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RETRACTED ARTICLE: Applying blockchain technology in the corporate bond model for default risk assessment under the marketization principle

Author

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  • Na Ta

    (Peking University)

  • Bo Gao

    (Communication University of China)

Abstract

This work expects to solve the problem that the traditional corporate bond model for default risk assessment has low accuracy and poor data collection and storage robustness. Firstly, this work uses the mature Kealhofer, McQuown, and Vasicek (KMV) model to evaluate the default risk of corporate bonds. Secondly, Blockchain (BC) technology's Information Security (SEC) performance in default risk assessment is studied. Finally, it analyzes the default disposal mechanism of Chinese bond corporates. The Wind database is selected to verify the proposed model. The results show that the proposed BC-based corporate bond model for default risk assessment has a good fitting effect and can meet practical needs. The BC-based data encryption only needs 14.1 ms to obtain a key from an 821-bytes public key. The encryption time and decryption time of the Number Theory Research Unit (NTRU) system are 7.9 ms and 2.9 ms, respectively. Therefore, BC technology shows good performance in data encryption and can improve ISEC. According to the KMV model, corporate bonds have certain default risks. The Distance to Default (DtD) of corporate bonds is 20.8% lower than that of companies. Thus, corporates have higher default risk. Therefore, methods are needed to reduce the default risk and improve the earnings. The finding provides important technical support for effectively reducing the default risk of bond corporates in China and ensuring the healthy development of bond markets.

Suggested Citation

  • Na Ta & Bo Gao, 2022. "RETRACTED ARTICLE: Applying blockchain technology in the corporate bond model for default risk assessment under the marketization principle," Operations Management Research, Springer, vol. 15(3), pages 879-890, December.
    • Handle: RePEc:spr:opmare:v:15:y:2022:i:3:d:10.1007_s12063-022-00294-4
    DOI: 10.1007/s12063-022-00294-4
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    Cited by:

    1. Wang, Lei & Sha, Yifan & Ding, Lili & Zhao, Zhongchao, 2024. "Risk mitigation strategies in urban investment bonds: Insights from local government implicit debt governance," Structural Change and Economic Dynamics, Elsevier, vol. 70(C), pages 607-618.

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