The Construction And Market Application Of The "Embedded Rating" Model Of Industrial Bonds

The bond market of China has developed rapidly.At present,the size of the bond market is second only to the United States,ranking second in the world.However,with the continuous growth of the bond market,credit risk has also accumulated in the market.Since the first default of public offering credit bonds "Chao Ri bond" occurred in 2014,default events have occurred from time to time in Chinese bond market,and even some AAA rated bonds have defaulted,which not only breaks the expectation of rigid redemption in Chinese bond market,but also reflects the low quality of Chinese credit rating,Credit rating agencies find it difficult to fully assist market investors in understanding the credit qualifications of bond issuers and the investment risks of bonds.At the same time,urban investment bonds in interest rate bonds and credit bonds are issued by the government or have implicit government guarantees.Currently,the bonds that default are industrial bonds in credit bonds.Therefore,the investment risks and opportunities of industrial bonds are worth exploring and analyzing.After analyzing and understanding previous research on credit ratings and implicit ratings,this article takes the implicit ratings of Chinese bonds formed by market exchanges as the dependent variable from the perspective of the market.Using an ordered logit model and stepwise regression method,the "indicators that the market truly cares about" are selected through empirical regression,and the relative importance of each indicator considered by the market is obtained through relative importance analysis.Name the regression model obtained through empirical regression as the "embedded rating" model,and name the bond rating obtained through the regression model as the "embedded rating".Finally,the "embedded rating" model was applied to explore investment opportunities in existing industrial bonds.Through the model,175 industrial bonds from 30 bond issuers were identified that may have investment opportunities.Through tracking 37 bonds that have already matured for backtesting,it was found that nearly 70% of bonds purchased and held until maturity can obtain excess returns.The research in this article not only provides new ideas for the development of credit rating models,but also has certain practical application value.