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| 行业视角下的企业债券违约风险度量与投资选择研究 | |
| 引用本文： | 耿耘,韩芳丽,程燕京.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(社会科学版),2014(6):32-36. |
| 作者姓名： | 耿耘 韩芳丽 程燕京 |
| 作者单位： | 1. 上海交通大学上海 200030 2. 山东英才学院山东 250104 3. 上海农商银行上海 200120 |
| 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。 |
| 关 键 词： | 违约风险 行业比较 量化模型 |
Corporate Bond Default Risk Measuring and Bonds Investing Picking Study：Based on the Industries Points |
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| 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(6):32-36. | |
| Authors: | GENG Yun HAN Fang-li CHEN Yan-jing |
| Institution: | GENG Yun HAN Fang-li CHEN Yan-jing (1.ACEM SJTU Shanghai 200030 China; 2. Shandong Yingcai College Shandong 250104 China; 3. Global Markets SRCB Shanghai 200120 China) |
| 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. |
| Keywords: | default risk industries comparison quantitative model |
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