Research On Credit Risk Of Corporate Bond Based On Bootstrap Methods

With the development of corporate bond in china, the focus on how to measure its credit risk attract more attention. The question what this paper want to study is how to chose appropriate model to measure credit risk of corporate bond in china. Theoretically,the paper introduces corporate bond,credit risk,the four morden models of credit risk measurement,the basic theory of bootstrap methods.Then,though comparing the four morden credit risk measurements,the paper says that the kmv model is fits for china’s developmental practice, and try to modify kmv model with the methods of bootstrap.Empirically,the paper choses fifty-nine corporate bonds to analyse and finds that the default point calculated by kmv model can reflect the credit risk of corporate bond, the default frequency based on bootstrap method is more accurate and suitable than the default frequency based on normal distribution.