Research Article
An Empirical Study on the Vulnerability of Corporate Bond Industry Based on KMV Modified Model
@INPROCEEDINGS{10.4108/eai.17-6-2022.2322787, author={Ruicheng Yang and Zinan Hu}, title={An Empirical Study on the Vulnerability of Corporate Bond Industry Based on KMV Modified Model}, proceedings={Proceedings of the International Conference on Information Economy, Data Modeling and Cloud Computing, ICIDC 2022, 17-19 June 2022, Qingdao, China}, publisher={EAI}, proceedings_a={ICIDC}, year={2022}, month={10}, keywords={corporate bonds vulnerability index bootstrap method kmv model}, doi={10.4108/eai.17-6-2022.2322787} }- Ruicheng Yang
Zinan Hu
Year: 2022
An Empirical Study on the Vulnerability of Corporate Bond Industry Based on KMV Modified Model
ICIDC
EAI
DOI: 10.4108/eai.17-6-2022.2322787
Abstract
Based on the existing concepts and calculation methods of Corporate Vulnerability (CVI), this paper constructs the measurement structure of the Corporate Bond Industry Vulnerability Index (CBVI). This paper uses the KMV model based on the Bootstrap method to correct the mapping relationship between the default distance and the default probability, and calculates the improved default probability based on the Bootstrap method. We apply the revised KMV model and the industry vulnerability index of corporate bonds to empirically study corporate bonds of 27 listed companies representing four industries: raw materials, industrials, consumer non-daily products, and utilities, then we compare the vulnerability of corporate bonds in these four industries. The conclusion shows that the industry vulnerability of corporate bonds is ranked from high to low as follows: Non-daily consumer goods industry, industrial industry, raw material industry, public utility industry. According to the measured industry tail vulnerability index of corporate bonds, it is found that there are several corporate bonds with high default probability in the utility industry.
