期刊论文

中文

中国管理科学

1003-207X

2018

26

3

13-21

10.16381/j.cnki.issn1003-207x.2018.03.002

国家自然科学基金资助项目(71201068) 国家留学基金资助项目([2015]3012号)

本校为第一机构

与大中型企业相比,经济环境恶化或突发事件冲击使中小企业资产价值更易大幅下降,不仅单个企业违约风险急增,企业间的违约相关性也明显变大。然而不同类型中小企业违约风险变化特征仍有较大差异。为了更好测度中小企业违约风险、分析其相关性和差异性,本文在资产价值满足跳-扩散过程假定下,将或有权益分析法、组合违约风险分析与系统波动风险测度β相结合,把违约风险分解为系统成分和异质成分。系统成分越大,表明企业违约风险越易受外部经济环境和相关违约风险影响。异质成分越大则表明企业违约风险与自身异质性特征更为相关。实证研究表明,违约风险成分分析能较好解释中小企业违约风险的相关性和...

Frequent large jumps are more like to occur in volatility of the asset values of Small ~ Middle Enterprises （SMEs） when suffering the impact of worse external economic condition and sudden events, due to their smaller scale and limited business scope. Thus, their asset values are possible to plunge in short time, which leads to the sharp increase of default risk. The correlation between their default risks becomes higher as well. However, distinct features can also be observed in the change of the default risks of different enterprises. In or...