摘要
企业债券的违约风险可以由违约距离度量,其风险大小在不同的行业中存在不同特征,成因往往包括产能过剩与税负过重。借鉴国外经验,针对不同行业中企业的特点建立大样本下的量化模型,从产业链的角度对模型结论进行分类研究,同时综合考虑风险收益因素,为投资者确定债券投资提供策略建议。
The corporate bond default risk can be measured by the default distance and it has unique features in different industries. Overproduction and overwhelming tax burden are the common reasons for the default cases. Learning from oversea experience and focusing on China＇s industry structures, it builds quantitative models to study the default risks for China＇s corporate on a large sample basis. Combining the profitability with the former related results, it has developed a practical strategy for bonds investing by industries comparison.
出处
《电子科技大学学报（社科版）》
2014年第6期32-36,共5页
Journal of University of Electronic Science and Technology of China(Social Sciences Edition)
关键词
违约风险
行业比较
量化模型
default risk
industries comparison
quantitative model
