The Assessment of Default Probability for the Project Finance Transactions

Alexandr Karminsky, A. Morgunov and P. Bogdanov
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A. Morgunov: National Research University Higher School of Economics, Moscow, Russia
P. Bogdanov: Moscow State Institute of International Relations (University), Moscow, Russia

Journal of the New Economic Association, 2015, vol. 26, issue 2, 99-122

Abstract: The article reviewed approaches to the development of internal rating models in project finance. Empirical research was based on the collected sample of data on various investment projects, including financial, industrial and regional indicators. The model estimating the probability of default for the project finance transactions (within the framework of internal ratings based (IRB) approach) and using an econometric model of binary choice was developed. On the basis of the developed model the decision making algorithm on project participation was formulated. New results of this research lies in the use of Russian statistics when adapting the proposed approach for project finance transactions.

Keywords: default; logistic regression; normalization; discriminatory power (search for similar items in EconPapers)
JEL-codes: G21 G24 G32 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:nea:journl:y:2015:i:26:p:99-122

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