公司债券“信用价差之谜”探析

被引：15

作者：

江乾坤

机构：

[1] 浙江大学经济学院

来源：

外国经济与管理 | 2007年 / 02期

关键词：

信用风险; 信用价差之谜; 违约价差; 剩余价差;

D O I：

10.16538/j.cnki.fem.2007.02.010

中图分类号：

F275 [企业财务管理];

学科分类号：

摘要：

“信用价差之谜”是指公司债券的实际信用价差与其预期违约损失之间存在一个难以解释的“宽缺口”。本文首先对“信用价差之谜”的相关概念进行了阐述,然后从理论与实证角度回顾了几类信用风险定价模型及其信用价差预测效果,接着从多个角度对信用价差之谜的新解释进行了述评,并且分析了“信用价差之谜”产生的根源,最后指出了破解该谜的未来研究方向。

引用

页码：57 / 64

页数：8

共 18 条

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