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国外公司债券定价模型研究评述 被引量:5

Review on Foreign Corporate Bonds Pricing Model
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摘要 本文梳理了近年来国外学者在公司债券定价模型方面的理论和实证探讨,介绍了几个主要研究分支及其子分支的代表性研究成果,对理论、实证、方法、数据等几个方面进行了简要的评述,并基于所做的文献综述为国内学者进一步深入研究我国即将崛起的公司债券市场提出了一些可供参考的建议。 This article summarizes and conducts empirical studies on the theories adopted by foreign scholars in corporate bond pricing model in recent years, The research results of several major research branches and sub-branches are introduced in the article, with elaborations in aspects like theory, empirical research, methodology and data. Based on the literature review, suggestions are proposed to domestic scholars with the purpose to further study China's corporate bond market.
作者 赵丽 高强
出处 《国际金融研究》 CSSCI 北大核心 2013年第8期53-59,共7页 Studies of International Finance
关键词 公司债券 定价模型 信用风险 结构模型 简约模型 文献综述 Corporate Bond Pricing Model Credit Risk Structural Model Simple Model Literature Review
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参考文献16

  • 1高强,邹恒甫.企业债券与公司债券的信息有效性实证研究[J].金融研究,2010(7):99-117. 被引量:29
  • 2王国刚.论“公司债券”与“企业债券”的分立[J].中国工业经济,2007(2):5-11. 被引量:34
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  • 5Briys E.,de Varenne F. Valuing Risky Fixed Rate Debt: An Extension [J]. The Journal of Financial and QuantitativeAnalysis, 1997,32 (2); 239-248.
  • 6Collin-Dufresne P., Goldstein R. S. Do Credit Spreads Reflect Stationary Leverage Ratios?[J]. The Journal ofFinance, 2001,56 (5): 1929-1957.
  • 7Duffee G. R. Estimating the Price of Default Risk[J]. The Review of Financial Studies, 1999,12 (1) : 197-226.
  • 8Duffie D.,Singleton K. J. Modeling Term Structures of Defaultable Bonds [J]. The Review of Financial Studies,1999, 12 (4): 687-720.
  • 9Eom Y. H., Helwege J., Huang J.-Z. Structural Models of Corporate Bond Pricing : An Empirical Analysis [J].The Review of Financial Studies, 2004, 17 (2): 499-544.
  • 10Geske R. The Valuation of Corporate Liabilities as Compound Options [J]. The Journal of Financial and QuantitativeAnalysis, 1977, 12 (4): 541-552.

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