Calibrating Credit Risk Dynamics in Private Infrastructure Debt
| Autor: | Frédéric Blanc-Brude, Majid Hasan, Timothy Whittaker |
|---|---|
| Rok vydání: | 2018 |
| Předmět: |
010407 polymers
Economics and Econometrics 050208 finance media_common.quotation_subject 05 social sciences Bayesian inference 01 natural sciences Debt service coverage ratio 0104 chemical sciences Cash Debt 0502 economics and business Econometrics Economics Default Cash flow Finance Infrastructure debt Credit risk media_common |
| Zdroj: | The Journal of Fixed Income. 27:54-71 |
| ISSN: | 2168-8648 1059-8596 |
| DOI: | 10.3905/jfi.2018.27.4.054 |
| Popis: | Recent research has demonstrated that structural credit risk models are capable of explaining the credit risk process for private, illiquid debt. This article extends this literature by proposing a simple and intuitive calibration approach using Bayesian inference to capture the nonlinear dynamics of debt service cover ratios using a new dataset of private cash flows collected by hand for 267 European infrastructure projects spanning 17 years. The combination of a cash flow–driven structural model with observable cash flow data and Bayesian inference enables the measurement of default risk even when few or no defaults have been or can be observed, whereas reduced-form models like the ones used by rating agencies necessarily lead to biased credit risk estimates for private debt. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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