Title :
Pricing and Empirical Analysis of Chinese Defaultable Corporate Bonds
Author :
Xiaoxu Wang ; Ping Li
Author_Institution :
Sch. of Econ. & Manage., Beihang Univ., Beijing, China
Abstract :
The default of Suntech Power make the year 2013 become "the first year of default" of Chinese bond market. People are also clearly aware of the risk of default on bonds again, which shows that fair pricing for default able corporate bonds is very important. This paper prices for the "11 super JGBS" based on Merton Model, reduced model and incomplete information model and also compares with the actual price. It turned out that all of them can reflect the trend of bond prices, but the incomplete information model can best fit the actual prices. Besides, the default rate according to the incomplete information model has a good screening effect on the credit quality of listed companies.
Keywords :
pricing; stock markets; Chinese bond market; Chinese defaultable corporate bonds; Merton model; bond prices; credit quality; default able corporate bond; fair pricing; incomplete information model; reduced model; Companies; Market research; Mathematical model; Pricing; Sections; Security; Standards; Structure Model; corporate bonds; incomplete information model; reduced model;
Conference_Titel :
Business Intelligence and Financial Engineering (BIFE), 2013 Sixth International Conference on
Conference_Location :
Hangzhou
Print_ISBN :
978-1-4799-4778-2
DOI :
10.1109/BIFE.2013.36