The Analysis And Measurement Of China's Listed Company Bonds

With the development of China's bond market,corporate bonds as an important part of the bond market as well as an indispensable means of financing of listed companies which has attracted more and more people's attention in recent years.Now the size of the corporate bonds' market has became huge since the first corporate bonds issued in 2007.And corporate bonds have entered a stage of rapid development.However,due to the weak awareness of risk prevention and faulty bond rating system,the risk of default of listed companies began to gradually expose since 2014.Then a number of listed companies' bond have defaulted or occurred negative credit events,which results in the bond market turmoil and causes investors to worry about the future of the bond market.Compared with the developed countries' bond market,the development of our country's bond market is much later.So how to effectively control the risk of default is one of the major problems for the current bond market,which directly affects the stability of the finance market.Effective measure of default risk is the premise of managing credit risk,and the measure method of default risk determines the level of the measure of default risk directly.With the continuous development of the market environment and related technology,traditional methods can not meet the current complex environment bond demand.So we need to choose the more advanced measurement which is suitable for China's bond market.And we found out that the KMV model which model assumptions and data requirements are relatively suitable for the actual situation of China.China's listed companies' bond had not yet defaulted before 2014,so when scholars used the KMV model to measure the default risk of corporate bonds,it is hard to find out that whether it is valid.With nearly two years of the public companies bonds default which provides the basic data for the KMV model.Base on KMV model,this paper analyzes the default risk on listed companies' bond from the horizontal and vertical dimensions.Base on the horizontal dimension,we separate the sample data from two categories.First category is made up of default bonds or negative credit bonds called the default group.The second category is made up of good credit bonds according to the industry of first category which excludes the impact of industry factors and called blue chip group.Then the samples of the two groups were analyzed by using KMV model and compare the results.Base on the vertical time dimension,the paper selects a representative default bond as the sample.And then we measure the default risk and compare with the actual situation.As for the adjustment of model,because the default data is not sufficient,so it is unable to establish the mapping between distance of default and expected default rate.Also directly use of the theory of expected default rate is not consistent with the actual situation in our country.Therefore,the paper directly uses the default distance to measure corporate bond default risk.Then base on the KMV model,the paper uses the MATLAB software to estimate and solve the relevant parameters and finally get the default distance of the sample.The results show that the default group default distance was significantly lower than the blue chip group and with the default time approaching,the default distance decreases gradually,which means the default distance is smaller,the listed company default more likely,and vice versa.It can be concluded that the default distance can distinguish different corporate bond default risk and also can accurately measure credit risk's change of single listed company bonds,which verifies that KMV model is suitable in China.Finally,according to the empirical results,the paper put forward related suggestions combined with the actual situation of China's bond market in three aspects:technology,institution and talents,which provides provide reference value for supervision department of our country in the risk management of bond.