期刊文献+

我国短期融资券市场的信用风险分析 被引量:3

下载PDF
导出
摘要 本文对我国短期融资券市场的现状进行了定性和定量的分析,采用虚拟变量回归方法检验不同待偿期限短期融资券的信用价差的差异性,建立短期融资券信用价差期限结构,发现短期融资券的信用价差曲线是向上倾斜的。进而,统计分析现有各个待偿期限的短期融资券的信用价差分布,认为短期融资券市场蕴藏较大的信用风险。
作者 孙克 冯宗宪
出处 《统计与决策》 CSSCI 北大核心 2007年第4期104-106,共3页 Statistics & Decision
基金 国家"985工程"二期资助项目(07200701)
  • 相关文献

参考文献12

  • 1Antonio Díaz,Eliseo Navarro.Yield Spread and Term to Maturity:Default vs.Liquidity[J].European Financial Management,2002,8(4):449-477.
  • 2Merton,Robert C.On the Pricing of Corporate Debt:the Risk Structure of Interest Rates[J].Journal of Finance,1974:449-470.
  • 3Jarrow Robert A.,David Lando,and Stuart M.Turnbull.A Markov Model for the Term Structure of Credit Risk Spreads[J].Review of Financial Studies,1997,10(2):481-523.
  • 4Longstaff F.A.and E.S.Schwartz.A Simple Approach to Valuing Risky Fixed and Floating Rate Debt[J].Journal of Finance,1995,50(3):789-819.
  • 5Litterman Robert and Thomas Iben.Corporate Bond Valuation and the Term Structure of Credit Spreads[J].Journal of Portfolio Management,1991,17(3):52-64.
  • 6Ma,C.K.,R.P.Rao and R.L.Peterson.The Resiliency of the High-yield Bond Market:the LTV Default[J].Journal of Finance,1989,44(4):1085-1097.
  • 7Duffee,G.R..Estimating the Price of Default Risk[Z].Federal Reserve Board,Finance and Economics Discussion Series,1996b:29.
  • 8Elton,E.J.,Gruber,M.J.,Agrawal,D.and C.Mann.Explaining the Rate Spread on Corporate Bonds[J].Journal of Finance,February 2001,56(1):247-277.
  • 9Fons,Jerome S.Using Default Rates to Model the Term Structure of Credit Risk[J].Financial Analysts Journal,1994,50(5):25-32.
  • 10Helwege,J.,and C.M.Turner.The Slope of the Credit Yield Curve for Speculative-grade Issuers[J].Research Paper FRBNY (9725),1997.

同被引文献15

引证文献3

二级引证文献3

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部