摘要
一般认为,信用价差由企业的资产价值波动率,企业资产规模大小,企业财务杠杆大小,债券剩余年限等几个因素决定。信用价差与企业资产价值波动率正相关,与企业资产规模负相关,与企业财务杠杆正相关,与债券剩余年限正相关。在这四个因素中,投资者对资产价值波动率,债券剩余年限的关注度较高,而时企业资产规模大小,企业财务杠杆大小的关注度较低。
It is commonly accepted that credit spread is determined by several factors, assets volatility, assets scope, financial leverage, years to maturity, etc. There is an apparent positive correlation between credit spread and assets volatility and financial leverage, while a negative correlation between credit spread and assets scope and years to maturity. The assets volatility and years to maturity among these four factors have been drawn more attention from investors, and the other two factors less focused.
出处
《学术交流》
北大核心
2007年第6期84-88,共5页
Academic Exchange
关键词
信用价差
资产市值波动率
资产总额
利润波动率
剩余年限
credit spread
volatility of market value of assets
total amount of assets
volatility of profit
years to maturity
