This repository has been archived by the owner on Jun 13, 2024. It is now read-only.
-
Notifications
You must be signed in to change notification settings - Fork 0
/
thesis.bib
998 lines (916 loc) · 38 KB
/
thesis.bib
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
405
406
407
408
409
410
411
412
413
414
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446
447
448
449
450
451
452
453
454
455
456
457
458
459
460
461
462
463
464
465
466
467
468
469
470
471
472
473
474
475
476
477
478
479
480
481
482
483
484
485
486
487
488
489
490
491
492
493
494
495
496
497
498
499
500
501
502
503
504
505
506
507
508
509
510
511
512
513
514
515
516
517
518
519
520
521
522
523
524
525
526
527
528
529
530
531
532
533
534
535
536
537
538
539
540
541
542
543
544
545
546
547
548
549
550
551
552
553
554
555
556
557
558
559
560
561
562
563
564
565
566
567
568
569
570
571
572
573
574
575
576
577
578
579
580
581
582
583
584
585
586
587
588
589
590
591
592
593
594
595
596
597
598
599
600
601
602
603
604
605
606
607
608
609
610
611
612
613
614
615
616
617
618
619
620
621
622
623
624
625
626
627
628
629
630
631
632
633
634
635
636
637
638
639
640
641
642
643
644
645
646
647
648
649
650
651
652
653
654
655
656
657
658
659
660
661
662
663
664
665
666
667
668
669
670
671
672
673
674
675
676
677
678
679
680
681
682
683
684
685
686
687
688
689
690
691
692
693
694
695
696
697
698
699
700
701
702
703
704
705
706
707
708
709
710
711
712
713
714
715
716
717
718
719
720
721
722
723
724
725
726
727
728
729
730
731
732
733
734
735
736
737
738
739
740
741
742
743
744
745
746
747
748
749
750
751
752
753
754
755
756
757
758
759
760
761
762
763
764
765
766
767
768
769
770
771
772
773
774
775
776
777
778
779
780
781
782
783
784
785
786
787
788
789
790
791
792
793
794
795
796
797
798
799
800
801
802
803
804
805
806
807
808
809
810
811
812
813
814
815
816
817
818
819
820
821
822
823
824
825
826
827
828
829
830
831
832
833
834
835
836
837
838
839
840
841
842
843
844
845
846
847
848
849
850
851
852
853
854
855
856
857
858
859
860
861
862
863
864
865
866
867
868
869
870
871
872
873
874
875
876
877
878
879
880
881
882
883
884
885
886
887
888
889
890
891
892
893
894
895
896
897
898
899
900
901
902
903
904
905
906
907
908
909
910
911
912
913
914
915
916
917
918
919
920
921
922
923
924
925
926
927
928
929
930
931
932
933
934
935
936
937
938
939
940
941
942
943
944
945
946
947
948
949
950
951
952
953
954
955
956
957
958
959
960
961
962
963
964
965
966
967
968
969
970
971
972
973
974
975
976
977
978
979
980
981
982
983
984
985
986
987
988
989
990
991
992
993
994
995
996
997
998
@article{2020Do,
url =
{https://www.sciencedirect.com/science/article/pii/S1057521920301976},
title = {Do measures of systemic risk predict U.S. corporate bond
default rates?},
author = { Kanas, A. and Molyneux, P. },
journal = {International Review of Financial Analysis},
volume = 71,
year = 2020
}
@article{2020Fiscal,
title = {Fiscal policy driven bond risk premia},
author = { Bretscher, L. and Hsu, A. and Tamoni, A. },
journal = {Journal of Financial Economics},
volume = 138,
year = 2020,
url =
{https://www.sciencedirect.com/science/article/pii/S0304405X20301252}
}
@article{abinzano2020performance,
title = {Performance of default-risk measures: the sample matters},
author = {Abinzano, Isabel and Gonzalez-Urteaga, Ana and Muga, Luis
and Sanchez, Santiago},
journal = {Journal of Banking \& Finance},
volume = 120,
pages = 105959,
year = 2020,
url =
{https://www.sciencedirect.com/science/article/pii/S0378426620302211},
publisher = {Elsevier}
}
@article{acemoglu2015systemic,
title = {Systemic risk and stability in financial networks},
author = {Acemoglu, Daron and Ozdaglar, Asuman and Tahbaz-Salehi,
Alireza},
journal = {American Economic Review},
volume = 105,
number = 2,
pages = {564--608},
year = 2015
}
@article{aggarwal2009differences,
title = {Differences in governance practices between US and foreign
firms: Measurement, causes, and consequences},
author = {Aggarwal, Reena and Erel, Isil and Stulz, Ren{\'e} and
Williamson, Rohan},
journal = {The Review of financial studies},
volume = 22,
number = 8,
pages = {3131--3169},
year = 2009,
publisher = {Oxford University Press}
}
@article{anginer2018corporate,
title = {Corporate governance of banks and financial stability},
author = {Anginer, Deniz and Demirguc-Kunt, Asli and Huizinga, Harry
and Ma, Kebin},
journal = {Journal of Financial Economics},
volume = 130,
url =
{https://www.sciencedirect.com/science/article/pii/S0304405X18301715},
number = 2,
pages = {327--346},
year = 2018,
publisher = {Elsevier}
}
@article{audrino2019predicting,
title = {Predicting US bank failures with MIDAS logit models},
author = {Audrino, Francesco and Kostrov, Alexander and Ortega,
Juan-Pablo},
journal = {Journal of Financial and Quantitative Analysis},
volume = 54,
number = 6,
pages = {2575--2603},
year = 2019,
url =
{https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/predicting-us-bank-failures-with-midas-logit-models/D5158BBB38F736FAF1E16090DED33BBA},
publisher = {Cambridge University Press}
}
@article{azizpour2018exploring,
title = {Exploring the sources of default clustering},
author = {Azizpour, Shahriar and Giesecke, Kay and Schwenkler,
Gustavo},
journal = {Journal of Financial Economics},
volume = 129,
number = 1,
url =
{https://www.sciencedirect.com/science/article/pii/S0304405X1830103X},
pages = {154--183},
year = 2018,
publisher = {Elsevier}
}
@article{badoer2019relevance,
title = {The relevance of credit ratings in transparent bond
markets},
author = {Badoer, Dominique C and Demiroglu, Cem},
url =
{https://www.paris-december.eu/sites/default/files/pdf/parismeeting/2017/badoer_2017.pdf},
journal = {The Review of Financial Studies},
volume = 32,
number = 1,
pages = {42--74},
year = 2019,
publisher = {Oxford University Press}
}
@article{bai2019common,
title = {Common risk factors in the cross-section of corporate bond
returns},
author = {Bai, Jennie and Bali, Turan G and Wen, Quan},
journal = {Journal of Financial Economics},
volume = 131,
number = 3,
url =
{https://www.sciencedirect.com/science/article/pii/S0304405X18302095},
pages = {619--642},
year = 2019,
publisher = {Elsevier}
}
@article{bai2020credit,
title = {Is the credit spread puzzle a myth?},
author = {Bai, Jennie and Goldstein, Robert S and Yang, Fan},
journal = {Journal of Financial Economics},
volume = 137,
number = 2,
pages = {297--319},
year = 2020,
url =
{https://www.sciencedirect.com/science/article/pii/S0304405X20300428},
publisher = {Elsevier}
}
@article{bali2021macroeconomic,
title = {The macroeconomic uncertainty premium in the corporate bond
market},
author = {Bali, Turan G and Subrahmanyam, Avanidhar and Wen, Quan},
url =
{https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/macroeconomic-uncertainty-premium-in-the-corporate-bond-market/AFE59386DA73CF237E36D168D090CD58},
journal = {Journal of Financial and Quantitative Analysis},
volume = 56,
number = 5,
pages = {1653--1678},
year = 2021,
publisher = {Cambridge University Press}
}
@article{bao2011illiquidity,
title = {The illiquidity of corporate bonds},
author = {Bao, Jack and Pan, Jun and Wang, Jiang},
journal = {The Journal of Finance},
volume = 66,
number = 3,
pages = {911--946},
year = 2011,
publisher = {Wiley Online Library}
}
@article{bebchuk2009matters,
title = {What matters in corporate governance?},
author = {Bebchuk, Lucian and Cohen, Alma and Ferrell, Allen},
journal = {The Review of financial studies},
volume = 22,
number = 2,
pages = {783--827},
year = 2009,
publisher = {Oxford University Press}
}
@article{blochlinger2018ratings,
title = {Are Ratings the Worst Form of Credit Assessment Except for
All the Others?},
author = {Bl{\"o}chlinger, Andreas and Leippold, Markus},
journal = {Journal of Financial and Quantitative Analysis},
volume = 53,
number = 1,
pages = {299--334},
year = 2018,
publisher = {Cambridge University Press},
url =
{https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/are-ratings-the-worst-form-of-credit-assessment-except-for-all-the-others/94B1DAE28B06D9E48B3BB4A8352C14A3}
}
@article{bonaccolto2021breakup,
title = {Breakup and default risks in the great lockdown},
author = {Bonaccolto, Giovanni and Borri, Nicola and Consiglio,
Andrea},
journal = {Journal of Banking \& Finance},
url =
{https://www.sciencedirect.com/science/article/pii/S0378426621002600},
pages = {306--338},
year = 2021,
publisher = {Elsevier}
}
@article{brogaard2017stock,
title = {Stock liquidity and default risk},
url =
{https://www.sciencedirect.com/science/article/pii/S0304405X17300405},
author = {Brogaard, Jonathan and Li, Dan and Xia, Ying},
journal = {Journal of Financial Economics},
volume = 124,
number = 3,
pages = {486--502},
year = 2017,
publisher = {Elsevier}
}
@article{calomiris2019news,
title = {How news and its context drive risk and returns around the
world},
author = {Calomiris, Charles W and Mamaysky, Harry},
journal = {Journal of Financial Economics},
volume = 133,
number = 2,
pages = {299--336},
year = 2019,
url =
{https://www.sciencedirect.com/science/article/pii/S0304405X18303180},
publisher = {Elsevier}
}
@article{chen2009relation,
title = {On the relation between the credit spread puzzle and the
equity premium puzzle},
author = {Chen, Long and Collin-Dufresne, Pierre and Goldstein,
Robert S},
journal = {The Review of Financial Studies},
volume = 22,
number = 9,
pages = {3367--3409},
year = 2009,
publisher = {Oxford University Press}
}
@article{chen2018quantifying,
title = {Quantifying liquidity and default risks of corporate bonds
over the business cycle},
author = {Chen, Hui and Cui, Rui and He, Zhiguo and Milbradt,
Konstantin},
journal = {The Review of Financial Studies},
url =
{https://www.nber.org/system/files/working_papers/w20638/w20638.pdf},
volume = 31,
number = 3,
pages = {852--897},
year = 2018,
publisher = {Oxford University Press}
}
@article{chung2019volatility,
title = {Volatility and the cross-section of corporate bond returns},
author = {Chung, Kee H and Wang, Junbo and Wu, Chunchi},
journal = {Journal of Financial Economics},
volume = 133,
number = 2,
pages = {397--417},
year = 2019,
url =
{https://www.sciencedirect.com/science/article/pii/S0304405X19300248},
publisher = {Elsevier}
}
@article{clarkson2008revisiting,
title = {Revisiting the relation between environmental performance
and environmental disclosure: An empirical analysis},
author = {Clarkson, Peter M and Li, Yue and Richardson, Gordon D and
Vasvari, Florin P},
journal = {Accounting, organizations and society},
volume = 33,
number = {4-5},
pages = {303--327},
year = 2008,
publisher = {Elsevier}
}
@article{colacito2020business,
title = {Business cycles and currency returns},
author = {Colacito, Riccardo and Riddiough, Steven J and Sarno,
Lucio},
journal = {Journal of Financial Economics},
volume = 137,
number = 3,
pages = {659--678},
year = 2020,
publisher = {Elsevier},
url =
{https://www.sciencedirect.com/science/article/pii/S0304405X20301203}
}
@article{cortes2021financial,
title = {Financial factors and the propagation of the Great
Depression},
author = {Cortes, Gustavo S and Taylor, Bryan and Weidenmier, Marc D},
journal = {Journal of Financial Economics},
year = 2021,
url =
{https://www.sciencedirect.com/science/article/pii/S0304405X21003755},
publisher = {Elsevier}
}
@article{ding2021corporate,
title = {Corporate immunity to the COVID-19 pandemic},
author = {Ding, Wenzhi and Levine, Ross and Lin, Chen and Xie, Wensi},
journal = {Journal of Financial Economics},
url =
{https://www.sciencedirect.com/science/article/pii/S0304405X21000957},
volume = 141,
number = 2,
pages = {802--830},
year = 2021,
publisher = {Elsevier}
}
@article{duca2013assessing,
title = {Assessing systemic risks and predicting systemic events},
author = {Duca, Marco Lo and Peltonen, Tuomas A},
journal = {Journal of Banking \& Finance},
volume = 37,
number = 7,
pages = {2183--2195},
year = 2013,
publisher = {Elsevier}
}
@article{duffie1997econometric,
title = {An econometric model of the term structure of interest-rate
swap yields},
author = {Duffie, Darrell and Singleton, Kenneth J},
journal = {The Journal of Finance},
volume = 52,
number = 4,
pages = {1287--1321},
year = 1997,
publisher = {Wiley Online Library}
}
@article{duffie2009frailty,
title = {Frailty correlated default},
author = {Duffie, Darrell and Eckner, Andreas and Horel, Guillaume
and Saita, Leandro},
journal = {The Journal of Finance},
volume = 64,
number = 5,
pages = {2089--2123},
year = 2009,
publisher = {Wiley Online Library}
}
@article{feldhutter2018myth,
title = {The myth of the credit spread puzzle},
author = {Feldh{\"u}tter, Peter and Schaefer, Stephen M},
journal = {The Review of Financial Studies},
volume = 31,
number = 8,
pages = {2897--2942},
year = 2018,
url =
{https://academic.oup.com/rfs/article/31/8/2897/4953344?login=true},
publisher = {Oxford University Press}
}
@article{fostel2015leverage,
title = {Leverage and default in binomial economies: a complete
characterization},
author = {Fostel, Ana and Geanakoplos, John},
journal = {Econometrica},
volume = 83,
number = 6,
pages = {2191--2229},
year = 2015,
publisher = {Wiley Online Library}
}
@article{gilchrist2009credit,
title = {Credit market shocks and economic fluctuations: Evidence
from corporate bond and stock markets},
author = {Gilchrist, Simon and Yankov, Vladimir and Zakraj{\v{s}}ek,
Egon},
journal = {Journal of monetary Economics},
volume = 56,
number = 4,
pages = {471--493},
year = 2009,
publisher = {Elsevier}
}
@article{golbayani2020comparative,
title = {A comparative study of forecasting corporate credit ratings
using neural networks, support vector machines, and decision
trees},
author = {Golbayani, Parisa and Florescu, Ionu{\c{t}} and Chatterjee,
Rupak},
journal = {The North American Journal of Economics and Finance},
volume = 54,
pages = {201--251},
url =
{https://www.sciencedirect.com/science/article/pii/S1062940820301480},
year = 2020,
publisher = {Elsevier}
}
@article{hamilton2005moodys,
title = {Moodys senior ratings algorithm and estimated senior
ratings},
author = {Hamilton, David},
journal = {Moodys Investors Service},
year = 2005
}
@article{history,
title = {中国信用违约的历史、现状和展望},
author = {乔国荣;方钰涵;王俊;牛永晨;},
authoraddress = {川财证券研究所;光大证券研究所;中证资本市场运行统计监测中心
风险监测部;申万宏源证券证券投资部;},
journal = {金融市场研究},
year = 2021,
number = 05,
pages = {33-43},
isbn/issn = {2095-3658},
databaseprovider= {cnki},
}
@article{horel2018sensitivity,
title = {Sensitivity based neural networks explanations},
author = {Horel, Enguerrand and Mison, Virgile and Xiong, Tao and
Giesecke, Kay and Mangu, Lidia},
journal = {arXiv preprint arXiv:1812.01029},
year = 2018
}
@article{jurado2015measuring,
title = {Measuring uncertainty},
author = {Jurado, Kyle and Ludvigson, Sydney C and Ng, Serena},
journal = {American Economic Review},
volume = 105,
number = 3,
pages = {1177--1216},
year = 2015
}
@article{kaposty2020predicting,
title = {Predicting loss given default in leasing: A closer look at
models and variable selection},
author = {Kaposty, Florian and Kriebel, Johannes and L{\"o}derbusch,
Matthias},
journal = {International Journal of Forecasting},
volume = 36,
number = 2,
pages = {248--266},
year = 2020,
publisher = {Elsevier}
}
@article{kellner2022opening,
title = {Opening the black box--Quantile neural networks for loss
given default prediction},
author = {Kellner, Ralf and Nagl, Maximilian and R{\"o}sch, Daniel},
journal = {Journal of Banking \& Finance},
volume = 134,
pages = {306--334},
year = 2022,
url =
{https://www.sciencedirect.com/science/article/abs/pii/S0378426621002855},
publisher = {Elsevier}
}
@article{kruger2017downturn,
title = {Downturn LGD modeling using quantile regression},
author = {Kr{\"u}ger, Steffen and R{\"o}sch, Daniel},
journal = {Journal of Banking \& Finance},
volume = 79,
pages = {42--56},
year = 2017,
publisher = {Elsevier}
}
@article{li2021entropy,
title = {Entropy method of constructing a combined model for
improving loan default prediction: A case study in China},
author = {Li, Yiheng and Chen, Weidong},
journal = {Journal of the Operational Research Society},
volume = 72,
number = 5,
pages = {1099--1109},
year = 2021,
publisher = {Taylor \& Francis}
}
@article{longstaff2005corporate,
title = {Corporate yield spreads: Default risk or liquidity? New
evidence from the credit default swap market},
author = {Longstaff, Francis A and Mithal, Sanjay and Neis, Eric},
journal = {The journal of finance},
volume = 60,
number = 5,
pages = {2213--2253},
year = 2005,
publisher = {Wiley Online Library}
}
@article{mai2019deep,
title = {Deep learning models for bankruptcy prediction using
textual disclosures},
author = {Mai, Feng and Tian, Shaonan and Lee, Chihoon and Ma, Ling},
journal = {European journal of operational research},
volume = 274,
number = 2,
pages = {743--758},
year = 2019,
publisher = {Elsevier}
}
@article{mirza2020impact,
title = {Impact of Covid-19 on corporate solvency and possible
policy responses in the EU},
author = {Mirza, Nawazish and Rahat, Birjees and Naqvi, Bushra and
Rizvi, Syed Kumail Abbas},
journal = {The Quarterly Review of Economics and Finance},
url =
{https://www.sciencedirect.com/science/article/pii/S1062976920301125},
year = 2020,
publisher = {Elsevier}
}
@article{mo2021china,
title = {China's no-bailout reform: Impact on bond yields and rating
standards},
author = {Mo, Guiqing and Gao, Zhi and Zhou, Lei},
url =
{https://www.sciencedirect.com/science/article/pii/S0378426621002387},
journal = {Journal of Banking \& Finance},
volume = 133,
pages = {206--282},
year = 2021,
publisher = {Elsevier}
}
@article{nagel2020banks,
title = {Banks’ risk dynamics and distance to default},
author = {Nagel, Stefan and Purnanandam, Amiyatosh},
journal = {The Review of Financial Studies},
file = {~/Documents/roam/thesis/lib/ContentServer.pdf},
volume = 33,
number = 6,
pages = {2421--2467},
year = 2020,
publisher = {Oxford University Press}
}
@article{nickerson2017debt,
title = {Debt correlations in the wake of the financial crisis: What
are appropriate default correlations for structured products?},
author = {Nickerson, Jordan and Griffin, John M},
journal = {Journal of Financial Economics},
volume = 125,
number = 3,
pages = {454--474},
year = 2017,
url =
{https://www.sciencedirect.com/science/article/pii/S0304405X17301289},
publisher = {Elsevier}
}
@article{ohlson1980financial,
title = {Financial ratios and the probabilistic prediction of
bankruptcy},
author = {Ohlson, James A},
journal = {Journal of accounting research},
pages = {109--131},
year = 1980,
publisher = {JSTOR}
}
@article{opp2013rating,
title = {Rating agencies in the face of regulation},
author = {Opp, Christian C and Opp, Marcus M and Harris, Milton},
journal = {Journal of financial Economics},
volume = 108,
number = 1,
pages = {46--61},
year = 2013,
publisher = {Elsevier}
}
@article{saretto2013corporate,
title = {Corporate leverage, debt maturity, and credit supply: The
role of credit default swaps},
author = {Saretto, Alessio and Tookes, Heather E},
journal = {The Review of Financial Studies},
volume = 26,
number = 5,
pages = {1190--1247},
year = 2013,
publisher = {Oxford University Press}
}
@article{sigrist2019grabit,
title = {Grabit: Gradient tree-boosted Tobit models for default
prediction},
author = {Sigrist, Fabio and Hirnschall, Christoph},
journal = {Journal of Banking \& Finance},
volume = 102,
pages = {177--192},
year = 2019,
read = {todo},
url =
{https://www.sciencedirect.com/science/article/pii/S0378426619300573},
publisher = {Elsevier}
}
@article{subrahmanyam2014does,
title = {Does the tail wag the dog?: The effect of credit default
swaps on credit risk},
author = {Subrahmanyam, Marti G and Tang, Dragon Yongjun and Wang,
Sarah Qian},
journal = {The Review of Financial Studies},
volume = 27,
number = 10,
pages = {2927--2960},
year = 2014,
publisher = {Oxford University Press}
}
@article{邓路、刘欢、侯粲然2020金融资产配置与违约风险,
author = {邓路、刘欢、侯粲然},
journal = {金融研究},
title = {金融资产配置与违约风险:蓄水池效应,还是逐利效应?},
year = {2020},
number = {7},
pages = {18--32},
file = {~/Documents/roam/thesis/lib/金融资产配置与违约风险_蓄水池效应,还是逐利效应__邓路.pdf}
}
@article{subrahmanyam2017credit,
title = {Credit default swaps, exacting creditors and corporate
liquidity management},
author = {Subrahmanyam, Marti G and Tang, Dragon Yongjun and Wang,
Sarah Qian},
journal = {Journal of Financial Economics},
url =
{https://www.sciencedirect.com/science/article/pii/S0304405X17300247},
volume = 124,
number = 2,
pages = {395--414},
year = 2017,
publisher = {Elsevier}
}
@article{traczynski2017firm,
title = {Firm default prediction: A Bayesian model-averaging
approach},
author = {Traczynski, Jeffrey},
url =
{https://eds.s.ebscohost.com/eds/pdfviewer/pdfviewer?vid=1&sid=2b984d92-27ba-4a57-8855-814ffa7c4f73\%40redis},
journal = {Journal of Financial and Quantitative Analysis},
volume = 52,
number = 3,
pages = {1211--1245},
year = 2017,
publisher = {Cambridge University Press}
}
@article{何青2018中国系统性金融风险的度量,
title = {中国系统性金融风险的度量——基于实体经济的视角},
author = {何青 and 钱宗鑫 and 刘伟},
journal = {金融研究},
file = {~/Documents/roam/thesis/lib/中国系统性金融风险的度量——基于
实体经济的视角_何青.pdf},
number = 4,
pages = {18--32},
year = 2018
}
@article{史永东2021中债估值识别了债券信用风险吗,
author = {史永东 and 郑世杰 and 袁绍锋},
journal = {金融研究},
title = {中债估值识别了债券信用风险吗?——基于跳跃视角的实证分析},
year = 2021,
number = 7,
pages = {19--24},
file = {~/Documents/roam/thesis/lib/中债估值识别了债券信用风险吗_——
基于跳跃视角的实证分析_史永东.pdf}
}
@article{吴育辉2020,
author = {吴育辉 and 翟玲玲 and 张润楠 and 魏志华},
journal = {金融研究},
title = {"投资人付费"vs."发行人付费":谁的信用评级质量更高?},
year = 2020,
number = 1,
pages = {20--35},
file = {~/Documents/roam/thesis/lib/“投资人付费”vs.“发行人付费”_谁
的信用评级质量更高__吴育辉.pdf}
}
@article{寇宗来2015中国的信用评级真的影响发债成本吗,
title = {中国的信用评级真的影响发债成本吗?},
author = {寇宗来 and 盘宇章 and 刘学悦},
journal = {金融研究},
number = 10,
pages = {81--98},
file = {~/Documents/roam/thesis/lib/中国的信用评级真的影响发债成本
吗__寇宗来.pdf},
year = 2015
}
@article{寇宗来2021私有信息,
title = {私有信息, 评级偏差和中国评级机构的市场声誉},
author = {寇宗来 and 千茜倩},
journal = {金融研究},
volume = 492,
number = 6,
pages = {114--132},
file = {~/Documents/roam/thesis/lib/私有信息、评级偏差和中国评级机
构的市场声誉_寇宗来.pdf},
year = 2021
}
@article{常莹莹2019环境信息透明度与企业信用评级,
title = {环境信息透明度与企业信用评级——基于债券评级市场的经验证据},
author = {常莹莹 and 曾泉},
journal = {金融研究},
volume = 467,
number = 5,
pages = {132--151},
year = 2019,
file = {~/Documents/roam/thesis/lib/环境信息透明度与企业信用评级——
基于债券评级市场的经验证据_常莹莹.pdf}
}
@article{张维迎2002信任及其解释,
title = {信任及其解释: 来自中国的跨省调查分析},
author = {张维迎 and 柯荣住},
journal = {经济研究},
volume = 10,
number = 5,
pages = {59--70},
year = 2002
}
@article{徐光2019定向支持政策能缓解民营企业的融资约束吗,
title = {定向支持政策能缓解民营企业的融资约束吗?——基于民营企业债务融
资支持工具政策的研究},
author = {徐光 and 赵茜 and 王宇光},
journal = {金融研究},
volume = 474,
number = 12,
file = {/Users/dcy/Documents/roam/thesis/lib/定向支持政策能缓解民营
企业的融资约束吗_——基于民营企业债务融资支持工具政策的研究.pdf},
pages = {187--206},
year = 2019
}
@article{杨国超2019信任被定价了吗,
title = {信任被定价了吗?——来自债券市场的证据},
author = {杨国超 and 盘宇章},
journal = {金融研究},
volume = 463,
number = 1,
pages = {35--53},
file = {~/Documents/roam/thesis/lib/信任被定价了吗_——来自债券市场的
证据_杨国超.pdf},
year = 2019
}
@article{林晚发2018高管任职经历的得与失,
title = {高管任职经历的得与失?——来自债券市场的经验证据},
author = {林晚发 and 钟辉勇 and 李青原},
journal = {金融研究},
volume = 456,
number = 6,
pages = {171--188},
file = {/Users/dcy/Documents/roam/thesis/lib/高管任职经历的得与失_——来
自债券市场的经验证据_林晚发.pdf},
year = 2018
}
@article{梅冬州2021财政扩张,
file = {~/Documents/roam/thesis/lib/财政扩张、信用违约和民营企业融
资困境_梅冬州.pdf},
title = {财政扩张,信用违约和民营企业融资困境},
author = {梅冬州 and 温兴春 and 吴娱},
journal = {经济研究},
number = 3,
pages = {16--23},
year = 2021
}
@article{毛新述2015政治关联与公开债务融资,
title = {政治关联与公开债务融资},
author = {毛新述 and 周小伟},
journal = {会计研究},
number = 6,
pages = {8--12},
year = 2015
}
@article{汪莉2015政府隐性担保,
title = {政府隐性担保, 债务违约与利率决定},
author = {汪莉 and 陈诗一},
journal = {金融研究},
number = 9,
pages = {66--81},
year = 2015,
file = {~/Documents/roam/thesis/lib/政府隐性担保、债务违约与利率决
定_汪莉.pdf}
}
@article{王博2019货币政策不确定性,
file = {~/Documents/roam/thesis/lib/货币政策不确定性、违约风险与宏
观经济波动_王博.pdf},
title = {货币政策不确定性,违约风险与宏观经济波动},
author = {王博 and 李力 and 郝大鹏},
journal = {经济研究},
volume = 054,
number = 003,
pages = {119-134},
year = 2019
}
@article{王博森2016政府隐性担保风险定价,
title = {政府隐性担保风险定价: 基于我国债券交易市场的探讨},
file = {~/Documents/roam/thesis/lib/政府隐性担保风险定价_基于我国债
券交易市场的探讨.pdf},
author = {王博森 and 吕元稹 and 叶永新},
journal = {经济研究},
volume = 10,
year = 2016
}
@article{王春丽2014基于马尔科夫区制转移模型的中国金融风险预警研究,
title = {基于马尔科夫区制转移模型的中国金融风险预警研究},
author = {王春丽 and 胡玲},
file = {~/Documents/roam/thesis/lib/基于马尔科夫区制转移模型的中国
金融风险预警研究.pdf},
journal = {金融研究},
number = 9,
pages = {16--22},
year = 2014
}
@article{王永钦2019中国创新型货币政策如何发挥作用,
title = {中国创新型货币政策如何发挥作用: 抵押品渠道},
author = {王永钦 and 吴娴},
journal = {经济研究},
volume = 54,
number = 12,
pages = {86--101},
file = {~/Documents/roam/thesis/lib/中国创新型货币政策如何发挥作用_
抵押品渠道_王永钦.pdf},
year = 2019
}
@article{王永钦2019杠杆率如何影响资产价格,
title = {杠杆率如何影响资产价格?——来自中国债券市场自然实验的证据},
author = {王永钦 and 徐鸿恂},
journal = {金融研究},
volume = 464,
number = 2,
pages = {20--39},
file = {~/Documents/roam/thesis/lib/杠杆率如何影响资产价格_——来自中
国债券市场自然实验的证据_王永钦.pdf},
year = 2019
}
@article{王雄元2013声誉机制,
title = {声誉机制, 信用评级与中期票据融资成本},
author = {王雄元 and 张春强},
journal = {金融研究},
number = 8,
pages = {150--164},
year = 2013
}
@article{王雄元2017客户集中度与公司债二级市场信用利差,
title = {客户集中度与公司债二级市场信用利差},
author = {王雄元 and 高开娟},
journal = {金融研究},
number = 1,
pages = {130--144},
file = {~/Documents/roam/thesis/lib/客户集中度与公司债二级市场信用
利差_王雄元.pdf},
year = 2017
}
@article{纪志宏2017信用风险溢价还是市场流动性溢价,
title = {信用风险溢价还是市场流动性溢价:基于中国信用债定价的实证研究},
author = {纪志宏 and 曹媛媛 and JI and Zhihong and CAO and Yuanyuan
and the and Peoples and Bank and of},
file = {~/Documents/roam/thesis/lib/信用风险溢价还是市场流动性溢价_
基于中国信用债定价的实证研究.pdf},
journal = {金融研究},
number = 2,
pages = {10--14},
year = 2017
}
@article{苟文均2016债务杠杆与系统性风险传染机制,
title = {债务杠杆与系统性风险传染机制——基于CCA模型的分析},
file = {~/Documents/roam/thesis/lib/债务杠杆与系统性风险传染机制——
基于CCA模型的分析.pdf},
author = {苟文均 and 袁鹰 and 漆鑫},
journal = {金融研究},
number = 3,
pages = {18--24},
year = 2016
}
@article{钟宁桦2018散户投资者如何影响债券价格,
title = {散户投资者如何影响债券价格?——基于交易所同一只信用债的价格差
分析},
author = {钟宁桦 and 唐逸舟 and 王姝晶 and 沈吉},
file = {~/Documents/roam/thesis/lib/散户投资者如何影响债券价格_——...于
交易所同一只信用债的价格差分析_钟宁桦.pdf},
journal = {金融研究},
number = 1,
pages = {17--23},
year = 2018
}
@article{钟辉勇2016城投债的担保可信吗,
title = {城投债的担保可信吗?——来自债券评级和发行定价的证据},
file = {~/Documents/roam/thesis/lib/城投债的担保可信吗_——来自债券评
级和发行定价的证据_钟辉勇.pdf},
author = {钟辉勇 and 钟宁桦 and 朱小能},
journal = {金融研究},
number = 4,
pages = {17--31},
year = 2016
}
@article{钱雪松2018中国委托贷款弥补了正规信贷不足吗,
title = {中国委托贷款弥补了正规信贷不足吗?},
author = {钱雪松 and 徐建利 and 杜立},
journal = {金融研究},
file = {~/Documents/roam/thesis/lib/中国委托贷款弥补了正规信贷不足
吗?.pdf},
volume = 000,
number = 005,
pages = {82-100},
year = 2018
}
@article{陆磊2020违约与杠杆周期,
title = {违约与杠杆周期——一个带有救助的金融加速器模型},
author = {陆磊 and 刘学},
journal = {金融研究},
number = 5,
pages = {1--20},
year = 2020,
file = {~/Documents/roam/thesis/lib/违约与杠杆周期——一个带有救助的
金融加速器模型_陆磊.pdf}
}
@article{陈关亭2021多重信用评级与债券融资成本,
title = {多重信用评级与债券融资成本——来自中国债券市场的经验证据},
author = {陈关亭 and 连立帅 and 朱松},
journal = {金融研究},
volume = 488,
number = 2,
pages = {94--113},
year = 2021,
file = {~/Documents/roam/thesis/lib/多重信用评级与债券融资成本——来
自中国债券市场的经验证据_陈关亭.pdf}
}
@article{韩鹏飞2015政府隐性担保一定能降低债券的融资成本吗,
title = {政府隐性担保一定能降低债券的融资成本吗?——关于国有企业和地方
融资平台债券的实证研究},
author = {韩鹏飞 and 胡奕明},
journal = {金融研究},
file = {~/Documents/roam/thesis/lib/政府隐性担保一定能降低债券的融
资...企业和地方融资平台债券的实证研究_韩鹏飞.pdf},
number = 3,
pages = {15--23},
year = 2015
}
@article{黄小琳2017债券违约对涉事信用评级机构的影响,
title = {债券违约对涉事信用评级机构的影响——基于中国信用债市场违约事
件的分析},
author = {黄小琳 and 朱松 and 陈关亭},
file = {~/Documents/roam/thesis/lib/债券违约对涉事信用评级机构的影
响...基于中国信用债市场违约事件的分析_黄小琳.pdf},
journal = {金融研究},
number = 3,
pages = {15--24},
year = 2017
}