The Potential Default Risk Eatimate Study On Chinese Corporate Bonds

The development of credit risk experience two main stages,measurement under complete information and incompletement information environment. As the study progresses,measure credit risk under incompletement information become the main method.In this paper,we use the physics instrument-filtration to measure information,one step closer,we use delayed filtration to measure incomplete information.As the time goes on, delayed filtration can change the information structure and filtrate the "noise", so that we can forecast the default probability of the firm in the future exactly.This paper establish the mathematical model of default probability under delayed filtration and empirically study the default risk of China corporate bonds. The theory model and empirical results show that:firstly, a method to estimate default probability of corporate bonds under the conditions of lacking of historical accumulated credit default data which is useful for emerging markets; Secondly, the default intensity mainly depend on the potential public factors and the particular factors of the corporations rather than term of bonds; Thirdly, The guarantees of government and banks will enhance the default incentive of the firms which can be proved by the credit ranks transfer.