公司债券“信用价差之谜”探析
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外国经济与管理 2007 年 第 29 卷第 02 期, 页码：57 - 64
摘要
参考文献
摘要
“信用价差之谜”是指公司债券的实际信用价差与其预期违约损失之间存在一个难以解释的“宽缺口”。本文首先对“信用价差之谜”的相关概念进行了阐述,然后从理论与实证角度回顾了几类信用风险定价模型及其信用价差预测效果,接着从多个角度对信用价差之谜的新解释进行了述评,并且分析了“信用价差之谜”产生的根源,最后指出了破解该谜的未来研究方向。
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[10]Elton,E,M Gruber,D Agrawal,and C Mann.Explaining the rate spread on corporate bonds[J].Journal of Finance,2001,56:247-277.
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[12]Leland,Hayne E.Corporate debt value,bond covenants,and optimal capital structure[J].The Journal of Finance,1994,49(4):1213-1252.
[13]Anderson,Ronald W,and Sundaresan,Suresh.Design and valuation of debt contracts[J].Review of Financial Studies,1996,(9):37-68.
[14]Mella-Barral,Pierre,and William Perraudin(MBP).Strategic debt service[J].Journal of Finance,1997,52:531-556.
[15]Mella-Barral,Pierre(MB).The dynamics of default and debt reorganization[J].Journal of Financial Studies,1999,(12):535-578.
[16]Dionne,Georges,Gauthier,Genevieve,Hammami,Khemais,Maurice,Mathieu,and Simonato,Jean-Guy.Default risk in corpo-rate yield spreads[EB/OL].http://neumann.hec.ca/gestiondesrisques/05-08.pdf,2005,12.
[17]Krainer,J.What determines the credit spread?[R].Federal Reserve Bank of San Francisco Economic Letter,2004,12.
[18]Jang,Inwon,and Kim,David.The dynamics of the corporate credit spread:Evidence from the Korean bond market[EB/OL].http://www.docs.fce.unsw.edu.au,2006.
[19]石晓华,陈殿左.信用治理——文化、流程与工具[M].北京:机械工业出版社,2004.
[20]Amato,J,and E Remolona.The pricing of unexpected credit losses[R].BIS Working Papers,No.190,2005.
[2]Collin-Dufresne,P,R Goldstein,and S Martin.Determinants of credit spread changes[J].Journal of Finance 2001,56:2177-2208.
[3]Driessen,J.Is default event risk priced in corporate bonds?[J].Review of Financial Studies,2005,18:165-95.
[4]Altman,E,A Resti,and A Sironi.Default recovery rates in credit risk modeling:A review of the literature and empirical evidence[J].Economic Notes,2004,(2):183-208.
[5]Longstaff,Francis A,and Eduardo S Schwartz.A simple approach to valuing risky fixed and floating rate debt[J].Journal of Fi-nance,1995,50(3):789-819.
[6]Sundaresan,Suresh M.Continuous-time methods in France:A review and an assessment[J].Journal of Finance,2000,4:1595.
[7]Jones,Mason,and Rosenfeld.Contingent claim analysis of corporate capital structure:An empirical investigation[J].Journal of Fi-nance,1984,39(3):611-625.
[8]Eom,Young H O,Helwege,Jean,and Huang,Jing-zhi.Structural models of corporate bond pricing:An empirical analysis[J].Re-view of financial studies,2004,(17):499-544.
[9](瑞士)Ammann,Manuel著;杨玉明译.信用风险评估——方法.模型.应用[M].北京:清华大学出版社,2004:10.
[10]Elton,E,M Gruber,D Agrawal,and C Mann.Explaining the rate spread on corporate bonds[J].Journal of Finance,2001,56:247-277.
[11]Huang,J,and M Huang.How much of the corporate-treasury yield spread is due to credit risk?[R].Working Paper,Stanford U-niversity,2003.
[12]Leland,Hayne E.Corporate debt value,bond covenants,and optimal capital structure[J].The Journal of Finance,1994,49(4):1213-1252.
[13]Anderson,Ronald W,and Sundaresan,Suresh.Design and valuation of debt contracts[J].Review of Financial Studies,1996,(9):37-68.
[14]Mella-Barral,Pierre,and William Perraudin(MBP).Strategic debt service[J].Journal of Finance,1997,52:531-556.
[15]Mella-Barral,Pierre(MB).The dynamics of default and debt reorganization[J].Journal of Financial Studies,1999,(12):535-578.
[16]Dionne,Georges,Gauthier,Genevieve,Hammami,Khemais,Maurice,Mathieu,and Simonato,Jean-Guy.Default risk in corpo-rate yield spreads[EB/OL].http://neumann.hec.ca/gestiondesrisques/05-08.pdf,2005,12.
[17]Krainer,J.What determines the credit spread?[R].Federal Reserve Bank of San Francisco Economic Letter,2004,12.
[18]Jang,Inwon,and Kim,David.The dynamics of the corporate credit spread:Evidence from the Korean bond market[EB/OL].http://www.docs.fce.unsw.edu.au,2006.
[19]石晓华,陈殿左.信用治理——文化、流程与工具[M].北京:机械工业出版社,2004.
[20]Amato,J,and E Remolona.The pricing of unexpected credit losses[R].BIS Working Papers,No.190,2005.
引用本文
江乾坤. 公司债券“信用价差之谜”探析[J]. 外国经济与管理, 2007, 29(2): 57–64.
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