AEMPS

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

Authors

Xiao Ma * 1 , Weixuan Zhao 2

1 Guanghua School of Management, Peking University

2 Price Certification Center of National Development and Reform Commission

Corresponding Author

Xiao Ma

Keywords

Vasicek model, bonds pricing, credit spread, risk-free interest rate

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.

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.

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