基于市场交易数据的债券风险监控与防范研究——基于高收益率债券的违约概率时间序列估计模型的分析  

Research on Bond Risk Monitoring and Prevention of Market Trading Data——Analysis of Default Probability Time Series Estimation Model Based on High Rate Bonds

作　　者：刘洁晶[1] 李丹丹[1] Liu Jiejing;Li Dandan

机构地区：[1]衡水学院

出　　处：《价格理论与实践》2021年第11期118-122,共5页Price:Theory & Practice

基　　金：河北省社会科学基金项目:课题名称:全面创新管理(TIM)维度构成及其对创新绩效的作用机制研究——以河北省中小企业为例,项目编号:HB16GL062。

摘　　要：近年来,我国的高收益债市场规模逐年扩大,高收益债投资对于我国民营企业投融资以及资本市场的有效配置均有重要意义。伴随着较高的市场收益率,对于该类债券的风险管理就显得尤为重要。传统违约概率估计模型有过多的理想假设,而仅考虑现金流违约的定价法可能忽略流动性等因素,从而高估违约风险,不利于风险计量和风险防范。运用LLE降维方法,在保留发行主体收益率曲线结构相似性的前提下,通过匹配相近发行人,将利差中的非违约定价剥离,能够更准确地对市场预期违约及其发生时点进行估计,并对违约风险进行辅助定价。In recent years, my country’s high-profile debt market has expanded year by year, and high-profit debt investment is important for my country’s private enterprises’ investment and capital market effective configuration. Along with a higher market rate, the risk management of this type of bond is particularly important. The traditional default probability estimation model has too much ideal assumption, but only the pricing method of cash flow default may ignore factors such as liquidity, thereby highlighting the risk of breach of contract, is not conducive to risk measurement and risk prevention. Using the LLE dusting method, under the premise of retaining the launch of the principal yield curve, the non-contrast of the non-contrast in the spread is peeled off, and the market is expected to be reduced to the market and the time of occurrence. Estimated and auxiliary pricing of default risk.

关 键 词：债券违约 收益率曲线 信用利差LLE降维 风险定价 

分 类 号：F832.51[经济管理—金融学]