摘要
信用债违约不完全依赖于企业资产负债结构,投资者无从得知企业兑付意愿,且我国市场信息披露与违约追偿机制尚不完全,市场价格与外部评级反应延迟,投资者信息认知不同,因此对违约判断存在异质信念。针对提出了适用于我国市场的信用债违约风险模型,将Giesecke(2006)中关于企业违约阈值预期的均匀分布假设拓展到一般的Beta分布,通过Beta分布的方差刻画投资者异质信念的强度,并给出条件违约概率和信用价差的一般解析表达式。数值分析指出,投资者异质信念对短中期信用债影响较大,异质信念越高,信用利差越大;在接近违约时,异质信念会造成违约风险预期的低估。通过我国市场真实信用案例的实证检验,模型可以较早预警信用事件,且精度优于已有信用风险量化模型。
The default of credit bond does not completely depend on the asset and liability structure of the company.Investors are unable to accurately predict the default decision of the bond issuers because of the absence of mature default handling market,latency in price discovery,incomplete information and distortion in information disclosure make.Disagreements on forecasted default events are thus common,creating heterogeneous beliefs among investors.We accordingly propose a model for default prediction in China’s bond market.We extend the uniform distribution assumption of expected default barrier in Giesecke(2006)to a more general Beta distribution,which takes into account heterogeneous investors by calibrating the variance of the Beta distribution with public data.We derive the analytical formulas of the default probability and the credit spread of credit bonds.The numerical analysis shows that heterogeneous beliefs have a larger effect on short-term and intermediate bonds,the higher level of heterogeneous beliefs are,the larger the credit spread is.When close to default,heterogeneity of investors will cause the default probability being underestimated.Empirical applications with public market data show that the model admits more robust and precise results with earlier alarm compared to the well-adopted models.
作者
单双
毕秋香
胡挺
Shan Shuang;Bi Qiuxiang;Hu Ting
出处
《南方经济》
CSSCI
北大核心
2020年第2期36-55,共20页
South China Journal of Economics
基金
国家自然科学委员会-广东省人民政府大数据科学研究中心项目“基于大数据的地方金融安全智能预警与防控系统”(U1811462)
国家自然科学基金国际合作重点项目“资本市场渐进开放下的投资者行为及微观机制优化研究”(71720107001)
江苏省科技厅重点项目“科技金融新内涵:金融助力江苏省科技创新创业高质量发展升级与服务现代化经济体系建设路径、模式和机制研究”(BR2018043)
中国国家留学基金资助。
关键词
投资者异质信念
信用风险
条件违约概率
信用利差
Heterogeneous Beliefs
Credit Risk
Conditional Default Probability
Credit Spread
