我国企业债预期违约概率测度及其分解——基于2007-2013年银行间交易数据  

Measure and Decomposition of Expected Default Probability of Enterprise Bonds in China——Based on 2007-2013 Inter-bank Transaction Data

作　　者：张英杰[1] 张良贵[1] 范德胜[2] 

机构地区：[1]中国人民大学经济学院,北京100872 [2]北京外国语大学国际商学院,北京100089

出　　处：《财经论丛》2014年第8期37-43,共7页Collected Essays on Finance and Economics

基　　金：中国博士后基金资助项目(2013M53788;2013M541099)

摘　　要：本文利用银行间企业债交易数据，借鉴简化模型测算得到企业债的预期违约概率走势，在此基础上构造回归模型，将企业债预期违约概率分解为评级违约概率和市场预期修正违约概率，对此进行实证分析。结果表明：宏观流动性及其结构性变化对企业债预期违约概率有重要影响；分解得到的评级违约概率在企业债预期违约概率中的占比约15％～31％，且信用等级越高、期限越长，评级违约概率占比越高。这为投资者对企业债的违约风险评估与定价提供了参照。Using the interbank transaction data, this paper measures the expected default probability of enterprise bonds with reduced form models, upon which regression models are constructed to decompose the expected default probability into ratings default probability and market expectations modified default probability. An empirical analysis is conducted and the re- suits show： macro-level liquidity and structural changes have important influence on expected default probability of enterprise bonds; the ratings default probability in enterprise bonds accounts for 15% -31% of expected default probability, and higher credit rating and longer period contribute to greater proportion of rating default probability. These findings provide a reference for investors in their risk evaluation and pricing of enterprise bonds.

关 键 词：简化模型 预期违约概率 评级违约概率 企业债 

分 类 号：F830.59[经济管理—金融学] F832.5