基于结构化模型的企业短期融资券信用溢价研究  

On Credit Premium of Short-term Commercial Paper Based on Structured Model

作　　者：李晓庆[1] 方大春[1] 郑垂勇[1] 

机构地区：[1]河海大学商学院,江苏南京210098

出　　处：《证券市场导报》2006年第12期62-67,共6页Securities Market Herald

摘　　要：本文在使用外生给定的违约回收率代替隐含违约回收率对结构化模型中的信用溢价公式进行修正后,对我国上市企业短期融资券的信用溢价进行了实证研究。结果表明,目前上市企业短期融资券的信用溢价水平整体较低,但一些短期融资券信用溢价的差异较为明显;模型计算得到的信用溢价与调整后的短期融资券发行利率存在一定正相关性,这种相关性在信用溢价较高时表现较为明显。The author modified the credit premium formula in structured model by replacing implicit contract breaking payback with exogenous contract breaking payback and applies it to an empirical study of Chinese listed companies. Studies reveal a generally low credit premium of commercial paper but a marked discrepancy among the companies. The credit premium based on model calculation is, to some extent, correlated with the adjusted rate of commercial paper, which is more obvious when credit premium stays at a relatively high level.

关 键 词：短期融资券 信用溢价 融资工具 结构化模型 

分 类 号：F830.9[经济管理—金融学]