A Case Study Of "12 Zhongfu 01" Corporate Bond Default Risk

With the rapid development of China's capital market,bonds play an more and more important role as the direct financing channel of enterprises and the total volume is still rising up.The issuance of bonds has injected new energy into the financing of enterprises,which reduced the barriers to issue corporate bonds for most of Chinese companies especially for privately-owned small and medium-sized enterprises.However,the frequent breach of corporate bonds broke the psychological expectations of investors in China's bond market rigid,but also to the issuer of the main credit caused a blow,weakening the default refinancing capacity.The normalization of corporate bonds violates the stable development trend of China's bond market.Therefore,it is necessary to introduce quantitative analysis model to study the credit risk of corporate bonds quantitatively in China.This paper chooses the "12 Zhongfu 01" corporate as a research case,combined with the empirical perspective of KMV model,this paper studies the credit risk of Chinese bonds,especially private corporate bonds.This paper is divided into two parts,the first part is to prove the KMV model to test whether it has strong ability to judge the main credit of corporate bond issuance in our country;in the second part,it studies the default calculation of the corporate bonds in different time periods,and then compares it with the default risk of the same sample companies and other enterprises credit bonds.In this paper,21 sets of normal company data were compared with 21 sets of ST(or * ST)data,and the relevant parameters of KMV model were corrected.The capacity of KMV model was verified by ROC curve.(1)KMV model is more effective for the calculation of credit bond risk,the closer the warning time is to the maturity time,the stronger the sensitivity;(2)The original KMV model and the modified KMV model have strong discriminative ability for default risk.The ROC curve results show that the modified KMV model is more discriminative(3)Zhuhai Zhongfu has a slightly lower probability of default than the industry average of 19 rubber and plastic sample companies in the same industry.(4)Compared with other corporate credit bonds,corporate bond represented by Zhuhai Zhongfu default risk is lower than the small and medium-sized private debt,higher than corporate bonds and convertible bonds.Through the case study of Zhuhai Zhongfu default contract,the following contents are as follows:(1)Bond companies need to strengthen internal risk control,improve financingand management capacity;(2)Regulators should establish a database of defaults,introduce a variety of quantitative tools to strengthen supervision;(3)Intermediaries need a more professional level,more responsible attitude;(4)Investors should improve the risk of screening ability,get rid of stiff psychological expectations.Finally,the author puts forward that the issuer should take measures to adjust the market demand,the use of asset securitization financing and the establishment of the controlling shareholder to withdraw from the binding mechanism of the proposal.