基于Bootstrap方法的公司债券信用风险研究

发布时间：2018-02-27 20:24

本文关键词： 公司债券信用风险 KMV模型 bootstrap方法　出处：《南京大学》2013年硕士论文　论文类型：学位论文

【摘要】：在我国公司债券不断发展的背景下,如何度量公司债券的信用风险越来越受到管理层和学术界的关注,本文所要探索的问题即是如何选用合适的模型对我国公司债券信用风险进行度量。在理论层面,本文首先简要介绍公司债券、信用风险及其度量模型、bootstrap理论及方法,通过对风险度量模型的比较,本文认为KMV模型是适合我国实际情况的信用风险度量模型,并采用bootstrap方法对模型进行修正；在实证层面,本文选取59家上市公司债券进行分析,结果表明KMV模型计算出的违约距离能够反应公司债券信用风险的大小,基于bootstrap方法计算出的违约概率相比正态分布假定下的违约概率更具用精确性和适用性。
[Abstract]:In the context of the continuous development of corporate bonds in China, how to measure the credit risk of corporate bonds has attracted more and more attention from management and academia. The problem to be explored in this paper is how to select the appropriate model to measure the credit risk of corporate bonds in China. At the theoretical level, this paper first briefly introduces corporate bonds, credit risk and its measurement model bootstrap theory and method. Through the comparison of the risk measurement model, this paper thinks that the KMV model is the credit risk measurement model suitable for the actual situation of our country, and adopts the bootstrap method to modify the model; at the empirical level, this paper selects 59 listed companies' bonds to carry on the analysis, The results show that the default distance calculated by KMV model can reflect the credit risk of corporate bonds, and the default probability calculated by bootstrap method is more accurate and applicable than that calculated under the normal distribution assumption.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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