The Research On Credit Risk Premium Of The Listed Company’s Bond

Along with the constant development of the world economy,the world’s financial industry is getting more complicated,full of all kinds of uncertainty.In particular,since the1990s,the European currency crisis,the Mexican financial crisis and the Asian financial crisis have brought huge losses to the world economy. It waked up the world’s finance industry attach very importance to the financial risk,especially the credit risk.China has become a formal member of the WTO, financial supervision and management will merge with the world,the financial industry will be open.Therefore,the credit risk has become one of the major financial risks in China’s financial markets.At present,China’s corporate bond market is facing a historic change,administrative control is gradually reducing,the market will become the main force to decide the development of corporate bond market.Along with corporate debt market development,various types of risk,especially credit risk will suddenly enlarged,which requires us to strengthen corporate bond credit risk research to ensure that the risks and benefits between the investors and enterprises equitably share,and enhance the effectiveness of market.As a major risk in capital market,credit risk comes from the uncertainty of economic activity. International research on the credit risk mainly concentrated in the reduced form model and the structure model.Reduced form model think events of default as a random process,study credit risk through its external default parameters. According to the micro-structure of company debt,Structure model study the motive and distribution about default by option pricing theory,thereby describe credit risk.In this paper,in the assumption that the interest rate of corporate bond equal the risk-free rate with same duration+credit premium,discount function model were used on China’s treasury bonds and corporate bonds of figuring its discount structure function,and then the reducing of interest rates with corresponding period are the size of credit risk premium,which can be plotted the premium term structure curve of corporate bonds.At last,paper got premium size of China’s corporate bond and proved the theoretical basis that the premium increases with the duration,the classical structure model can be applied to China’s corporate bond credit risk measurement and pricing.