| In recent years,the scale of China's bond market has continued to grow rapidly,but the problems of the imbalance of internal structure and the backwardness of various mechanisms have become more and more prominent.Frequent defaults since 2014 have forced the market to pay more attention to the important role of bond investor protection.On the one hand,improving the bond investor protection mechanism depends on national legislative and regulatory measures,which promote the healthy development of financial market by creating a more relaxed environment for investors to exercise their rights.On the other hand,we should also pay attention to the research in the field of investor protection and credit risk management.Besides,we should also pay attention to the research in the field of investor protection and credit risk management,which purpose is to reduce pricing errors,optimize credit risk management and enhance market efficiency by enhancing the market's understanding of the relationship between investor protection,credit risk,credit rating and bond pricing.Based on these understandings,this paper analyzes the protection of bond investors and credit risk management in China from three parts.The first part is the discussion of the theoretical basis of bond investor protection.Firstly,this part analyzes why bond investors need protection,and discusses reasons based on the information asymmetry theory and multi-layer principal-agent theory.Secondly,based on the links which include before-investment,after-investment,beforedefault and after-default,this paper defines the connotation of bond investor protection in each link.Then the paper discusses how to improve the protection of bond investors by internal and external factors,and makes a more detailed analysis in the following two parts.This section will be presented in the second chapter.The second part focuses on the actual situation of bond investor protection in China from the perspective of external mechanism.This part firstly discusses the construction ideas,construction processes and current situations of Chinese investor protection mechanism.Then this part points out the shortcomings of the mechanism,such as lack of adequate protection measures,insufficient process coverage,lack of resale system,vague relevant information and so on.Besides,this paper believes that we can improve the relevant protection system through understanding the main sources of bond default risk.Therefore,this part makes a detailed analysis on the eight main sources of default risk,and tries to explain the optimal investor protection system.This section will be presented in the third chapter.The third part consists of the fourth,fifth and sixth chapters,which focuses on the empirical experience of bond investor protection in China from the perspective of internal endowment.This part takes bond investor protection as the core variable,and analyzes the interaction between bond investor protection and default risk,credit rating and other factors,so as to provide reference for optimizing investors' credit risk management.Among them,the fourth chapter examines the impact of investor protection on default risk through multiple regression model from the two aspects of subject and debt.The results show that the higher the degree of investor protection,the lower the default risk of both the subject and the debt.In practice,the most frequently used reference index of credit risk management is credit rating.Therefore,this paper must study whether the credit rating can fully reflect the information of investor protection and the change of default risk.Based on such condition,this paper analyzes the relationship between the credit rating of subject and debt,default risk and investor protection in the fifth chapter.The results show that the lower the default risk,the higher the rating,regardless of in subject area or debt area.Further research shows that subject credit rating cannot reflect the deterioration of subject credit qualification precisely.At the same time,the credit rating of high-rated bonds is not sensitive to the change of default risk,while the credit rating of low-rating bonds is more sensitive to the change of default risk.In addition,the impact of investor protection measures on the credit rating of high-yield bonds is special,for example,the debt rating of high-yield bonds is much less sensitive to the important variable of whether the issuer is a state-owned enterprise.Due to the lack of data,the investor protection of bonds with different rights and its impact on default risk and credit rating have not been analyzed deeply enough in the fourth and fifth chapters.For this reason,in the sixth chapter,this paper creatively carries on the simulation analysis of bond pricing based on CIR model and TF model,in order to demonstrate the difference of investor protection effect of different rights setting.The results show that callable bonds have the lowest protection to investors,followed by callable bonds.Convertible bonds have the highest degree of protection for investors among the three kinds of bonds.To sum up,the research of this paper has both theoretical and practical significances.In theory,the research results of this paper will expand the depth and systematization of the research on bond investor protection.In practice,the research results of this paper will help investors,issuers,rating agencies and regulators to make better judgments.For example,for bond investors,this paper believes that factors such as corporate background,ownership structure,management quality and bond terms may play a role in investor protection.Therefore,investors need to examine the specific circumstances of these factors in detail when making decisions.Then investors will deepen their understanding of default risk,improve the accuracy of pricing and optimize credit risk management. |
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