Empirical Study On The Influencing Factors Of Credit Risk In China's Credit Bond Market

Since the 2014 super-day debt default incident,the number of credit defaults in China has surged,and credit defaults have gradually entered normalization.As one of the important financing channels for enterprises,credit bonds play an important role in the financial market,and credit risk is the main risk that restricts the development of the credit bond market and affects the difficulty of financing.As of March 10,2019,there were approximately 341 defaults in the credit bond market.At present,the study of credit risk of credit bonds is urgent and necessary.Based on the recent phenomenon of credit default in China,this paper analyzes its theoretical causes and uses Relogit model and Logit model to analyze the influencing factors of credit risk in credit bond market.The sample covers all enterprises that have issued credit bonds.Whether the enterprise defaults is explanatory variable.On the basis ofprevious scholars' research on financial factors,the company's non-financial factors,macro variables and industry variables were added.The AUC value and accuracy rate were used to predict the effect.The empirical results of the paper show that:(1)According to the model's variable screening results,the financial factors affecting the credit risk of issuing credit bonds are mainly enterprise liquidity,financial leverage,operational capability and growth.The stronger the liquidity of the enterprise,the smaller the financial leverage of the enterprise,and the rapid increase of corporate assets,the lower the credit risk.The greater the leverage of the enterprise,the more likely it is to accumulate credit risk,resulting in insufficient solvency.In the context of previous loose financing,some enterprises' debt expansion was radical.With the tightening of supervision,refinancing was blocked and credit risks broke out.(2)In terms of non-financial factors,the higher the cost of default of listed companies,the lower the credit risk;Private enterprises are more likely to default than state-owned enterprises;The relationship between credit risk and equity concentration of bond-issuing enterprises is first rising and then falling,showing an inverted U-shaped relationship;(3)Macroscopically,the coefficient of the M2 growth rate with the current account is significant.The quality of the macro environment affects the credit risk of the issuing company by affecting the refinancing ability of the enterprise.The tightening of credit will leadto a shortage of liquidity.(4)At the industry level,the higher the income of the industry,the more the company's liquidity gap is made after it brings profits to the enterprise,thus reducing the credit risk of the enterprise;When the industry obtains negative returns,the fluctuation has a significant positive impact on credit risk;(5)In terms of model comparison,the Relogit model has better effects on TPR and accuracy,and is proved to have applicability of credit risk assessment in China's credit bond market.For debt-issuing enterprises in the downstream industry,liquidity management should be strengthened.They should strive to pursue business transformation,respond to industry risk crisis through reasonable strategic planning,and do not blindly expand.for regulators,they should broaden the exit channels after bonds default and establish relative Legal norms and standard procedures.For bond investors,they should pay close attention to corporate credit conditions and deal with credit risks in a timely manner.