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A Research on Corporate Bond Defaults in the Chinese Market

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Chen-evachen-msms-sloan-2021-thesis.pdf

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Author(s)
Chen, Yiwen
Advisor(s)
Noe, Christopher Francis
Date Issued
June 2021
Publisher
Massachusetts Institute of Technology
Abstract
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.
MIT Department
Sloan School of Management
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