Research On Default Risk Of Bonds Of Non-listed Companies In China

As the Ordinances of the administration of the issuance and trading of corporate bonds issued in 2015,the volume of corporate bonds of non-listed companies increase rapidly,default risk also rises fast.It has become the focus of attention.This article aims to explore how to measure the default risk of non-listed companies which issued bonds.KMV model is one of the four credit risk models that are currently used,and has been widely used for its convenience and dependence on less data.The article chooses KMV model to measure the default risk of non-listed companies which issued bonds.But lacking of market value and volatility of market value is a problem when KMV model used on non-listed companies.The article will analyze how to price assets value of non-listed companies.Industry substitution and regression estimation are two methods often used to solve this problem.The former one directly regards the industry average value of listed companies as the asset value of non-listed companies,ignoring individual differences of non-listed companies.So this article chooses the later one which has similar basic idea and considers individual differences.And the course is like this: obtaining the relationship between asset value,volatility of asset value and key financial indicators of listed companies by regression estimation method,then substituting financial data of non-listed companies into the regression equation to get asset value and volatility of asset value.After that,KMV model is used to calculate the default distance.In the fourth chapter,the article chooses 389 listed companies to calculate their asset value and volatility of asset value,then find regression relationship between dependent variables and key financial indicators such as Asset-liability Ration,Earnings Before Interest,Taxes,Depreciation and Amortization and Sales Income.And then calculate non-listed companies' asset value and volatility of asset value with its own financial figures as input and distance to default with KMV model.Based on these data,some empirical application analysis has been made.The analysis shows that model established in this article has a certain recognition effect on default risk,but also limited by the authenticity of financial data of non-listed companies.At last,the whole content is summarized and some prospects are proposed.