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Research on Credit Risk of corporate Bond in China Based on JLT Model

Author: DuDan
Tutor: DongXueMei
School: South China University of Technology
Course: National Economics
Keywords: Corporate bonds Credit Risk Credit Rating Transition Matrix JLT model CreditMetrics model
CLC: F832.51
Type: Master's thesis
Year: 2011
Downloads: 148
Quote: 0
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Abstract


With the 2007 amendments to the \In four short years, the development of China's corporate bond very quickly become an important part of our diversified bond market. Has certain advantages in terms of conditions of issue and use of funds than traditional corporate bonds, corporate bonds, corporate bonds will be the future direction of the mainstream of development bonds. At the same time, however, the corporate bond conditions lower threshold makes the problem of credit risk gradually by the management and the academic concern. Therefore, the credit risk measurement of China's corporate bond research has important theoretical and practical significance. In this paper, the empirical study of the credit risk of the corporate bond market in China, to try to study the sources of China's corporate bond credit risk and influencing factors, a measure of the credit risk of corporate bonds, our estimates of the credit risk of corporate bonds and evaluation. The paper described the research background and significance of the papers, and the situation at home and abroad combing and synthesis of this research ideas and technology roadmap; concept and connotation of the credit risk of corporate bonds in the second part of the article, the sources of risk, impact of risk factors, risk measurement and theoretical issues defined and elaborated; Review and Comment of the third part of the course of development of China's corporate bonds, and to analyze the current situation and problems of China's corporate bond credit risk; fourth part of the article is mainly important tool measure of credit risk - credit risk transfer matrix to estimate and evaluate this paper, the the CITIC International credit rating company of China's corporate bond credit rating data to build China's corporate bond credit risk transfer matrix, and found that due to our credit the rating data defects lead to credit risk matrix effects on the stability and comparability poor; fifth part of the article the use of the JLT model and the CreditMetrics model sample of corporate bonds, a measure of credit risk and the credit risk of corporate bonds differentiation the reason; Finally, China's corporate bond market credit risk management problems discovered in the course of the study of specific policy proposals. The results show that: first, the credit risk is the most important risk facing China's corporate bond issue size increases, the unsecured and issued for a period of increasing trust and the way to the long-term concentration trends show increasing credit risk of corporate bonds; Second, the corporate bond credit risk differences from the bond maturity, credit rating, and by way of security, and the longer the maturity, the lower the credit rating, the trend no guarantee greater credit risk;, JLT model can be used to measure China's corporate bond credit risk, highlighting its advantages; fourth, smaller overall credit risk of corporate bonds, credit rating data the deviation may mask potential credit risk.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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