The Impact Of Credit Risk Events On Bond Credit Spreads

In 2018,credit risk again attracted great attention from the credit bond market.Under the severe macroeconomic situation,many industries suffered losses and depression.In recent years,the stock of maturing credit bonds,lower ratings and bonds with major credit risks has reached its peak.With the occurrence of "11-day debt" default events,the main body of listed companies and debt ratings have frequently been downgraded,and the outlook of the main body of the company has turned negative.Then,investors began to pay attention to the changes of bond credit spreads in the credit bond market to reflect the credit risk of bonds.In this context,this paper studies the bond credit spreads after the occurrence of credit risk events.Duff(2000)study found that credit spreads refer to the difference between the yields of bonds on the market and the yields of bonds,and take the yields of bonds as the level of yields without credit risk.According to the research at home and abroad,credit spreads are influenced by external macro and micro factors.At the macro level,credit spreads are affected by economic cycle,risk-free interest rate,liquidity,bond maturity and other factors;at the micro level,credit risk is affected by bond rating,issuer’s capital structure,operating financial conditions and other factors.It can be found that the research on credit spreads at home and abroad is mostly concentrated in the primary market.The main research direction is the influencing factors of credit spreads and related empirical analysis.Few people discuss the changing factors of credit spreads in the secondary market.This paper mainly studies the bonds circulating in the secondary bond market of our country.Based on the sample data of medium-term bills,corporate bonds and corporate bonds circulating in the inter-bank market and the exchange market,this paper studies the change of credit spreads.Using event study,univariate analysis and linear regression,this paper explores the impact of credit risk events on bond credit spreads in the domestic bond market.This paper classifies credit risk events in a narrow sense,and divides credit risk events into: negative change of subject rating outlook,lowering of main credit rating and lowering of debt credit rating,and use this as a quantitative indicator to analyze the impact of credit risk events generated by credit bonds.This paper believes that when the issuer of the bond market has a credit risk event,the credit spread of its related bonds will be affected to varying degrees,and the degree of influence is related to the variety of the bond,the nature of the property and the bond grade.That is,low-rated bonds,corporate bonds,and bonds issued by private companies are more susceptible to credit risk events.This paper also attempts to explore whether industry differences will affect the changes in bond credit spreads and the corresponding degree of impact.Compared with the previous literature,this paper enriches the definition of credit risk events.The previous literature mostly chooses case analysis to explore the impact of the occurrence of credit risk events on bonds.Credit risk events are quantified as indicators that can be empirically analyzed.At the same time,in the case of the event research method,this paper uses the credit spread rather than the bond yield to compare and analyze the results,which increases the reliability of the conclusion to some extent.Secondly,when using the market model to estimate the expected remuneration in the event analysis method,the government bond yield is not selected as the market remuneration rate,but the corresponding rate of the corresponding category is selected in the relevant market,minus the same period of time.The government bond yields are estimated as market spreads,which will help to obtain general rules and increase the reliability of conclusions.Finally,from the perspective of sample selection and research,this paper selects three types of bonds.Previous literature studies have mostly studied a certain type of bonds,covering a relatively limited scope.This paper uses the event research method to first investigate whether the credit risk event has an impact on the bond credit spread.Secondly,using the univariate analysis method to explore which variable factors have a greater impact on the bond credit spread,and finally conduct regression analysis on the industry factors to test.The extent to which industry factors have a specific impact on bond credit spreads.