A Comparative Study of Structural Models of Corporate Bond Yields: An Exploratory Investigation
A Comparative Study of Structural Models of Corporate Bond Yields: An Exploratory Investigation
复制标题
公司债券收益率结构模型的比较研究：一项探索性研究
DOI：
10.1016/s0378-4266(99)00059-x
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发表时间：
2000
影响因子：
3.7
通讯作者：
S. Sundaresan
中科院分区：
文献类型：
--
作者：
Ronald W. Anderson;S. Sundaresan
本文对基于公司价值的未定权益模型进行了实证比较。我们建立了一个通用模型，它嵌套了Merton（1974）、Leland（1994）、安德森和Sundaresan（1996）以及Mella-Barral和Perraudin（1997）所介绍的模型。我们估计这些使用美国公司债券市场的总时间序列数据，每月，从1970年8月至1996年12月。我们发现，模型拟合得相当好，表明杠杆率和资产波动性的变化占了大部分的时间序列观察到的公司收益率的变化。最近开发的模型，其中包括内生破产障碍的性能是有点优于原来的默顿模型上级。我们发现，该模型产生的违约概率是符合穆迪报告的历史经验。
This paper empirically compares a variety of firm-value-based models of contingent claims. We formulate a general model which nests versions of the models introduced by Merton (1974), Leland (1994), Anderson and Sundaresan (1996), and Mella-Barral and Perraudin (1997). We estimate these using aggregate time series data for the US corporate bond market, monthly, from August 1970 through December 1996. We find that models fit reasonably well, indicating that variations of leverage and asset volatility account for much of the time-series variations of observed corporate yields. The performance of the recently developed models which incorporate endogenous bankruptcy barriers is somewhat superior to the original Merton model. We find that the models produce default probabilties which are in line with the historical experience reported by Moodys.