Research on Credit Risk of Corporate Bond-Based on Principal Component Analysis and Cluster Analysis
Authors
Jingwei Liu, Tianyong Luo
Corresponding Author
Jingwei Liu
Available Online November 2017.
- DOI
- 10.2991/wrarm-17.2017.34How to use a DOI?
- Keywords
- Corporate bonds; Credit risk; Profitability; Solvency
- Abstract
In this paper, through the collection of corporate bond market data to conduct empirical research, Constructing 12 Index Systems, Using the principal component analysis method to extract the five principal component indicators, On the basis of principal component analysis, two kinds of clustering analysis were used to classify the data into two categories, And finally draw the corresponding conclusion: The profitability and solvency of the industry is the key to distinguish the credit rating of the enterprise. It is the main factor to distinguish between the two types of corporate bonds and the focus of the investors' investment.
- 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/).
Cite this article
TY - CONF AU - Jingwei Liu AU - Tianyong Luo PY - 2017/11 DA - 2017/11 TI - Research on Credit Risk of Corporate Bond-Based on Principal Component Analysis and Cluster Analysis BT - Proceedings of the Fifth Symposium of Risk Analysis and Risk Management in Western China (WRARM 2017) PB - Atlantis Press SP - 191 EP - 196 SN - 1951-6851 UR - https://doi.org/10.2991/wrarm-17.2017.34 DO - 10.2991/wrarm-17.2017.34 ID - Liu2017/11 ER -