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Corporate Bonds: Credit Risk Research, With The Market Regulators

Posted on:2006-11-23Degree:DoctorType:Dissertation
Country:ChinaCandidate:X K LiuFull Text:PDF
GTID:1116360155460551Subject:Finance
Abstract/Summary:PDF Full Text Request
Corporate bond plays an important role in the corporate's financing system. On the other hand, the credit risk is the main risk in the corporate bond market. In our country, due to the worries about the credit risk and the absence of regulation system ,the development of corporate bond market is very slow. This paper attempts to investigate the corporate bond market in the view of credit risk and the regulation system, to explore the intrinsic mechanism, the form to occur, the measuring techniques and the regulation methods.In this paper, the credit risk of corporate bond is divided into two parts, one is the risk of credit spread, and the other is the default risk. In general, this paper is composed of two aspects, one is the study on credit risk bond theory and the measuring techniques ,and the other is on how to regulate the credit risk of the corporate bond market.For the fundamental position of the pricing theory of the credit risk in the studies on the credit risk of corporate bond, firstly, the pricing theory is analyzed. And then, the one form of credit risk of corporate bond, the credit spread is to be analyzed in two ways. The first is, to analyze the relationship between the credit risk and the economic elements, the other is, how to estimate the credit spread and its changes ,in order to construct the risk structure of interest rate of the corporate bond. Additionally, the structure of interest rate and the credit spread of china corporate bond market is analyzed in this part. In this first part of the paper, the other form of credit risk of corporate bond is analyzed ,too, that is the default risk. Because the modern international finance has entered the era of managing the credit risk in measuring techniques, In this paper, the study on default risk is concentrated on these measuring techniques. In fact, these techniques are the applications of the traditional pricing theory of the corporate bond.The second aspect of this paper is on the regulation system of the corporate bond market. As one of the most important parts of the regulation system on the credit risk of the corporate bond, credit rating is firstly analyzed. This paper demonstrate that, in a corporate bond market which has asymmetric information, there lies a mechanism which...
Keywords/Search Tags:corporate bond, credit risk, regulation system
PDF Full Text Request
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