公司声誉、财务信息与债务违约风险估计被引量：13

Corporate Reputation,Financial Information and Valuation of Debt Default Risk

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摘要假设公司资产信息是完全的,在财务信息完全和不完全两种情况下,本文把公司声誉水平作为一个影响因素,估计了公司债务违约概率,并着重分析了债务违约概率对声誉水平的敏感性。数值模拟分析的结论并不完全支持声誉水平与违约概率负相关、债务期限与违约概率正相关的常识。资产波动率、公司资产的瞬时漂移率分别与违约概率负相关、正相关。这些结论为把声誉纳入信用风险度量中提供了一个新的研究视角。 Supposing the company asset information is complete, viewing the level of the company＇ s reputation as a factor, it is estimated to the company ＇ s debt default probabilities, in the cases of the complete and incomplete information of finance, and the sensitivity of probability of default on the reputation. The analysis does not fully support the conclusions that the reputation negatively correlated with the probability of default, default probability is related to debt maturity positively. Asset volatility has negative correlation with default probabilities, but the instantaneous drift rates of assets positive correlation. These findings help broaden the perspective to the study of credit risk measurement.

作者耿得科张旭昆

机构地区浙江大学经济学院浙江工商大学经济学院

出处《经济与管理研究》 CSSCI 北大核心 2011年第5期94-101,共8页 Research on Economics and Management

关键词公司声誉财务信息债务风险 Corporate Reputation Financial Information Debt Risk

分类号 F275 [经济管理—企业管理]

作者简介耿得科浙江大学经济学院博士研究生，杭州市，310027；浙江工商大学经济学院教授，博士生导师。

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