摘要
信息披露的真实性会直接影响到投资者对企业债券违约风险自々判断。利用信息噪声的偏倚性捕获财务报告信息中对资产价值的故意扭曲,推导了信息偏误下资产价值的条件分布、违约概率和信用价差的解析表达式.数值分析表明当资产价值遭到不同方向的扭曲时,信息噪声与违约概率会表现出不同的变动关系。实证检验表明该模型可以较为准确的刻画财务信息扭曲造成的债券违约风险和信用价差的变化规律。该模型为理解债券违约风险和财务报告信息扭曲之间的关系提供了新的启发,可以帮助债券投资者在信息披露问题比较严重的市场环境中评估违约风险。
The truth of information disclosure will directly affect investors to judge the size of the default risk. This paper uses the information noise bias to capture the information distortion-deliberated on the accounting report, and derives the conditional distribution of the assets value and the analysis formulas of the default probability and the credit spread of the bond. The numerical analysis shows that noise and credit default has different correlation when assets are distorted in different direction. The empirical analysis shows that the model can describe accurately the change of default risk and credit spread to which is leaded by information distortion. The proposed model provides new enlightenment to understand the correlation between bond default risk and accounting information distortion, which can help bond investor to evaluation the credit risk in the market in which information disclosure is bad.
出处
《数理统计与管理》
CSSCI
北大核心
2017年第1期175-190,共16页
Journal of Applied Statistics and Management
基金
教育部人文社科规划基金项目(13YJAZH091
12YJA790107)
国家社科基金(12BTJ015)
国家自然科学基金面上项目(NSFC71473149)
济南大学科研基金(青年项目)(XKY1315)
济南大学科研基金(社会科学类项目)(15YB29)
济南大学"优秀人才引进科研启动基金"项目(1008359
1008645)
关键词
信息披露
财务信息扭曲
偏正态分布
违约风险
信用价差
information disclosure, accounting information distortion, skewed normal distribution,default risk, credit spread
