Based On The Term Structure Of Interest Rates And Credit Spreads Of Corporate Bonds, Credit Risk Research

In the 1990s three major financial crises (the European currency crisis, Mexico's financial crisis and the Asian financial crisis) has stimulated governments and financial institutions in the macroeconomic and financial system in a constant search for a rational and efficient risk management methods to improve and consolidate its domestic financial system, enhanced ability to withstand financial risk. In the process, many of the world's largest financial institutions to keep the research, development and use of a very effective technologies and methods to identify, measure and control financial risks, mainly credit risk and market risk. Because the market risk and credit risk for banks, financial institutions, investors are a very important and can influence decision-making factors.Market risk refers to the role of market forces as a result of changes in the value of an investment possibility. Market risk integrated interest rate risk, currency risk and the stock market risk. Since the market since the market has been affecting the risk of financial institutions. And the latter in contrast to the credit risk: market risk management technology has seen a dramatic change, and is becoming more mature. Some major breakthroughs have been made of market risk management; in a sense become a science.Credit risks faced by financial institutions are a traditional risk. It mainly refers to the market as a borrower or counterparty default losses caused by the possibility. More generally, including credit risk as a borrower's credit rating to reduce its debt led to the decline in the market value of the losses arising from the possibility. Credit risk involved in investments and loans for bonds, and other financial activities. And credit risk management is the core of the pricing of the bonds default.And the management of interest rate risk than credit risk management behind many, many reasons. However, the financial derivative products, the emergence of not only expanded the concept of credit risk, but also awakened the people more credit risk awareness. For example, interest rates and currency exchange on the market contain no separate risk and credit risk. For example the emergence of asset-backed securities, like other financial derivatives, forcing market participants to pay more attention to credit risk. Securitization means that the risks of these systematic classification breakdown. A typical asset-backed contract will involve a lot of factors, and to understand these factors change the relationship between the needs of the higher complexity of the analysis technique. As the securities of technology began to expand new areas, more and more started to invest in family or commercial mortgage securities and other asset-backed securities.With the rapid development of the financial industry, financial innovation has speeded up the process, and information technology fields in a wide range of financial applications, rapid growth of derivatives, the financial services industry is becoming increasingly fierce, the financial sector is faced with a great challenge. Particularly as financial globalization trends and the increased volatility of financial markets, credit risk evaluation and management become increasingly important, which should attract sufficient attention.In recent years as China's corporate bonds, issued the expansion of the scale, China's bond market has made some development, so as to ensure and promote the rapid and steady growth of the national economy has made important contributions. But for a long time, because China's capital market has been strong stock market, weak bond pattern, and people of concern about the bond market is not high, thus the domestic bond market study is still considerably weak. In view of this, this paper will be closely linked China's bond market reality, in reference to foreign research results on the basis of China's bond market interest rates and the dynamic behavior of the bond credit risk issues in depth study.First, this paper has reviewed the current term structure of interest rates and credit spreads model for the structure model several forms, and in-depth analysis of their characteristics, scope of application, as well as the link between each other. Then we introduced in detail in this paper by the Institute for Empirical Vasicek Longstaff-Schwartz model and the model of the structure and assumptions. Finally, in light of China's actual situation in the bond market model with empirical analysis done first through different period under bond repurchase rate, using time series analysis, as well as cross-sectional configuration of the interest rate term structure, changes in domestic interest rates capture process, and to test the predictive ability Vasicek Model; reuse LS model parameters estimated and the actual market transactions and value for comparison, LS test model used in the domestic bond market feasibility.