经济学报2025，Vol.12Issue(3)：104-119,16.
中国信用债券违约回收率分析
Analysis of Default Recovery Rate for Chinese Credit Bonds
摘要
Abstract
This article uses default data from 2014 to 2021 to study the recovery rate of credit bonds in China.The average recovery rate one year after bond default(as of the end of 2021)is 8％(11％),with an asymmetric bipolar distribution,concentrated on both sides of 0％and 100％.With different horizon,the gold recovery horizon for defaulting bonds is one year.The proportion of Existing bonds in assets is an important factor affecting the recovery rate.Besides,with or without guarantor,issued in the inter-bank market or not,state owned enterprise or not,publicly listed or not,short-term treasury rate and spread over long and short treasury rate significantly affect the default recovery rate.In terms of recovery rate prediction,machine learning models are significantly superior to linear regression models.Among them,the prediction of ensemble learning model is the best.关键词
违约回收率/信用风险/机器学习分类
社会科学引用本文复制引用
李向真,刘士达,王浩..中国信用债券违约回收率分析[J].经济学报,2025,12(3):104-119,16.基金项目
本研究受清华自主科研基金(项目号2023THZWJC20)的资助. （项目号2023THZWJC20）
