Chinese Listed Companies Based On The Probability Of Credit Migration Matrix Bond Credit Risk Measure

In recent years, with the development and perfection of market economy, China's corporate bond market has developed rapidly. The rapid development of the corporate bonds market is not only conducive to improving China's bonds market, while also promoting the money market and bonds market, coordinated development. However, with the rapid development of the corporate bonds, the research on credit risk is becoming increasingly important. How to measure it accurately is extremely necessary for all market participants. This paper is proposed in this context.Two types classical models of credit risk measurement is firstly reviewed:Structural Model and Reduced form Model. In the next, the Markov theory, JLT model and Credit Metrics Model are introduced respectively. Then, the credit rating migration matrix is calculated on the basis of the historical credit rating data of the Chinese listed corporate bonds which come from wind info(06years-09years) The credit rating migration matrix is calculated respectively in line with the credit rating data(06years-09years) of the Changchang Xi Co. and China Lianhe Credit Rating Co. On this basis, the JLT Model is used to the study of the credit risk of corporate bonds released in the 2009, then the difference of the credit value of risk which is caused by the difference of the credit rating migration matrix is compared and the reasons are analyzed, then, the rationality of the pricing of Listed corporate Bonds is analyzed. In the next part, the Credit Metrics Model is used to measure the credit value of risk with the same sample, at the same time, we analyze the difference of the credit value of risk as result of the different credit rating migration matrix. At the last of this paper, some suggestions are given to improve the credit risk management of Chinese listed corporate bonds.