摘要
利用B-S期权定价模型的两个变形:KMV模型和结构化模型,分析影响债券违约风险的经济变量,并用地方政府债券与对应无风险利率的利差反应风险溢价用相关宏观经济指标代替原始模型中的经济变量对模型进行拟合分析检验。根据拟合分析检验结果找出影响我国地方政府债券债务违约风险的经济变量。分析发现,信用风险并不是我国地方政府债券的主要违约风险来源,利率风险才是我国地方政府债券的主要风险来源。
Through two transformations of B-S options pricing model:KMV Model and structure model,economic variables to influence debt default were analyzed and risk premium was illustrated by municipal bond and corresponding risk-free interest rate to demonstrate the influential factors through fitting analysis test.Moreover,the fitting analysis test shows that credit risk is not the main source of debt default of Municipal bond but interest rate risk is.
作者
刘静
胡文锴
LIU Jing;HU Wen-kai(School of International Business,Lanzhou Petrochemical Polytechnics,Lanzhou 730060,China;School of Economics,Beijing Business University,Beijing 100048,China)
出处
《兰州石化职业技术学院学报》
2018年第1期67-70,共4页
Journal of Lanzhou Petrochemical Polytechnic
