Study of Credit Risk Management in Project Investment Based on Accounting Information Distortion and Value-jumping
|School||Southwestern University of Finance and Economics|
|Keywords||Credit Risk Default probability Finance AnalysisStructured Distortion of Accounting Information Value-jumping|
This paper mainly is study about the credit risk management of project investment in the presence of asset value-jumping and distortion of accounting information. Credit risk management is a very broad concept and it is a complicated systematic work. There’s slightly different between Debt of project investment and general corporate debt, In general, the debts of the company divided into long-term debt and short-term debt. But the model does not distinguish between them, thus structured model always make estimation error. But for the project investment, generally only a debt loans, so the structured model framework is more suitable for evaluation of project default risk. Because there are no publicly active markets for transactions of projects, so distortion of accounting information which is fraud had been the big problems for project investment. On the other hand, the debt and asset in project investment are so simple that they always vulnerable, such as the regulation and control of real estate, so asset value-jumping is a common phenomenon. In order to predict the probability of default of project investment, this paper introduces the structural model, considering the value-jumping and the distortion of accounting information, elaborated the model parameter estimation theory and methods, and then we establish the forecasting technique of default probability based on the techniques of financial analysis and term structure. Through the analysis of examples, it can be found that result of this forecasting technique is intuitive and practical. This method is able to improve the management of credit risk. In addition, in structured finance, a more popular type to finance, structured model can be more directly measured its financing risk.