债权结构、波动率与信用风险——对中国上市公司的实证研究

Debt Structure, Volatility and Credit Risk ——Empirical Evidences from Chinese Listed Companies

基于Merton方法的违约模型是现代信用风险定价与管理研究中极其重要的部分,对其适用性的研究对提高我国商业银行与企业管理信用风险的能力有着十分重要的意义。文章利用我国72家上市公司组成的样本对该模型揭示的关于债权结构、资产波动与信用风险关系的两条结论进行了检验,由此分析该模型对我国的适用性。实证结果表明,债权结构与信用风险关系的结论在中国得到支持;但是资产波动与信用风险关系的结论在中国没有得到支持。文章最后提出了一些改进建议。

Merton type default models are very important for modern credit risk pricing and management. Studying its applicability in China is of obvious significance to improve the credit risk management capacity of Chinese banks and firms. Using a sample of 72 listed companies from China, the paper makes an empirical study on the two basic hypotheses about the relationship among debt structure, asset volatility and credit risk which are derived from Merton model. Empirical results show strong evidences for the hypothesis of relationship between debt structure and credit risk but weak evidences for the hypothesis of relationship between volatility and credit risk. Some suggestions for further research are given in the end.