电子科技大学学报:社会科学版
電子科技大學學報:社會科學版
전자과기대학학보:사회과학판
Journal of University of Electronic Science and Technology of China(Social Sciences Edition)
2014年
6期
32~36
,共null页
耿耘 韩芳丽 程燕京
耿耘 韓芳麗 程燕京
경운 한방려 정연경
违约风险 行业比较 量化模型
違約風險 行業比較 量化模型
위약풍험 행업비교 양화모형
default risk; industries comparison; quantitative model
企业债券的违约风险可以由违约距离度量,其风险大小在不同的行业中存在不同特征,成因往往包括产能过剩与税负过重。借鉴国外经验,针对不同行业中企业的特点建立大样本下的量化模型,从产业链的角度对模型结论进行分类研究,同时综合考虑风险收益因素,为投资者确定债券投资提供策略建议。
企業債券的違約風險可以由違約距離度量,其風險大小在不同的行業中存在不同特徵,成因往往包括產能過剩與稅負過重。藉鑒國外經驗,針對不同行業中企業的特點建立大樣本下的量化模型,從產業鏈的角度對模型結論進行分類研究,同時綜閤攷慮風險收益因素,為投資者確定債券投資提供策略建議。
기업채권적위약풍험가이유위약거리도량,기풍험대소재불동적행업중존재불동특정,성인왕왕포괄산능과잉여세부과중。차감국외경험,침대불동행업중기업적특점건립대양본하적양화모형,종산업련적각도대모형결론진행분류연구,동시종합고필풍험수익인소,위투자자학정채권투자제공책략건의。
The corporate bond default risk can be measured by the default distance and it has unique features in different industries. Overproduction and overwhelming tax burden are the common reasons for the default cases. Learning from oversea experience and focusing on China's industry structures, it builds quantitative models to study the default risks for China's corporate on a large sample basis. Combining the profitability with the former related results, it has developed a practical strategy for bonds investing by industries comparison.