企业债券信用风险预警模型及其运用  

Credit Risk Forecasting Model of Corporate Bond Issuers and its Practical Applications

作　　者：生柳荣[1] 陈海华[2] 胡施聪[1] 彭雁 于天祥 Sheng Liurong;Chen Haihua;Hu Shicong;Peng Yan;Yu Tianxiang

机构地区：[1]中国建设银行金融市场部 [2]中国建设银行金融市场部信用债券投资处

出　　处：《投资研究》2019年第6期25-35,共11页Review of Investment Studies

摘　　要：基于中国非金融企业公募债券发行体披露的财务数据,本文建立Logistic模型分析债券发行体违约影响因素,研究发现,通过优化盈利能力、降低杠杆率、提升资产流动性可显著降低违约概率。此外,发行体财务报表质量和企业性质也对违约概率有显著影响。在此基础上,本文建立了非金融企业债券发行体违约预警系统,并尝试设计分级预警机制,对指导市场化定价、促进债券市场资源高效配置具有重要的理论和现实意义。This paper examines factors affecting the default risk of corporate bond issuers by conducting the econometrics methodology of Logistic Regression.The data set used in this study is collected from public released financial statements.It has been found out that corporate bond issuers can lower their default probability substantially through optimizing profitability,proper deleveraging and improving liquidity.Furthermore,evidences show that the quality of financial statements and the nature of corporate ownership can also have significant impact on the probability of default.Based on these results,this paper constructs a credit risk forecasting model for corporate bond issuers and attempts to design a rating regime in order to offer guidance on the pricing of corporate bonds,to promote efficient allocation of market resources and to provide value added in this field of study both theoretically and empirically.

关 键 词：债券违约 财务预警 评级模型 信用定价 

分 类 号：F83[经济管理—金融学]