An Empirical Study On Credit Rating And Its Method Of The Quasi-municipal Bond

The tax sharing reform established the Chinese financial system which is decentralized as is called "one government,one power", but also led to the authority of office and financial power of local governments not equal. With the accelerated urbanization process, the local government have a huge funding gap, rising external financing needs. Given the actual situation of Chinese local government having not the authority of the bond issuance, the Quasi-municipal Bond are having played a very active role to promote the construction of urban infrastructure and municipal facilities. Up to now. the circulation of the Quasi-municipal Bond have accounted for half of the total corporate bonds, driving in the bond market investment products. Since the Quasi-municipal Bond as an investment product, investor care about naturally their own interests can be legally protected or not and whether the risk of investment products can have a reasonable disclosure. During the "12th Five-Year" period. China will strive to build a multi-level capital market,as a result.the bond market will be developed at first, while the Quasi-municipal Bond which is an important part of the bond market, it will play an important role in the capital market. So the study of the Quasi-municipal Bond credit rating methods, whether for long-term development of the credit rating agencies or the interests of investors protection, will have a great reference significance.In this paper, taking the Quasi-municipal Bond as a research object, after learn the literature about the domestic and international credit rating of theoretical and empirical and understand the history and recent progress of this research in the field, we attempt to establish two credit rating model.The Model One is the Ordinal Logistic Model based on the method of classic principal component analysis, and the Model Two is the clustering model based on the method of generalized principal component analysis. Specifically, taking descriptive statistics. have a summary of the Quasi-municipal Bond credit rating; having a normative analysis to summarize the influencing factors on the Quasi-municipal Bond credit rating; taking the2011Quasi-municipal Bond as a sample, have an empirical analysis for the two models and take an appraise and compare for the two models.Chinese bond market have a short development, and the Quasi-municipal Bond is also an emerging product, and in the reality in China, there is hardly case of debt default, so it is difficult to reference to foreign countries which have more mature default models for judging the credit level.The study in this paper will provide investors with the idea that determine the level of the Quasi-municipal Bond credit:1. Using the Model One to judge for the new arrive bonds or the track rating of old bonds. Taking the sample database in the past year to build the prediction model..and to update the model at the end of each year.this will form a complete prediction model database to enable investors have a continued ability to forecast the Quasi-municipal Bond.2.The Model Two is a complement for the Model One,which is more flexible and does not rely on external rating data. The investors can use the internal rating model, for a certain period of time of its bond portfolio,to have a credit rating classification to understand the characteristic of each bond. In addition, the model can have a back test for the bonds of the historical database, taking the predicted results as a basis for the modeling the first model, which can make to improve the model accuracy of prediction of the Model One to a certain extent.3. The modeling approach of this article used principal component analysis can provide intermediate variables, to help investors to conduct in-depth analysis of the Quasi-municipal Bond, when bond issuers have a large number of debt or transfer their own assets, this intermediate variables can advance to predict changes in the rating, allowing investors generate a predictive role to help investors determine whether to continue to hold bonds.