【作者】 韩立岩； 杨哲彬； 郑承利；

【Author】 HAN Liyan, YANG Zhebin, ZHENG Chengli (School of Economics and Management, Beihang University, Beijing 199983, China)

【机构】 北京航空航天大学经济管理学院；

【摘要】 给出对应于不同发债规模的信用风险,从而确定安全发债规模是市政债券可行性研究的关键问题。本文将基于期权方法的KMV模型移植于市政债券信用风险的估算,并提出了“真实分布”的概念和计算方法,从而求出了在选定可供担保的财政收入的条件下的发债规模与违约风险之间的对应关系。更多还原

【Abstract】 It is the key issue of the feasibility research for municipal bonds to determine the safe issue-volume according to a given credit-risk level. With the reference to KMV model, thi paper develops a option-based credit risk model for municipal bonds, in which the concept of the implied distribution and its algorithm is introduced. Moreover, it concludes the correspondence between the issue-volume and the default risk given the certain amount of the fiscal revenue used as the collateral.更多还原