融入绿色治理的公司债券违约风险评估  

Default Risk Assessment of Corporate Bonds Incorporating Green Governance

作　　者：李淑锦[1] 徐明星 LI Shujin;XU Mingxing(School of Economics,Hangzhou Dianzi University,Hangzhou 310018,Zhejiang,China)

机构地区：[1]杭州电子科技大学经济学院,浙江杭州310018

出　　处：《信息与管理研究》2023年第4期81-91,共11页Journal of Information and Management

基　　金：国家社会科学基金资助项目(17BJY233)。

摘　　要：ESG是衡量公司可持续发展的非财务指标,结合理论讨论其对公司债务违约的影响,将其加入债券违约风险评估,比较加入前后模型的预测能力。选择2016年至2020年的所有上市公司发行的公司债作为样本,并运用LASSO-logistic模型对债券的违约风险进行预测。结果显示:ESG水平与公司债券违约有着很强的负相关关系;ESG降低债券违约的概率是通过投资效率和信用额度这两个中介指标实现的;评估指标加入以上非财务因素使得模型的预测能力大大提升。ESG is a non-financial indicator that measures the sustainable development of a company.The impact of ESG on corporate debt defaults is discussed in theory,and it is added to the bond default risk assessment to compare the predictive ability of the models before and after adding ESG.The corporate bonds issued by all listed companies from 2016 to 2020 are selected as samples,and the LASSO-Logistic model is used to study the default risk of bonds.The results show that:ESG levels have a strong negative correlation with corporate bond defaults;ESG reduces the probability of bond default through two intermediary indicators,investment efficiency and credit limit;The addition of the above non-financial factors to the evaluation indicators greatly improves the predictive ability of the model.

关 键 词：债券违约 LASSO-logistic模型 ESG指标 绿色治理 非财务因素 

分 类 号：F830[经济管理—金融学]