Advances in Economics, Management and Political Sciences
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Advances in Economics, Management and Political Sciences
Series Vol. 1 , 26 April 2021
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Corporate bonds pricing in China—Base on the Vasicek model and credit spread
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Abstract
In this paper, we use Vasicek model to determine the pricing of corporate bonds under the risk-free interest rate, and adjust it through the credit spread to make it suitable for the pricing of corporate bonds with default risk. Furthermore, this paper tests the bond pricing model based on the bond data of three companies, and the results show that the model can well capture the bond price trend, but it is difficult to accurately capture the price fluctuation.
Keywords
Vasicek model, bonds pricing, credit spread, risk-free interest rate
References
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Data Availability
The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.
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- Volume Title
- Advances in Economics, Management and Political Sciences, Vol. 1
- ISBN (Print)
- ISBN (Online)
- Published Date
- 26 April 2021
- Series
- Advances in Economics, Management and Political Sciences
- ISSN (Print)
- 2754-1169
- ISSN (Online)
- 2754-1177
- DOI
- 10.54254/2754-1169/1/AEMPS_004
- Copyright
- 26 April 2021
- Open Access
- This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited