Research On The Default Risk Assessment Of Credit Bonds Of Listed Companies In My Countr

With the rapid development of the bond market,the incidents of credit risk of companies have gradually diversified and complicated,and have profoundly affected the development of the entire financial market.In recent years,there have been more and more defaults on credit bonds issued by listed companies in China,and the subjects of defaults are not only limited to companies with "ST" and "*ST" marks,but also include many listed companies with high credit ratings.The occurrence of many defaults has brought immeasurable losses to investors and has also caused a large negative impact on the further development of China’s bond market.Moreover,the incompleteness of our database,the unconsciousness of company disclosure and the imperfection of regulators have created bias in conducting credit risk assessment and are not very useful references for risk prevention.In such a context,it is of great practical significance to study in depth the credit risk affecting listed companies in China and to select an assessment model more suitable for the development characteristics of China’s capital market.Starting from the research background and significance,this paper firstly outlines the theoretical basis of credit risk of listed companies through a systematic review of domestic and foreign literature reviews,analyzes two types of credit risk assessment models,and focuses on dissecting the basic principles of KMV model and Logistic model.Then,11 defaulting companies in different industries in China are selected and the control sample companies with normal operation are screened with a ratio of 1:8.Principal components are extracted as explanatory variables for 21 indicators using principal component analysis,and regression analysis is conducted using binary logistic model to derive prediction results.Then,the market value of equity,the volatility of equity value and the default point of the KMV model were corrected by using the weighted average method,GARCH model and increasing the weight of debt,respectively,and the default distance DD calculated from the modified KMV model was taken as the market dynamic indicator and brought into the logistic model as the explanatory variable together with other principal components to construct the modified KMV-Logistic model to forecast the sample.It is found that the modified KMV-Logistic hybrid model has higher prediction accuracy and better goodness-of-fit than the single logistic model.Finally,the modified KMV-Logistic model is used to evaluate the credit risk of enterprises based on the modified KMV-Logistic model with the case of credit debt default of "ST Xiangtan debt" issued by " Cloud Live Technology Group Co.,Ltd.",and compared with the actual situation.We also analyze the index system applied,and conclude that the reasons for the credit debt default of CSCN are high gearing ratio and high current gearing ratio,and propose corresponding solutions.