摘要
本文研究了影响信用风险缓释工具价格的模型外生因素,并基于信用利差进行了实证检验。实证结果表明:标的主体财务杠杆率的变动、公司股权的波动率、标的债券的久期,以及标的主体的总资产规模均对债券的信用利差有显著影响,进而直接影响信用风险缓释工具价格。一个重要发现是,与经典的信用风险结构化模型的解释相左,中国市场上的债券久期与其信用利差水平存在显著的负相关关系。我们认为,合理解释是,此现象与中国债券市场的发行审批机制有关,在中国市场,信用评级高、还债能力强的公司更有可能通过长期债券的发行审批。
Abstract： We conduct an empirical study on exogenous factors that affect the price of credit risk mitigation （CRM） products traded in China. Our results suggest that the change in financial leverage, the reference firm＇s equity volatility, bond duration and the firm size have significant impact on the credit spread of the bond, which is crucial to determine the CRM＇s price. Meanwhile. we find that the bond duration is negatively related to its credit spread level in China＇s marketplace, contrary to what the classical structural approach predicts. We believe that this finding is consistent to the fact that the China＇s regulatory authority prefers allowing issuing long-term corporate bonds based upon high credit quality of the firm.
出处
《证券市场导报》
CSSCI
北大核心
2013年第2期74-78,共5页
Securities Market Herald
基金
北京大学汇丰金融研究院课题项目<信用风险缓释工具(CRM)在中国的发展与创新研究>的资助
