企业信息披露滞后对债券违约风险影响的量化分析

The Quantitative Analysis for the Impact of Corporate Information Disclosure Lags on Default Risk of Bonds

针对中国债券市场上存在的信息披露问题，提出了基于信息滞后的结构信用风险模型。从信息滞后的角度，重新定义信息不完全的概念，获得了信息滞后下企业违约概率和债券信用价差的估计公式。利用数值模拟分析了信用滞后期对违约概率和债券信用价差期限结构的影响机制。结果表明，信息披露滞后对于1年期以内的短期债券影响最为明显，对于3—5年期的中短期债券影响较大，而对于5年以上的中长期债券的影响较小。利用2012年的“海龙债”事件验证了模型的有效性，模型可以以较高的精度预测到信息披露滞后所引起的违约概率和信用价差的上升。

With regard to the problem of information disclosure in Chinese bond market, this paper puts forward a structure credit risk model based on information delay. From the perspective of information delay, this paper redefines the concept of incomplete information, gains the default probability and the formula of bond pricing based on the information delay. This paper uses the numerical simulation method to analyze the dynamic of impact of information delay on the default probability and the term structure of credit spread of bonds, the result shows that the information disclosure delay can impact magnificently most on the short - term bond within 1 year, and magnificently more on the medium - term bonds within 3 -5 years, but seldom on the long - term bond more than 5 years. This paper uses the HaiLong Debt event in 2012 to check the performance of presented model, the result shows that the presented model can predict accurately the increase of default probability and credit spread due to the information disclosure delay. Finally, this paper gives the conclusion and corresponding policy suggestion. The presented model has the strong policy implication for the corporate bond pricing and the development of Chinese bond market.