债券市场信用风险传染模型研究  

Credit Risk Contagion Model for Bond Market

作　　者：郭超[1] 

机构地区：[1]西南财经大学工商管理学院

出　　处：《投资研究》2016年第6期120-129,共10页Review of Investment Studies

摘　　要：在债券市场违约事件频发、信用风险逐步暴露的形势下,加强对债券市场信用风险传染的研究显得尤为紧迫和重要。在本研究中,信用风险传染模型利用违约强度过程和图聚类方法对发债企业之间的信用风险关系进行刻画。当债券市场中给定企业发生信用事件时,通过信用风险传染模型,能够较为准确地定位需要重点关注的企业。实证结果表明,上述模型有能力识别和预警发债企业及行业的信用风险,同时揭示发债企业之间可能的信用风险传染路径。As China＇ s bond market is increasingly exposed to credit risk, understanding systemic risk is becoming more and more urgent. Regulators are concerned about effective ways to identify, forecast and control risk. This research is focused on reviewing past research and proposes a new method for characterizing the credit risk contagion in bond market. The credit risk contagion model aims at describing relations between corporates credit risk using intensity process and graph clustering. When there is one default ease in the market, this model is able to locate vulnerable corporates. Through empirical results, we carefully conclude that the models we discussed can be used as credit alert and are useful to unveil credit risk contagious path.

关 键 词：债券市场 信用风险传染 违约强度 图聚类 

分 类 号：F224[经济管理—国民经济] F832.51