关键词: 信用利差预测, NS族模型, 信用利差期限结构

Abstract: Taking Chinese corporate bonds as the research objects, based on the NS-group models, this paper studies the prediction of credit spread. By empirically comparing the prediction effects of in sample and out of sample on the credit spread of corporate bonds with different maturities and credit ratings, the main conclusions are as follows: The first is that the error of models in predicting the credit spread of medium-term and long-term corporate bonds is smaller than that of short-term corporate bonds. The second is that the prediction effects on the credit spread of corporate bonds with different credit ratings vary with maturities. The results provide concrete ideas and methods to predict credit spread for different economic entities, which are conducive to making reasonable financial decisions.

Key words: credit spread prediction, NS-group models, term structure of credit spread