标题: | 基本因子能否解释信用传染效果? Can Fundamentals Explain Credit Contagion? – An Application of Forward Intensity Approach |
作者: | 刘猛综 Liu, Meng-Tsung 李汉星 Lee, Han-Hsing 财务金融研究所 |
关键字: | 简约式模型;远期违约强度;信用传染;基本因子;Reduced-form Model;Forward Intensity Model;Credit Contagion;Fundamentals |
公开日期: | 2010 |
摘要: | 本篇的主旨在于观察信用传染效果是否存在以及它是否能被基本面因子所解释,我们采用Duan, Sun and Wang (2010) 的简约式远期违约强度模型,并利用最大概似估计法进行估计,以及进行样本外的违约预测分析,模型中同时检验了代表信用传染的变数、总体经济变数以及公司特有的变数,我们发现破产事件确实与其他存活公司之违约机率有显着正向关联,而在控制总体与公司变数下,产业内仍存在传染效果,但并没有不分产业的传染效果。 The purpose of this paper is to examine whether the contagion effect exists and if the contagion effect can be explained by firm-specific covariates and macro factors. We follow the reduced-form forward intensity approach by Duan, Sun, and Wang (2010) and adopt the maximum likelihood estimation method. The analyses of out-of-sample default prediction are also performed. We incorporate the variables associated with credit contagion, firm specific variables and macro factors in the empirical tests. We find a significantly positive relationship between default event and default probabilities of survival companies. After controlling for macro factors and firm-specific covariates, the intra-industry contagion effect still persist, but no evidence for the inter-industry contagion effect. |
URI: | http://140.113.39.130/cdrfb3/record/nctu/#GT079839531 http://hdl.handle.net/11536/48106 |
显示于类别: | Thesis |