摘要
运用结构化模型,对我国债券市场上第一例违约债券——"11超日债"进行风险定价和信用利差计算,对比理论值与实际值的差异,并进一步建立回归模型分析影响公司债券信用利差的主要因素。研究结果表明,结构化模型低估债券实际信用利差,但能揭示信用利差变动的趋势;公司层面因素对公司债券信用利差变动起主要作用,主要是应收账款周转率、股价波动率和每股收益对公司债券信用利差影响最为显著。
Based on Merton＇s structured model, the empirical study makes the risk pricing and the credit spread calculation to the first defaulted bonds at our bond market, e.g. the ＂I I Chaori Bond＂ compares the difference between the internal price and the actual price of the ＂11Chaori Bond＂ and builds the regression model to analyze the determinants affecting the credit spread. The results indicate that the structured model appears to underestimate the credit premium while it can reveal the actual change trend of the credit spread; the factors of the firm level plays a leading role in the variation of the credit spread of the corporation bonds, e.g. the turnover of account receivable, the volatility of the stock price and the earnings per share have the most remarkable effect on the credit spread of the corporation bonds.
基金
教育部人文社会科学研究规划基金项目(12YJA790058)
关键词
结构化模型
公司债定价
信用利差
11超日债
structured model
corporate bond pricing
credit spread
the ＂11 Chaori Bond＂
