A Research on Corporate Bond Defaults in the Chinese Market
Using data from the Chinese fixed income market, this thesis builds up a logistic regression model mainly consisting of both financial condition variables and financial report quality variables. The analysis suggests the degree of effect for different variables and thus provides a reference for cred...
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| Format: | Thesis |
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Massachusetts Institute of Technology
2022
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| Online Access: | https://hdl.handle.net/1721.1/138950 |
| Summary: | Using data from the Chinese fixed income market, this thesis builds up a logistic regression model mainly consisting of both financial condition variables and financial report quality variables. The analysis suggests the degree of effect for different variables and thus provides a reference for credit risk assessment. Supporting evidence is also provided to show that the model can predict default one year in advance effectively and perform better than the main rating agency companies. |
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