Influencing Factors Of Defaulted Credit Bond Recovery Rate: Evidence Of China

The overseas credit bond market is mature and has mature rating agencies and credit derivatives,so investors can take advantage of rich strategies.At present,China's credit bond market is still in the development stage,and macro-policy requires financial deleveraging and breaks the redemption.More and more bonds have started to default.China's credit bond market will face greater challenges in the future,and the market will become more mature.This article studies the 456 defaulted bonds in the Chinese market since 2014,combing them from two perspectives: the total size of the default and the default time.Factors affecting the recovery rate were found,such as the macro and the nature of the enterprise.Put all the factors found in the research into the top-down model,including macroeconomics,industry environment,characteristics of the main body of the bond,and characteristics of the bond's own terms(default factors,bond related factors),etc.,a total of 16 explanatory factors were found,Modeling and analysis of the default bond recovery rate and the above-mentioned potential determinants,and using statistical models to perform quantitative analysis to find the factors that significantly affect the default recovery rate.Three models are used to test the explanatory degree of influencing factors in this paper.First,the overall factor validity test was conducted,and all the above effects were introduced into the model test.The obtained result R reached 98%,indicating that this article has stripped almost all the factors affecting the recovery rate in the market.Secondly,the models are modeled according to the macro,meso and micro.The research results show that the recovery rate of defaulted bonds is affected by multidimensional factors.Among them,the significant positive correlation is from the micro perspective.The bond disposal method after the default also shows a positive correlation in the nature of the bond,and some specific regions show a significant negative correlation.The most important influencing factor is the disposal method after the bond default.The model R interpretation reaches 70%.Among them,the negotiation settlement,asset restructuring and AMC acquisition show a significant positive correlation;the significant negative correlation is asset disposal and delisting,which is subjective The logic is similar.Negotiated solution is better than compulsory solution,and research and analysis are continued after the mathematical model.Based on the above,use statistical models to analyze the historical default bonds and find out the more significant part of the influencing factors.Due to some flaws in the data,in the course of the research,for the defaulted bonds that have completed the payment process and have a complete record,combined with subjective assumptions to determine whether the factors that have a significant impact on the recovery rate have future predictability and investment research guidance.