The Research on Credit Risk of Local Government Bonds Based on KMV Model: A Case Study of Shanghai Government Bonds

DOI

10.2991/saeme-17.2017.6How to use a DOI?

Keywords

local government bonds; KMV model; default probabilities; credit rating; information disclosure.

Abstract

Based on the background of the independent issuance of local governments in China, this paper uses the modified KMV model to carry on the empirical analysis to measure the credit risk of the bond. This paper analyzes and predicts the guaranteed fiscal revenue and its growth rate and volatility of the issuance of Shanghai government bonds in the future, and then forecasts the safe issue-volume of different period bonds. From the point of view of default probabilities, the credit risk of Shanghai government bonds is very small, but it will increase with the increase of the scale of issuance. This paper finally proposes some policy suggestions based on the research results.

Copyright

© 2017, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Wenjie Xing
PY  - 2017/07
DA  - 2017/07
TI  - The Research on Credit Risk of Local Government Bonds Based on KMV Model: A Case Study of Shanghai Government Bonds
BT  - Proceedings of the 2017 International Conference on Sports, Arts, Education and Management Engineering (SAEME 2017)
PB  - Atlantis Press
SP  - 29
EP  - 35
SN  - 2352-5398
UR  - https://doi.org/10.2991/saeme-17.2017.6
DO  - 10.2991/saeme-17.2017.6
ID  - Xing2017/07
ER  -