极值理论下的企业失信与债券违约关系研究  

Corporate Dishonesty and Bond Defaults Based on Extreme Value Theory

作　　者：薛天 XUE Tian(Shanghai Economic Information Centre,Shanghai 200050,China)

机构地区：[1]上海市经济信息中心,上海200050

出　　处：《上海管理科学》2024年第4期119-124,共6页Shanghai Management Science

摘　　要：利用中国A股上市企业财务数据以及企业失信数据,探讨了企业失信行为与债券违约之间的相关性。通过极值理论优化债券违约预警模型。实证分析发现:负面信用记录(如失信被执行人和行政处罚记录)对企业债券违约具有预警功能。高频失信会导致企业债券违约的可能性不断上升。此外,国有资本的介入对预防债务违约具有调节作用。The study explores the correlation between corporate dishonesty and bond defaults using financial data of Chinese A-share listed companies and corporate dishonesty data.The bond default warning model is optimized through extreme value theory.Empirical analysis reveals that negative credit records,such as dishonest judgment debtors and administrative penalties,serve as an early warning for corporate bond defaults.Frequent dishonest behavior leads to a continuous increase in the probability of corporate bond defaults.Additionally,the involvement of state-owned capital has a moderating effect on the prevention of debt default.

关 键 词：信用管理 债务违约 极值理论 

分 类 号：F224.7[经济管理—国民经济] F830.593