| China’s bond market has begun to form a system, the credit debt type also has become an important part of it. In the anticipation that the government would make the timely payment of the bond, there was no- default illusion. Bond investors also easily ignore the potential credit risk. In the aspect of the weak risk consciousness, the external intermediary agencies loss the motivation to reveal the risk.In the early of 2014, "Chao ri" debt defaulted. The default of the standard debt instruments obviously has deep impact on the expectations of market, market participants start to develop the consciousness to alert and avoid debt risk. The prevention of credit risk is been put on the important agenda. In the time of financial reform and slowing growth, the credit risk is accumulating, the default case will appear again, investors need to re-price the credit risk, which encourages themselves to construct the internal credit rating model.From the perspectives of investors, Internal rating can earlier reveal the size of the credit risk, on the basis of weighing the benefits and risks, investor can timely adjust the asset portfolio, find the relative value. But the internal credit debt rating in our country is not yet mature. There is no perfect analysis framework and external rating dependence is very serious. In addition, the main financial statement analysis does not make a useful warning and get the objective, accurate result. Investors should keep up with the pace of the development of the bond market. In terms of risk control, timely eradicating the "free-rider" attitude is a clever manner. Internal rating cannot be excessively dependent on external rating results. Building a internal rating system and making investment decision at their own risk can improve the ability of credit risk prevention and management.The object of this assay is internal rating model of the credit debt. Firstly, I mainly analyze the existing problems of internal rating, especially highlight the disadvantages of its dependence on external rating results. Secondly, through proving effectiveness of the external credit rating, I find it can’t reveal the differences in the credit qualification of different industries and different nature of the company, so its evaluation credibility is questionable. Thirdly, according to the test results and former analysis, adding explanatory variables to the model, such as the macroeconomic situation, the boom of industry, the company competitiveness, the company’s financial indicators and bond itself characteristics, use all of them to fit the credit spreads of medium-term notes. Because each kind of synthetic indicators involves too many reference factors, the model uses comparative matrix, factor analysis, significance test and regression fitting method, to find out the best index which can obviously reflect the change of spreads. On this basis, build a dynamic tracking, timely warning, objective and accurate credit risk assessment model, then help the financial institutions to find that which bond is undervalued or overvalued. |
