基于Leland-Toft模型的我国上市公司信用风险研究
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财经研究 2005 年 第 31 卷第 08 期, 页码：40 - 49
摘要
参考文献
摘要
文章首次运用Leland-Toft模型对我国上市公司的信用风险进行了实证研究,结果表明:通过该模型得到的预期违约率能够较好地描述上市公司的信用风险,不同信用级别上市公司的预期违约率有明显的不同,因而该模型在识别我国上市公司的信用风险时显示出一定的有效性。根据新华远东的信用评级体系,我们从Leland-Toft模型计算结果中发现:二A级以上公司、三B级以上公司和三B级以下公司分别在三年、一年和半年内的预期违约率接近为零,而我国上市公司长期的预期违约率则普遍偏高。
关键词
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[2]Black F,Scholes M.The pricing of options and corporate liabilities [J].Journal of Politi-cal Economy,1973(81):637~654.
[3]Chen Zhiwu, Peng Xiong.Discounts on illiquid stocks: Evidence from China [ R].ICFworking paper,2001.
[4]Duffie D,Singleton K.Modeling term structure of defaultable bonds [J].Review of Fi-nancial Studies,1999(12):687~720.
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[8]Leland Hayne E,Toft Klaus.Optimal capital structure,endogenous bankruptcy,and theterm structure of credit spreads [J].Journal of Finance,1996(51):987~1019.
[9]Leland Hayne E.Prediction of expected default frequencies in structural models of debt[R].Working paper,2002.
[10] Longstaff F, Schwartz E.A simple approach of valuing risky fixed and floating ratedebt [J].Journal of Finance,1995(50):789~819.
[11]Merton R.On the pricing of corporate debt: The risk structure of interest rates [J].Journal of Finance,1974(29):449~470.
[12]程鹏,吴冲锋.上市公司信用状况分析新方法[ J].系统工程理论方法应用,2002,(6):89~93.
[13]康伟刚.公司债券违约率的机构化模型研究[J].系统工程,2004,(9):46~53.
[14]石晓军,陈殿左.债权结构,波动率与信用风险:对中国上市公司的实证研究[J].财经研究,2004,(9):24~32.
[15]约翰.赫尔著.期权、期货和其他衍生产品(第四版)[M].北京:清华大学出版社,2001:241~244.
[16]张玲,曾维火.基于Z值模型的我国上市公司信用评级研究[ J].财经研究,2004,(6):5~13.
[2]Black F,Scholes M.The pricing of options and corporate liabilities [J].Journal of Politi-cal Economy,1973(81):637~654.
[3]Chen Zhiwu, Peng Xiong.Discounts on illiquid stocks: Evidence from China [ R].ICFworking paper,2001.
[4]Duffie D,Singleton K.Modeling term structure of defaultable bonds [J].Review of Fi-nancial Studies,1999(12):687~720.
[5]Eom Y H,Helwege J,Huang J Z.Structural models of corporate bond pricing:An em-pirical analysis[R].Working paper,2002.
[6] Jarrow R, Turnbull S.Pricing derivatives on financial securities subject to credit risk[J].Journal of Finance,1995(50):53~86.
[7] Leland Hayne E.Corporate debt value, bond covenants, and optimal capital structure[R].Walter A Haas School of Business,Finance working paper NO.233,1994.
[8]Leland Hayne E,Toft Klaus.Optimal capital structure,endogenous bankruptcy,and theterm structure of credit spreads [J].Journal of Finance,1996(51):987~1019.
[9]Leland Hayne E.Prediction of expected default frequencies in structural models of debt[R].Working paper,2002.
[10] Longstaff F, Schwartz E.A simple approach of valuing risky fixed and floating ratedebt [J].Journal of Finance,1995(50):789~819.
[11]Merton R.On the pricing of corporate debt: The risk structure of interest rates [J].Journal of Finance,1974(29):449~470.
[12]程鹏,吴冲锋.上市公司信用状况分析新方法[ J].系统工程理论方法应用,2002,(6):89~93.
[13]康伟刚.公司债券违约率的机构化模型研究[J].系统工程,2004,(9):46~53.
[14]石晓军,陈殿左.债权结构,波动率与信用风险:对中国上市公司的实证研究[J].财经研究,2004,(9):24~32.
[15]约翰.赫尔著.期权、期货和其他衍生产品(第四版)[M].北京:清华大学出版社,2001:241~244.
[16]张玲,曾维火.基于Z值模型的我国上市公司信用评级研究[ J].财经研究,2004,(6):5~13.
引用本文
王小华, 邵斌. 基于Leland-Toft模型的我国上市公司信用风险研究[J]. 财经研究, 2005, 31(8): 40–49.
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