert influences on credit spreads. First, the effect of the interest rate on credit spreads comes out through the correlation between the return on the firm's assets and changes in the level of the interest rate. It is recognized that there are usually negative relationships between them. There is another path through that the interest rates affect credit spreads. The change of the short-term interest rate has an impact on credit spreads through the medium of the changes in financial leverage ratio. An increse in the interest rates has an effect of decreasing the value of the firm's debts. The interest rates, however, also have an influence on credit spreads in the opposite direction. The value of the firm and the volatility of it are not independent of the interest rate. It is suggests that an increase in the interest rate has a positive effect on the volatility oh the firm value. This means that the level of the interest rates is positively related to credit spreads. That is, when the interest rates increases there are two effects, the decrease in financial leverage ratio and the increase in the volatility of the firm value, and whether which effect dominates the other effect determines the net effect of the interest rate on credit spreads. The relationship between corporate bond spreads and the risk-free rate represents an important component of standard corporate debt pricing models. Several of these models predict that, in equilibrium, credit spreads relate negatively to government bond yields. But, the results of previous empiracal studies of credit spread and corporate bond yield are mixed. I use bond yield table from AAA+ to BBB- rating and the average yield for all the bond category, starting from January, 2000 to August, 2001. And I found there is negative relationship between credit spreads and interest rates. This is consistent with the results of Longstaff and Schwartz(1995). Theoretical there is negative relationship between credit spreads and stock index. Because when stock price rises , the economic status for corporate became more better and the probility of the default is decresed. But the result of the relationship between credit spreads and stock index is mixed. So I thought that there is more need to investigate the relationship between credit spreads and stock index There are several limitations in my paper, but I hope this paper to be help to estimate and price credit spread.
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