Identification Of Strategic Default Of Credit Debt In China And Analysis Of Its Influencing Factors

Since "11 chaori bonds" became the first publicly raised bonds to default in China in 2014,the number of "old delinquent" in the bond market has risen sharply.By the end of Jun 2019,the number of defaulted bonds had reached 372,seriously affecting the healthy development of the bond market.Manage such "old depend on",face hard to distinguish debtor not only is the management sex breach that causes because of insolvent debt,still be the problem that debtor has reimbursement ability to default strategically however;Moreover,what confuses creditors and market regulators more is: in strategic default,how to identify the active strategic default caused by the debtor's insufficient repayment intention or the passive strategic default caused by the debtor's short term liquidity shortage or technical reasons.This paper combines the multi-source data of iFinD,wind,sky eye,official website of credit China and major domestic search engines to explore the identification of strategic default of credit bonds in China and the influencing factors.Firstly,according to the theory of moral hazard,the formation mechanism of active strategic default and passive strategic default is explained from the perspectives of information asymmetry and financial ethics.Secondly,the non-cooperative game is applied to analyze the debtor's decision-making behavior under the credit environment,and analyze the influence of the credit environment on the debtor's decision-making.Finally,the paper further discusses the influence factors of the debtor's repayment ability and repayment willingness,including net profit rate,short-term debt ratio,enterprise's actual control personnel quality and enterprise guarantee situation,and puts forward four empirical hypotheses.Empirical research is divided into three aspects.First,the logistic regression model is used to identify strategic default,distinguish operational default and strategic default,and obtain the comprehensive score of debt through the comprehensive evaluation score model.The comprehensive score is used to distinguish active strategic default and passive strategic default.Second,the hypothesis in this paper was verified by the logistic regression.Third,test the model in this paper: test and compare the prediction accuracy of logistic model and comprehensive evaluation model through out of sample test;The discriminant analysis is used to test whether the classification results obtained by the comprehensive evaluation model are reasonable,and on this basis,the active strategic default and passive strategic default bonds are identified in the samples used for testing.The theoretical analysis results of moral hazard show that debtors with good moral character will try their best to repay in time.If they cannot repay in time,they will passively default and form a passive strategic performance default.And the debtor that does not have good moral character can use information asymmetry to delay reimbursement as far as possible,although current can pay off,also can choose to be pulled temporarily,form active strategic default.The results of non-cooperative game analysis show that under the adverse credit environment,(strategic default,strategic default)constitutes the only Nash equilibrium solution of debtor's default.The result of the difference analysis of repayment ability shows that the enterprise which has strategic default should have higher repayment ability than general default.The result of the difference analysis of repayment intention Angle shows that the repayment intention of the enterprises that have strategic default should be lower than the general default.Based on the above analysis,four hypotheses are proposed in this paper.Empirical research shows that:According to the types of influencing factors of strategic default,the net profit margin of an enterprise is a risk factor of strategic default,that is,the higher the net profit margin of an enterprise,the greater the possibility of strategic default.The ratio of shortterm debt to total debt is a risk factor,indicating that the higher the ratio of short-term debt to total debt,the greater the pressure on short-term debt faced by enterprises,and the more likely the strategic default will occur.The person in control of an enterprise is moderately educated,has a short tenure,and has no negative credit history.The probability of strategic default is lower.The presence or absence of security is a protective factor leading to strategic default.In addition,whether the comprehensive credit rank of the place where the enterprise is located is in the top 50 of the country is a protective factor for strategic default,indicating that the enterprises whose comprehensive credit rank of the place is in the top 50 of the country are less likely to have strategic default.According to the results of first-order confirmatory factor analysis,this paper scores each sample,obtains comprehensive weights through first-order confirmatory factor analysis,entropy method and analytic hierarchy process,and weights the scores to distinguish active and passive strategic defaults.The result shows that when the final score is greater than 4,the debt has a high probability of passive strategic default.When the score is between 3-4,the debt has a high probability of active strategic default.If the score is less than 3,the probability of default is general.The discriminant analysis was used to test the classification results.The results showed that the overall prediction accuracy was 91.6%,and the prediction accuracy of general default,passive strategic default and active strategic default were 91.8%,84.9% and 100%,respectively.The prediction accuracy was quite high,indicating that the classification was reliable.The results of the model test to identify operational and strategic defaults show that the overall identification accuracy of Logistic is 93.1%,but the accuracy of the out of sample test is 74.19%,and the judgment accuracy of strategic defaults is only 61.54%.The ability of the model to identify operational and strategic defaults needs to be improved.The overall recognition accuracy of the comprehensive evaluation score model through the out of sample test is 95.16%,and the judgment accuracy of strategic default is 84.62%.The prediction of the comprehensive evaluation score model is better than that of the logistic regression model.Finally,the innovation points of this paper is mainly in the following two aspects: one is the research point of view of innovation and elaboration on the research content: in this paper,we study a kind of special-strategic default default behavior,and the model of comprehensive evaluation score,research strategic default of two kinds of forms,namely strategic default active and passive strategic default,and carries on the separation and identification.2 it is innovation of research methods: in this paper,the first-order confirmatory factor analysis is used to provide the basis for the construction of ahp judgment matrix,using entropy method to get the difference coefficient of correction,analytic hierarchy process(ahp)to get the weight for as much as possible,reduce the influence of the strong subjectivity through ahp,and made in this paper,empirical results more objective and reliable.