Study On Credit Risk Identification Of China Urban Construction Investment Bond Based On KMV Model

Urbanization level is an important symbol of a country modernization degree,with the rapid development of China's economy,people's material and cultural life level unceasing enhancement,the next several years the demand for urban transportation facilities and other infrastructure will increase,the contradiction between supply and demand will further strengthen infrastructure.Therefore,China's urban infrastructure construction industry will have more development opportunities,and a good financing system is also crucial.China's urban construction investment bonds with "Chinese characteristics",although the subject is not a local government bond issuance,but the urbanization construction and infrastructure construction in our country play the important role in the process,plays the role of municipal bonds.City investment bonds are an important trading variety in China's financial market and an important financing channel for enterprises.In view of the characteristics of China's urban investment bonds,this paper makes a detailed analysis from two aspects of general characteristics and financial characteristics.General characteristics of urban construction investment bonds in our country,main show is:first,the issuance jumped in 2009 and 2009,China's urban construction investment bonds issuance in 2009 for the first time the cause of the explosion is mainly for macro policy and credit bond policy positive impetus,city investment bond issuance in 2011 after the second explosion is mainly because the main financing way of local government financing platform has changed.Second,the issuance scale of city investment bonds is positively correlated with the economic development level of the province and the financial strength of local governments.Third,the purpose of the issuance of local city investment bonds is the financing platform for infrastructure construction,which is mainly specialized in the construction of municipal facilities for local governments.Fourth,long-term bonds accounted for is higher,urban construction investment bonds are mostly to satisfy the construction of infrastructure in the process of urbanization,the infrastructure construction of the long-term characteristic determines the longer the duration of the urban construction investment bonds.Fifth,the main rating of municipal investment bonds is AA and above.City investment bond issuers of financial characteristics mainly include asset quality,profitability,cash flow and peaceful debt burden and debt paying ability from four aspects,specific as follows:first,the total assets scale,cashability weaker than high of public assets.Second,the total profit is mainly from the non-operating income of government subsidies.Third,city investment enterprises generally face certain capital expenditure pressure.Fourth,debt is large and solvency is weak.This paper reference existing municipal bonds and credit risk research both at home and abroad,combining the reality of our urban construction investment bonds,selected from January 2016 to December,Shanghai Stock Exchange,Shenzhen Stock Exchange and Interbank in 31 provinces of 2468 issued by city investment bonds as sample,for counting the bond credit risk research.Based on the idea of KMV model,this paper constructs a model for the credit risk measurement of city investment bonds and calculates the default probability of city investment bonds.Material has yet to happen because our country urban construction investment bonds default,so in this paper,considering from the Angle of credit spreads,verify the KMV model for credit risk evaluation,calculate the KMV default probability whether or not to issue the carry significant sex.Because the bond interest rate is relative and the credit risk of the bond,the bond credit risk is higher,you need to pay higher interest rates for risk compensation,so there is a higher credit spreads.Before structure spreads regression model using factor analysis on the influence factors of contain indicators more dimension reduction,if many indexes in building the spread model at the same time,unavoidably exist different degrees of correlation between the indicators,there must be multicollinearity,therefore the dimension reduction of the main factors as explanatory variables into the regression method to city investment bond credit spreads.In this paper,the theoretical foundation of the credit spread model is traditional,Z model,credit spread model and select the company's financial indicators and other influencing factors of modern credit spreads measure model,established the credit spread model of urban construction investment bonds,and to measure absolute spread model and relative spread model respectively.Since some variables are a combination of various factors that influence the urban construction investment bonds credit risk may make regression models multicollinearity exists,reduce coefficient estimation efficiency,this paper adopt respectively to observe if and not join that may have caused the multicollinearity variables compared to the corresponding Durbin-Watson,statistics,and backward step by step regression method to estimate model is adopted to determine the rationality of the explanatory variables.According to the empirical results,this paper the following conclusions:first,the KMV default probability has significant positive correlation with interest spread,think the KMV model for urban construction investment bonds a better credit risk measurement tools;Second,macro factors are significantly correlated with the spread of urban investment bonds.Among them,there is a significant negative correlation between the GDP growth rate and the issuance spread,and the CPI growth rate is significantly positively correlated with the issuance spread.Thirdly,the higher the main credit rating of the issuer,the smaller the spread;Fourth,there is significant negative correlation with the credit spread capital structure,because our country bond issue on the limitation of capital structure with clear threshold,under this precondition,the higher the leverage of capital structure shows that the use of the efficiency of funds is higher;Fifth,the city investment company depends on the government's fiscal subsidy income and invisible credit guarantee,and its operating level and operating efficiency are generally weak.Based on the above conclusions,the paper puts forward the policy Suggestions for city investment bonds:implicit guarantee "explicit" and more supervision.Improve the operation ability of city investment enterprises;We will improve the credit rating system.