The Measurement Of Systematic Risk Of Enterprise Bond

As the basic financing tool, enterprise bond is also faced with daily-increasing risk for speculators and managers. Among all the risk it face, systematic risk is widely concerned because of its special status. All the assets are faced with this risk. Moreover, it is often the basic reason for other types of financial risks. With the development and the further opening up of our country’s enterprise bond market, its systemic risk faced is also rising. Unsystematic risk can be scattered through portfolio investment, hedging and other ways while as to systematic risk, lots of efforts should be put in the prevention and avoidance of it. The U.S. subprime mortgage crisis in2007makes people more deeply aware of the importance and necessity of risk prevention. Similarly, today with the rapid development of the enterprise bond market, we are concerned with how to maintain the momentum of development. More importantly, we pay great attention to how to ensure their sound development under the precondition of risk control. At present, it is urgent to establish a scientific risk analysis and assessement system. The primary task is to measure risk, which is exactly what that the paper studies. The paper covers the rating and evaluation of potential risks and the long-term risk control from the macro and micro level.Started with measurement of the systematic risk of enterprise bonding, the paper emphasizes on the empirical research both on the macro and micro level so as to stress the necessity and importance of the prevention of the systematic risk of enterprise bonding. Based on the modern risk measurement model, the first part of the empirical research mainly analyzes the tendency of the systematic risk of enterprise bonding on the macro level by using VaR method of the GRACH model. It is included that the systematic risk is increasing as a whole though it does fluctuate. An quantitative research, the second part of the empirical research analyses the main causes of the risk and their influence on the micro level. It builds a multi-factor model, a linear equation between enterprise bonding yield rate and interest rate risk and a linear equation between credit risk and liquidity risk using multiple regressions. It is concluded that interest rate risk and credit risk exert the most influence on enterprise bonding yield rate, followed by liquidity risk. The conclusion of this paper has certain practical significance. It is suggested that interest risk should be the main indicator of systematic risk. The model coefficient can indicate the influence so that it is easier to do quantity research on systematic risk and to monitor it.