Research On Default Risk Of China's Credit Bonds

With the development of the capital market promoted by the government,the bond market is developing actively and steadily.However,while the credit bond market continues to accelerate,the phenomenon of bond defaults has also begun to grow rapidly.Against the background of weak global economic growth and increasing downward pressure on China's economy,China's credit bond market defaults have swept over,and credit defaults have begun to normalize.Therefore,it is particularly important to measure,predict and prevent credit default risk.This paper first introduces the four modern credit risk measurement models,and makes a comparative analysis on this basis.It is considered that the KMV model is the most suitable measurement model for measuring the default risk of China's bonds.Then it introduces the case “15 Jinhong Debt” selected in this paper.The introduction contains the basic situation of the bond and the issuer,the bond 's default process,and analysis of the reasons for the default of “15 Jinhong Debt”.These are conducive to comprehensive analysing of bond default risk below.Finally,based on the actual situation in China,this paper modified KMV model to some extent,and the modified KMV model is used to analyze the horizontal comparison of bond default risk in China to test the applicability of the model in China's credit bond market,and the vertical comparison of the risk measurement of “15 Jinhong debt” to test whether the model can predict the default risk of “15 Jinhong Bond”.In the horizontal comparative analysis,this paper divides some bonds into three groups according to different credit ratings,which are default group,low credit group and high credit group.Based on the modified KMV model,this paper conduct empirical analysis to test the feasibility of the model in China by MATLAB.In the horizontal comparative analysis,the case of “15 Jinhong Bond” was measured every quarter for a period of time,and it was judged that the modified KMV model had certain forward-looking.Finally,this paper proposes the improvement measures to guard against the credit risk of “15 Jinhong Bond” and policy suggestion for the normalization of credit bond default in China.