Abstract: In this paper, using the transaction data from inter bank to measure enterprise bonds expected default probability by constructed reduced form models, and make regression models to decompose the expected default probability into ratings default probability and market expectations modified default probability, according to this carried on the empirical analysis. The results show that: Macro liquidity and structural changes have important influence on enterprise bonds expected default probability; the decomposed ratings default probability in enterprise bonds expected default probability accounts for about 15%~31%, and the higher credit rating, the longer period will have a higher default probability. This provides a reference for investors to risk management and pricing in enterprise bonds.

摘要： 本文利用银行间企业债交易数据，借鉴简化模型测算得到了企业债的预期违约概率走势，在此基础上构造了回归模型，将企业债预期违约概率分解为评级违约概率和市场预期修正违约概率，对此进行了实证分析。结论表明：宏观流动性及其结构性变化对企业债预期违约概率有重要影响；分解得到的评级违约概率在企业债预期违约概率中的占比约在15%~31%，且信用等级越高、期限越长，评级违约概率占比越高。这为投资者对企业债的违约风险评估与定价提供了参照。