Release Time:2022-07-01  Hits:

Indexed by: Journal Article

Date of Publication: 2022-06-28

Journal: 系统工程理论与实践

Institution: 经济管理学院

Issue: 1

Page Number: 12-24

ISSN: 1000-6788

Abstract: The credit spread of commercial bank is the difference of yield to maturity between the bank bond and treasury bond. It reflects the credit risk of bank accepted by the investors in the bond market, and is an important reference for bank bonds investment. The term structure premium of T-1 years is measured by the difference of yields with T year maturity and 1 year maturity on the yield curve of bank bonds. The yield to maturity of 1 year of bank bond is measured by the yield to maturity of T years minus the term structure premium of T-1 years. The calculation models of credit spread and default probabilities of commercial banks are established based on term structure premium of yield to maturity. The innovation and characteristics of the paper are as follows. Firstly, the yield to maturity of 1 year of a specific bank bond ry,1 is calculated by the theoretical yield to maturity of T years of a specific bank bond ry,T minus the term structure premium of T-1 years on the yield curve of bank bonds with the same credit rate rp,T-1, solving the problem that the theoretical formula can only calculate the yield to maturity of whole period of T years and unable to calculate the yield to maturity of 1 year, thus unable to determine the credit spread of bank bond. Secondly, the real credit spreads of commercial banks are calculated by comparing the yields to maturity between bank bonds and treasury bonds, which reflects the credit risk of banks accepted by the capital market, and provides foundation for issue pricing and investment decision making of bank bonds. Thirdly, the real credit spread is measured by comparing the yields to maturity of bank bond and treasury bond on the same date, solving the problem that the yields of bank bonds issued on different dates are not comparable. Fourthly, the empirical results are consistent with the credit rating orders of the banks in our country by the Moody's company, which verifies the rationality of the models in the paper. The empirical study shows that the default probabilities of the four biggest state owned banks are the lowest, the default probabilities of the regional city banks are comparative higher, and the default probabilities of other listed banks are mediate.

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