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我们基于KMV模型以及Delianedis and Geske(2001)模型,对05国航债进行了信用风险度量分析.根据中国国航在2007年7月23日的收盘价和近三年的财务数据我们对05国航债的信用利差进行了实证分析,并就实证结果提出了自己的观点:由于我国的企业债不是信用债券,而是由国有商业银行担保的债券,因此2007年7月23日05国航债的利差估计值与实际利差的差额547.34个基点应该由担保银行——中国农业银行的信用所消化.
Based on the KMV model and the Delianedis and Geske (2001) model, we conducted a credit risk measurement analysis on Air China 05. According to the closing price of Air China on July 23, 2007 and the financial data for the past three years, Credit spreads were conducted empirical analysis, and put forward their own views on the empirical results: As China’s corporate bonds is not a credit bond, but by the state-owned commercial bank bonds, so July 23, 2007 05 Air China debt spreads The difference between the estimate and the actual spread of 547.34 basis points should be digested by Credit Agricole, Agricultural Bank of China.