Research on Credit Risk Measurement and Management of Corporate Bonds in China

被引：0
|
作者：
Wang, Yang [1 ]
机构：
[1] Shanghai Int Grp, Shanghai 200002, Peoples R China
来源：
PROCEEDINGS OF 2010 INTERNATIONAL CONFERENCE ON CONSTRUCTION AND REAL ESTATE MANAGEMENT, VOLS 1-3 | 2010年
关键词：
credir risk; corporate bond; default probability; KMV model; VAR approach;
D O I：
暂无
中图分类号：
TU [建筑科学];
学科分类号：
0813 ;
摘要：
Credit risk is one of the most important risks in bond market, how to manage the credit risk of corporate bonds have been the attention problems for the relevant departments. This paper describes the measurement methods for the credit risk of corporate bonds based on the Accounting data and market price. Analyzed the KMV valuation model based on risk value method and the VAR model of corporate bond credit risk measurement. Considering for the development of China's bond market and the actual credit situation, propose the credit risk management approach and strategy in China's corporate bond market.
引用
收藏
页码：780 / 783
页数：4
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