| In recent years,China’s bond market has developed rapidly,since the financing scale of China’s bond market has reached 12.78 trillion yuan by the end of 2020.The scale and development also put forward higher requirements for China’s credit supervision.Since 2017,the number of default bonds continues increasing.In 2020,the balance of default bonds is 441.115 billion yuan,and the default rate is 1.1447%2.As one of the important means to regulate the bond market,the result of credit rating is not only related to the smooth issuance of bonds,but also affects the reasonable investment decisions of investors and financial institutions.Judging from the current rating results,a large number of credit ratings of China’s bond entities are concentrated in AAA,AA+ and AA,which are out proportion to the development speed and scale of China’s bond market.According to Basel II and III,the rating scale should be fully refined and the distribution of enterprises in each credit rating should be as uniform as possible,which does not match the current rating practice.In the part of theoretical research,this paper starts from the development and evolution of credit rating methods at home and abroad,and reviews the research paper on financial index model,market index model and hybrid model of credit rating method.And then,this paper focuses on the concept,advantages and limitations of KMV’s Distance-to-Default model.Considering that part of information reflecting the company’s prospect evaluation is not included in the calculation of default distance,this paper mainly adopts the prospect adjusted distance-to-default(PADD)model which includes the combination of financial indicators and market indicators.With the help of the benchmark two-reference point model,this paper further defines and analyzes the theoretical and practical significance of risk aversion reference point and prospect inhibition reference point.In the empirical research part,through the empirical analysis of the prospect evaluation calculation,we find that some of the indicators have discontinuous optimization direction when the positive and negative values exist at the same time,which further leads to the failure to implement the prospect calculation method for the sample subjects through the multi-attribute decision-making method.Therefore,we define the different regimes based on the above situation,and propose the PADD calculation model considering discrete state.This paper selects A-share listed companies in the manufacturing industry,and calculates the PADD values of each company,and verifies the rationality of the improved model in quarterly rating,annual rating and biennial rating.The results show that credit evaluation model of PADD considering discrete regimes has good differentiation for companies with various risk statuses,which is reflected in the performance of credit risk related indicators calculated by the model is no worse than that of DD method.The consistency of quarterly rating and medium-and long-term rating based on the numerical results of the rating also verifies the application value of the main model in this paper.Based on the above conclusions and the present situation that the existence of negative profit index in the development of China’s bond market,the credit rating model considering discrete regimes of PADD method in this paper also has a certain practical value in the industry practice. |
