This paper constructs a credit risk prediction model based on deep learn-ing(CDL),and explores the economic mechanism behind it.Empirical result shows that CDL model can predict corporate bond credit risk more accurately compared with classical machine learning model and ordinary neural network model.Mechanism analysis shows that CDL model has stronger nonlinear prediction ability for bonds with higher relative risk.In terms of enterprise characteristics,valuation and growth indicators and intangible asset indicators are more important in the model predic-tion.In addition,CDL model identifies bonds with high risk by effectively identifying economic characteristics such as small trading volume,high financing constraints,and low internal control quality.This paper provides a new way to predict bond credit risk,which is helpful to maintain financial market stability and promote high-quality economic development.
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