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The assessment of the credit risk of investment projects

P. 721-730.
Karminsky A. M., Morgunov A. V.

Models of the assessment of the probability of default and rating models play an important role in the economy, establishing creditworthiness for various counterparties and transactions. The increased interest of banks in the use of internal rating models is associated with the implementation of Basel II, including the use of internal rating models (IRB) for credit risk assessment, which requires the development of specialized models. A serious problem for Russian banks is the development of models of corporate clients for project finance.

Limitations of the data and default statistics are limiters for the development of rating models for investment projects. In addition, the economic essence of the different groups of investment projects may vary, as a result, for each of these groups different explanatory variables can influence the creditworthiness of projects.

In this paper the approach to developing models for estimating the probability of the default of project finance transactions is based on historical data of completed and current projects. Its unique feature is the use of the method, previously used for project finance transactions, and in Russian Federation has not been used at all.

The approach and models can be applied to make decisions on the feasibility of the participation of credit organizations in the implementation of the investment project and for assessing the annual probability of default, taking into account the peculiarities of the structure of the sample by sectors and by defaults.