The Research On Assessing Comprehensive Risk Of Corporate Bonds In China’s Inter-bank Bond Market

In recent years, corporate bonds’ risk problems of China’s inter-bank bondmarket gradually aroused widespread concern in society, and academic circles alsoexplore how to assess scientifically comprehensive risk of corporate bonds in China’sinter-bank bond market. This paper makes focus on corporate bonds of China’sinter-bank bond market, and explore the corporate bonds’ comprehensive riskassessment problems. Comprehensive risk is divided into three aspects, which meanscredit risk，liquidity risk and market risk. Firstly after examining the comprehensiverisk status and risk assessment status of China’s inter-bank bond market, we ifnd thatthe credit risk is very low，and can be ignored in comprehensive risk assessment.Afterwards, using the Monte Carlo simulation based on Copula function, we build thet-GARCH model describes two kinds of risk factors marginal distribution, and thenwe use Copula function to measure the relationship between the risk factors. Finally,we use the Monte Carlo to simulate the comprehensive assessment of corporate bondstrading VaR value of overall risk.By theoretical and empirical researches, we get the following conclusions.Basedon financial time series-based fat tail, and the conditional variance degeneration,lfuctuations in poly sociability and market risk factors and liquidity risk factorcomplex, t-GARCH model can ift the marginal distribution of the corporate bondmarket risk factors and liquidity risk factor, and the volatility of both is poly socialand persistent. Frank Copula function can be used to describe the dynamic nonlinearcoupling relations between market risk and liquidity risk. Two risk factors strengthenin the tail, and show symmetry. According to the empirical comparison of simple plusand VaR methods, the joint normal distribution VaR method and Copula function VaRmethod, we ifnd Copula function is more secure and more accurate.