公司债违约风险度量的理论和实证分析

摘要

公司债是证券市场的重要组成部分,公司债违约会给投资者和证券市场带来消极影响.采用简化的Merton违约距离模型对我国公司债违约风险进行度量,对违约距离和构成违约距离的财务比率进行Logistic回归,分析在我国债券市场中的适应性和优劣性.以ST公司为例,分析违约距离,与具有可比性的非ST公司对比.结果表明:Merton违约距离模型适用于我国证券市场,能在发生违约的前3年较为成功的分辨出有违约风险的公司;由违约距离计算公式中的信息源因子作为变量,做回归分析能得到显著性较高、拟合程度较好的模型.%Corporate bonds are important part of securities market,and corporate bonds defaults will bring negative influence on investors and securities market.A simple Merton default distance model will apply to the measurement of default risk of China corporate bonds,and the Logistic regression will be carried out for the distance to default and financial ratio constituting default distance to its analyze the adaptability and superiority-inferiority in the securities market in China.Taking ST company as a defaulting company,the distance to default will be analyzed and make a comparison with the comparable non-ST companies.Results show that:This model is applicable to Chinese securities markets,and it can successfully tell out the com-panies that have default risks three years before a default happenes;If the information course factor in the calculation formula of the distance to default is considered as a variate,the regression analysis will have a high significance,and fitting degree will be relatively good.