Advances in Economics, Management and Political Sciences

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Advances in Economics, Management and Political Sciences

Series Vol. 1 , 26 April 2021


Open Access | Article

Corporate bonds pricing in China—Base on the Vasicek model and credit spread

Xiao Ma * 1 , Weixuan Zhao 2
1 Guanghua School of Management, Peking University
2 Price Certification Center of National Development and Reform Commission

* Author to whom correspondence should be addressed.

Advances in Economics, Management and Political Sciences, Vol. 1, 30-34
Published 26 April 2021. © 2023 The Author(s). Published by EWA Publishing
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.
Citation Xiao Ma, Weixuan Zhao. Corporate bonds pricing in China—Base on the Vasicek model and credit spread. AEMPS (2021) Vol. 1: 30-34. DOI: 10.54254/2754-1169/1/AEMPS_004.

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
© 2023 The Author(s)
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

Copyright © 2023 EWA Publishing. Unless Otherwise Stated