摘要
信用价差和预期违约损失之间的巨大差异被称为"信用价差之谜",其最新的代表性解释之一为"信用风险分散困境理论"。本文应用VAR模型和脉冲响应函数(IRF)分析不同期限企业债信用价差之间的动态关系,证实了"信用风险分散困境理论",表明即使投资组合的规模非常大,想通过企业债投资组合完全分散掉信用风险也不太容易实现。
The wide gap between credit spreads and expected default losses is what we call the credit spread puzzle. A new explanation is the difficulty of diversifying credit risk. Based on VAR model and IRF analysis, this paper analyzes the dynamic correlations among credit spreads of corporate bonds of different maturities, and testifies the difficulty of diversification. It is implied that it is almost impossible to diversify the credit risk even the corporate bond portfolio is very large. Other credit risk elusion methods should be considered. Especially at present, the corporate bonds are all AAA-rated, which increases the difficulty of diversification.
出处
《证券市场导报》
CSSCI
北大核心
2008年第10期59-64,共6页
Securities Market Herald
基金
国家"985工程"二期资助项目(编号:07200701)
