| Summary: | 碩士 === 國立中山大學 === 財務管理學系研究所 === 104 === This paper will study the credit risk about China Municipal Bond. First, instead of measuring the credit risk of China Municipal Bond directly, measuring its default intensity will be a better method because the result has similar idea with interest rate which gives investor simpler way to look into the credit risk. Moreover, the data used will be macroeconomic data which also can examine the condition of China’s economy. Second, to do so, divide all variables into long-term pool and short-term pool by using a pooled mean group (PMG) estimator. Third, I will calculate the default intensity of China Municipal Bond, after dividing the parameters. Fourth, I also reexamine the Big Four stated-owned commercial banks’ financial statement especially for those highly-correlated with non-performing loans. The Big Four banks are known as Bank of China, China Construction Bank, Agricultural Bank of China and Industrial and Commercial Bank of China.
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