Research On Credit Risk Prediction Of Corporate Bonds Based On Credit Rating

Since the Third Plenary Session of the 18 th,China has emphasized the decisive role of the market in the allocation of resources,vigorously develop the market economy,and the essence of the market economy is the credit economy.In the credit economy,traders based on their own credit,through the establishment of debt and debt to achieve capital transfer,so the most important condition in the credit economy is to comply with the credit agreement,otherwise it will produce credit risk.As one of the main ways of enterprise financing under the credit economy,Bond Financing plays an important role in promoting economic development and realizing the optimal allocation of resources.At present,the bond financing in both the total amount of financing and accounting for the proportion of social financing are more than equity financing,but in the increasingly important bond financing at the same time,credit risk continues to highlight.Since the first case of corporate bonds in China since the breach of contract in 2001,corporate debt defaults continue to break out,the main body of default from private extension to state-owned enterprises,the amount of default from the debt default to the principal default,breach of contract almost all types of corporate bonds.Therefore,corporate bond default risk has become the focus of widespread attention in the capital market.In China,corporate bonds must be approved by the credit rating agencies to conduct credit rating can be issued,the credit rating is used to reveal the credit risk,to resolve the debt between creditors and other issues such as asymmetry.However,due to the late start of our credit rating industry,the unreasonable charging model,the lack of credibility and the lack of tracking and rating mechanism,some scholars believe that China's credit rating can not accurately reveal the credit risk.Therefore,based on the credit rating perspective,on the basis of the literature research method,this paper uses the empirical research method to verify whether the credit rating can reveal the credit risk and forecast the default risk of China's corporate bonds.The results show that:(1)Although there are many problems in China's credit rating industry,it still reveals the credit risk of corporate bonds,and the credit rating of issuer or debt is negatively correlated with its probability of default.However,the public question: Develop and improve the credit rating industry,to promote its rapid development with the bond market.(2)From the predictive classification results of the Logistic regression model,the predictive accuracy,predictive robustness and the comprehensibility of the logistic regression model are ideal for the default risk of corporate bonds.At the same time,investors are more concerned about the first type of forecast error(the actual default,but in the forecast,it is predicted as a normal performance of the enterprise)the probability of small,to meet the requirements of investors.