Journal of East China Normal University (Philosophy and Social Sciences) >

2020 , Vol. 52 >Issue 1: 179 - 186

DOI: https://doi.org/10.16382/j.cnki.1000-5579.2020.01.017

Reconstructing China's Credit Default Risk Prediction Model: Based on the Perspective of Industry Sensitivity

  • LAN Fa-qin ,
  • YAN Qun ,
  • XIE Dong-hui
Expand

Online published: 2020-01-14

Fold

Abstract

In recent years, China's credit default risk incidents have erupted, with 124 bonds defaulted in 2018 alone. Therefore, it is significant for the market development to examine the characteristics of China's credit default and select appropriate index system to scientifically predict credit default risk. Using the whole sample credit data in China's bond market by the end of September 2018 and taking the perspective of industry sensitivity, this paper reconstructs a credit default risk prediction model, which can simulate and deduce the whole market credit default risk. It also finds out the features of China's credit default risk:first, the default risk of enterprises in finance and real-estate industries is sharply increasing; second, the spatial layout of default risk presents southwards; third, local enterprises are bond issue bodies at greater risks.

Key words： credit default; default risk model; industry sensitivity

Cite this article

LAN Fa-qin , YAN Qun , XIE Dong-hui . Reconstructing China's Credit Default Risk Prediction Model: Based on the Perspective of Industry Sensitivity[J]. Journal of East China Normal University (Philosophy and Social Sciences), 2020 , 52(1) : 179 -186 . DOI: 10.16382/j.cnki.1000-5579.2020.01.017

References

陈迅、谢明希,2009,《Logistic模型在钢铁行业上市公司信用风险识别中的作用》,《统计与决策》第19期。
李秉祥,2005,《基于主成分分析法的我国上市公司信用风险评价模型》,《西安理工大学学报》第2期。
Andrade, G. and Kaplan, S.N., 1998, "How Costly is Financial(Not Economic) Distress? Evidence from Highly Leverages Transactions that Became Distressed", The Journal of Finance, Vol.53, No.5.
Fitzpatrick, P.J., 1932, "Comparison of Ratios of Successful of Industrial Enterprises with Those of Failed Firm", Certified Public Accountant, Vol.4, No.3.
Grunert, J., Norden, L.and Weber, M., 2005, "The Role of Non-financial Factors in Internal Credit Ratings", Journal of Banking and Finance, Vol.29.
Ireland and Peter, N., 2015, "Monetary Policy, Bond Risk Premia, and the Economy", Journal of Monetary Economics, No.76.
Koopman, S.J., Lucas, A. and Schwaab, B., 2011, "Modeling Failty Correlated Defaults Using Many Macroeconomic Covariates", Journal of Econometrics, Vol.162, No.2.
MacKay, P. and Phillips, G., 2005, "How does Industry Affect Firm Financial Structure?" Review of Financial Studies, Vol.18, No.4.
Maksimovic, V. and Phillips, P., 1998,"Efficiency of Bankrupt Firms and Industry Conditions:Theory and Evidence", Journal of Finance, Vol.2.
Martin, D., 1977, "Early Warning of Bank Failure:A Logit Regression Approach", Journal of Banking and Finance, Vol.1, No.3.
Min Q., Zhang, X.F. and Zhao, X.L., 2014, "Unobserved Systematic Risk Factor and Default Prediction", Journal of Banking & Finance. Vol.49.
Nader Naifar, 2011, "What Explains Default Risk Premium during the Financial Crisis? Evidence from Japan", Journal of Economics and Business, Vol.63.
Norlida, A.M., Ng Yen Theng and Rohani Md-Rus, 2015, "The Determinants of Credit Risk in Malaysia", Procedia-Social and Behavioral Sciences, No.172.
Ohlson, J.A., 1980, "Financial Ratios and Probabilistic Prediction of Bankruptcy", Journal of Accounting Research, Vol.18, No.1.
Opler, T.C. and Titman, S., 1994, "Financial Distress and Corporate Performance", The Journal of Finance, Vol.49, No.3.
Pu, X.and Zhao, X., 2012, "Correlation in Credit Risk", Journal of Banking and Finance, No.36.
Options
Outlines

/

〈 〉