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Ma,X.;Zhao,W. (2021).Corporate bonds pricing in China—Base on the Vasicek model and credit spread.Advances in Economics, Management and Political Sciences,1,30-34.
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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.

https://doi.org/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

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Cite this article

Ma,X.;Zhao,W. (2021).Corporate bonds pricing in China—Base on the Vasicek model and credit spread.Advances in Economics, Management and Political Sciences,1,30-34.

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Volume title: Advances in Economics, Management and Political Sciences, Vol. 1

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ISBN:(Print) / (Online)
Conference date: 1 January 0001
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Series: Advances in Economics, Management and Political Sciences
Volume number: Vol.1
ISSN:2754-1169(Print) / 2754-1177(Online)

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