Measurement Of Default Risk Of Chinese Corporate Credit Bonds

Since the reform and opening up,with the rapid development of economy,the domestic financial market has entered the debt expansion cycle.By 2020,the market circulation of bonds is more than 114 trillion yuan.However,in recent years,China’s economic growth has entered a shift period,the domestic financial market has entered a debt contraction cycle,and the debt issuing companies are facing the problems of debt concentration maturity and debt structure.Under the background of "supply side structural reform" and "breaking the rigid exchange",the trend of default of credit bonds in China has begun to spread.It is the premise of the healthy development of China’s bond market to understand the default risk of credit bonds and build a reasonable default risk measurement model,which is also an important starting point to break through the bottleneck of the development of China’s financial market.On one hand,China’s bond market has entered a period of rapid development and the initial period of bond default.How to "break the rigid exchange" and form a virtuous cycle of bond credit risk and survival of the fittest of bond issuing companies is an urgent question.The premise is that the participants in the bond market can identify the default risk of credit bonds,and let the participants who are willing to bear high risk obtain the credit risk through the effective matching of risk and return High yield,the bond market truly reflects the essential value of its direct financing market.The premise to achieve the above goals is that market participants can correctly measure the default risk of credit bonds.On the other hand,the biggest bottleneck in the development of China’s financial market is the financing difficulties of small and medium-sized enterprises.The central bank supports the real economy through loose monetary policy,but the structural problems of the financial market are obvious,such as the capital from the real to the virtual,and the capital can’t flow to small and medium-sized enterprises.The root of the problem is that the market participants do not have the ability to identify the default risk of credit bonds.As a result,some small and medium-sized enterprises with good qualifications are unable to obtain direct financing resources under the influence of "one size fits all" of financial institutions’ investment decisions,and finally enter into a vicious circle and become insolvent,which aggravates the financing pressure of small and medium-sized enterprises.How to build a credit default risk measurement model is the key to solve the above problems.In view of the above,this paper analyzes and summarizes the default status of Chinese corporate credit bonds,studies and summarizes the applicability of default risk measurement models at home and abroad.On this basis,the study finds that the industry index analysis model and KMV model are suitable for the default risk measurement of Chinese corporate credit bonds,but there are shortcomings in the promotion of the model.Firstly,the application of industry index analysis model Second,KMV model is only applicable to the measurement of default risk of listed companies,while more than 70% of bond issuing companies in China’s bond market are non listed companies.Therefore,from the perspective of industry differences of default risk influencing factors,this paper constructs a default risk measurement model based on industry sensitivity;from the triggering effect of cash flow on default events,this paper applies discounted cash flow model to evaluate the total assets of bond issuing companies,replacing equity value as the main variable of KMV model,so as to extend the applicability of KMV model to unlisted companies.Starting from the essence of default,if there are multiple factors that may lead to default,then any change of default factors may affect the default risk.Therefore,this paper constructs a comprehensive model of default risk measurement based on two perspectives.This paper takes the issuing company of the outstanding company credit bonds as the prediction sample at the end of December 2019,and measures the default risk of the predicted sample.The research results include: Firstly,the credit risk of companies in the consumer industry and public utilities industry will increase;secondly,the credit risk of companies will transfer from the North to the South;thirdly,the credit risk of companies will transfer from private enterprises to state-owned enterprises.The default warning system of Chinese corporate credit bonds is constructed.The system implements the research results to application from three perspectives.One is to provide tools for monitoring and supervising the default risk of bond market from the perspective of regulatory agencies;the second is to serve the default warning of credit bond pricing and position bonds from the perspective of bond investment institutions;the third is to serve the default warning of credit bond pricing and position bonds from the perspective of bond issuing institutions.The contribution of this paper is to improve the methodology of credit risk measurement for Chinese corporate credit bonds.The paper constructs a risk measurement model of credit risk in China from two perspectives.The selection of the model combines the current situation of the default of Chinese corporate credit bonds;the applicability of KMV model is extended to unlisted companies,which improves the value of the model in China bond market.Secondly,this paper contributes to improve the application of default risk measurement.The default early warning system provides the functions of risk monitoring,risk management,investment and operation decision for the bond market supervision department,bond investment institution and bond issuing institution.Thirdly,this paper provides effective tools for the participating institutions in China’s bond market to identify the risk of credit bond default,which will help the effective play of the direct financing tools of credit bonds,fundamentally solve the problems of financing difficulties for small and medium-sized enterprises.