Research On Credit Risk Measuring Of Corporate Bond

As the increase of national financial operation's high marketing degree and reformation deepened, risk of financial activities—the financial phenomenon which exists has become more and more prominent . In the changing economical system, of various risks which are faced by national financial institutions, credit risk is the most serious. It is important whatever for the management of national commercial bank system and bond market, especially for China's corporate bond market. In this paper, the theories and approach of several representative credit risk models are discussed and deeply analyzed. Their virtues and shortage are pointed out and an efficiency approach to measure credit risk is presented and tested on applications.The theory of CVaR risk measuring technology is introduced in this paper, and the virtues and effects of VaR and CVaR risk measuring technology is expounded. Va R model doesn't point out that once the expected value of maximum loss is exceeded, how much the loss of capital will be. CVaR is able to quantify dangers beyond VaR and moreover it is coherent. The superiority of this way is the final solution may be transferred to linear program problem, and it doesn't only include CVaR's value but also VaR's value, at the same time the portfolio's best ratio can be computed.In addition, based on the theories of CVaR, a multi-stages model based on weights is established and discussed. Structural model and reduced form model are used, the first thing is to measure the credit risk of multi-stages corporate bond which may break the agreement. A case study for our corporate bond market is performed, under the different confidence level, CVaR's value and the portfolio's best ratio is computed, demonstrating how CVaR model can be used efficiently in the credit risk measure of corporate bond.