债券价值和风险课件.pptVIP

Yieldspread的確定Yieldspread=0.987+0.307(earningsvariability)-0.253(timewithoutdefault)-0.537(equity/debtratio)-0.275(marketvalueofdebt)4.預測違約的財務比(financialratio)對一個公司而言，當下面情況發生時，違約的概率變大：theexistingcashbalanceissmallertheexpectednetcashflowissmallerthenetcashflowismorevariable單變數方法多變量方法單變數方法theratioofnetcashflow（incomebeforedepreciation,depletion,andamortizationcharges)tototaldebt多變量方法Z-score=(currentassets-currentliabilities)/totalassets=retainedearnings/totalassets=ea