摘要
企业债的信用价差和预期违约损失之间的巨大差异,正在引起人们对“信用价差之谜”的日益关注。对“信用价差之谜”的代表性解释之一为信用价差分解理论,该理论的最新研究已经触及到了税收、风险溢价和流动性溢价等方面;代表性解释之二为信用风险分散困境理论,包括系统风险的不可分散性和可分散风险的难以分散性。此外,对“信用价差之谜”的探讨已经从发达债券市场过渡到新兴债券市场,并仍有待于进一步的研究。
The large difference between credit spread and expected default losses draws more and more attentions to ＂the credit spread puzzle＂ . One of the explanations is the theory of credit spread decomposition, whose recent work has explored the role of taxes, risk premia and liquidity premia. Another explanation lays particular emphasis on the difficulty of diversifying default risk, including the existence of non-diversifiable systematic risk and the difficulty in diversifying diversifiable risk. Moreover, the exploration of ＂the credit spread puzzle＂ has extended from developed bond markets to emerging bond markets and the problem still remains to be studied.
出处
《证券市场导报》
CSSCI
北大核心
2007年第1期73-77,共5页
Securities Market Herald
基金
西安交通大学"985工程"二期资助(编号:07200701)
关键词
信用价差
信用价差分解
信用风险分散
credit spread
credit spread decomposition
credit risk diversification.
