耿 耘, 韩芳丽, 燕京. 行业视角下的企业债券违约风险度量与 投资选择研究[J]. 电子科技大学学报社科版, 2014, 16(6).
引用本文: 耿 耘, 韩芳丽, 燕京. 行业视角下的企业债券违约风险度量与 投资选择研究[J]. 电子科技大学学报社科版, 2014, 16(6).
GENG Yun, HAN Fang-li, CHEN Yan-jing. Corporate Bond Default Risk Measuring and Bonds Investing Picking Study: Based on the Industries Points[J]. Journal of University of Electronic Science and Technology of China(SOCIAL SCIENCES EDITION), 2014, 16(6).
Citation: GENG Yun, HAN Fang-li, CHEN Yan-jing. Corporate Bond Default Risk Measuring and Bonds Investing Picking Study: Based on the Industries Points[J]. Journal of University of Electronic Science and Technology of China(SOCIAL SCIENCES EDITION), 2014, 16(6).

行业视角下的企业债券违约风险度量与 投资选择研究

Corporate Bond Default Risk Measuring and Bonds Investing Picking Study: Based on the Industries Points

  • 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

     

    Abstract: 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.

     

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