科学决策
科學決策
과학결책
Scientific Decision-Making
2014年
6期
80~94
,共null页
信用利差 信用风险 宏观因素
信用利差 信用風險 宏觀因素
신용리차 신용풍험 굉관인소
credit spread;credit risk; macroeconomic determinants
现有的研究表明,影响信用利差的因素是多方面的,既包括信用风险因素,也包括宏观因素、股票市场表现等非信用风险因素。文章对比分析了信用利差量化研究的典型方法,并从信用风险因素、宏观因素、股票市场影响等几个角度综述了对信用利差影响因素的主要文献。通过对比分析,文章发现上述因素对不同等级债券的影响程度存在一定程度的差异。
現有的研究錶明,影響信用利差的因素是多方麵的,既包括信用風險因素,也包括宏觀因素、股票市場錶現等非信用風險因素。文章對比分析瞭信用利差量化研究的典型方法,併從信用風險因素、宏觀因素、股票市場影響等幾箇角度綜述瞭對信用利差影響因素的主要文獻。通過對比分析,文章髮現上述因素對不同等級債券的影響程度存在一定程度的差異。
현유적연구표명,영향신용리차적인소시다방면적,기포괄신용풍험인소,야포괄굉관인소、고표시장표현등비신용풍험인소。문장대비분석료신용리차양화연구적전형방법,병종신용풍험인소、굉관인소、고표시장영향등궤개각도종술료대신용리차영향인소적주요문헌。통과대비분석,문장발현상술인소대불동등급채권적영향정도존재일정정도적차이。
Existing papers show that there are a great number of factors affecting credit spread, including credit risk factors, as well as non-credit risk factors, like factors of macroeconomics and stock markeL The paper compares and analyzes the typical method of qualifying credit spread and summarizes the researches on the determinants of credit risk, in the aspects of elements stock market, and so on. The result reveals that the determinants above have differentiated influences on bonds of different ratings.