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基于结构化模型的企业短期融资券信用溢价研究
引用本文:李晓庆,方大春,郑垂勇.基于结构化模型的企业短期融资券信用溢价研究[J].证券市场导报,2006(12):62-67.
作者姓名:李晓庆  方大春  郑垂勇
作者单位:河海大学商学院,江苏,南京,210098
摘    要:本文在使用外生给定的违约回收率代替隐合违约回收率对结构化模型中的信用溢价公式进行修正后,对我国上市企业短期融资券的信用溢价进行了实证研究。结果表明,目前上市企业短期融资券的信用溢价水平整体较低.但一些短期融资券信用溢价的差异较为明显;模型计算得到的信用溢价与调整后的短期融资券发行利率存在一定正相关性,这种相关性在信用溢价较高时表现较为明显。

关 键 词:短期融资券  信用溢价  融资工具  结构化模型

On Credit Premium of Short-term Commercial Paper Based on Structured Model
Li Xiaoqing,Fang Dachun,Zhen Chuiyong.On Credit Premium of Short-term Commercial Paper Based on Structured Model[J].Securities Market Herald,2006(12):62-67.
Authors:Li Xiaoqing  Fang Dachun  Zhen Chuiyong
Abstract:The author modified the credit premium formula in structured model by replacing implicit contract breaking payback with exogenous contract breaking payback and applies it to an empirical study of Chinese listed companies. Studies reveal a generally low credit premium of commercial paper but a marked discrepancy among the companies. The credit premium based on model calculation is, to some extent, correlated with the adjusted rate of commercial paper, which is more obvious when credit premium stays at a relatively high level.
Keywords:short-term corporate bond  credit premium  finance instrument  structured model
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