Corporate Bond Market Yield Volatility And Credit Risk Research

This paper studies the fluctuation characteristics of corporate bond index yield and the credit risk faced by corporate bond market.In the characteristics of corporate bond index yield fluctuation,this paper uses the stochastic volatility model to fit the volatility of the corporate bond index in 2013-2018,calculates the VaR and compares it with the medium-term note market.The study found that the overall volatility risk of the corporate bond market is significantly higher than the medium-term note market,but the peak risk is lower than the medium-term note market.The Markov regional conversion model is used to divide the corporate bond market into two regions.It is found that the corporate bond market has a expected duration of 40 months and 5.16 months in a low-risk regional system and the high-risk regional system,respectively.The inertia of the low-risk zone system is large,and the stability of the corporate bond market has increased since 2015.In the credit risk faced by the corporate bond market,this paper studies the real estate industry with the largest bond balance and the tightening of financing channels and industry policies as of the end of June 2018,and based on the KMV model and PFM model for listed real estate companies and unlisted The credit risk of real estate companies is measured and early warning is given to companies with high risk of default.Compared with the credit rating system in China,which has a general phenomenon of virtual high,the KMV model and the PFM model can timely reflect the negative news of the market and the opinions of investors and regulators on real estate companies,and reflect the credit risk of real estate companies in a timely manner.Therefore,the regulatory authorities should strengthen the use of dynamic credit risk models to conduct credit analysis of issuers.