The Evaluation Of Chinese Corporate Bonds Based On Structural Model

Corporate bonds,as a key way of direct finance,have received an increasing attention in resent years.Bond prices are major factors to consider in the distribution and circulation.Along with the issuance of corporate bonds increased dramatically,the reasonable pricing of corporate bonds to promote the further development of the bond market and optimize the structure of financial markets is of great significance.Based on comparing bond pricing models,structure model is used in this paper for pricing corporate bonds.In order to select appropriate parameters,a detailed analysis is applied.Corporate bonds without any option issued from 2009-2013 in the corporate bond market are selected as samples of the paper.The first step is to calculate default probability and expected loss rate of the sample bond.There are three kinds of choices of default boundary utilizing in this paper to compute the probability of default.The next is to calculate the bond price by the method of discount.The results show that the selection of default boundary which is calculated by 1.2 times short-term liabilities and 1.8 times long-term liabilities can make the minimum error between the theoretical price and the actual price.The pricing of different credit rating results indicates that the structure model is more suitable for corporate bonds which are of higher credit rating.In the end,the pricing results differ with the actual transaction price of company bonds can be controlled in a smaller range based on the results.The parameters of the model can be connected to economic aspects.Thus the conclusion can be used to analyze the company's credit and as the reference of bond investment.