Proceedings of the 2022 6th International Seminar on Education, Management and Social Sciences (ISEMSS 2022)

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Evaluation and Influencing Factors of Default Risk and Interest Rate Risk for Bonds

Authors
Jiatong Song1, *, Xinyun Xie2
1Shandong Malvern College Qingdao, Qingdao, China
2Wuhan Britain-China School, Wuhan, China
*Corresponding author. Email: 2017reina.song@malverncollege.cn
Corresponding Author
Jiatong Song
Available Online 29 December 2022.
DOI
10.2991/978-2-494069-31-2_234How to use a DOI?
Keywords
Bonds; Default risk; Interest rate risk; influencing factor; Evaluation models
Abstract

This article studies the default risk and interest rate risk of bonds in terms of evaluation methods and influencing factors based on 15 literature articles. The paper showed that the main evaluation models for the default risk include the KMV model, Logistic model and ZETA model, while those for interest rate are comprised of VaR model, GARCH Model, CIR model and VASICEK model. Moreover, the influencing factors of both the the default risk and interest rate risk were also investigated in this paper. It is found that profitability, debt paying ability and operating capacity of the enterprises are the main influencing factors for the bond default risk, whereas the three factors consisting of market competition structure, transaction scale and macroeconomic variable affects the interest rate risk the most. This paper might provide some useful aids for the researchers who are interested in the bond risks.

Copyright
© 2022 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2022 6th International Seminar on Education, Management and Social Sciences (ISEMSS 2022)
Series
Advances in Social Science, Education and Humanities Research
Publication Date
29 December 2022
ISBN
10.2991/978-2-494069-31-2_234
ISSN
2352-5398
DOI
10.2991/978-2-494069-31-2_234How to use a DOI?
Copyright
© 2022 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Jiatong Song
AU  - Xinyun Xie
PY  - 2022
DA  - 2022/12/29
TI  - Evaluation and Influencing Factors of Default Risk and Interest Rate Risk for Bonds
BT  - Proceedings of the 2022 6th International Seminar on Education, Management and Social Sciences (ISEMSS 2022)
PB  - Atlantis Press
SP  - 1985
EP  - 1992
SN  - 2352-5398
UR  - https://doi.org/10.2991/978-2-494069-31-2_234
DO  - 10.2991/978-2-494069-31-2_234
ID  - Song2022
ER  -