Resumo

ZAPATA QUIMBAYO, Carlos Andrés. Estimation of credit risk in infrastructure projects using structural models. Contad. Adm [online]. 2021, vol.66, n.1, 00013.  Epub 11-Out-2021. ISSN 0186-1042.  https://doi.org/10.22201/fca.24488410e.2020.2510.

This paper aims to implement a credit risk model in infrastructure investment projects, where the probability of default is estimated considering the cash flow available for debt service, which determines the debt service coverage ratio. For that, a structural model developed for illiquid assets is used, such as an extension of the credit risk models of Merton (1974) and KMV of Moody’s, through which the components of the probability of default, exposure, recovery rate and expected loss are analyzed. The main innovation of this approach is due to the incorporation of a dynamic of the debt service coverage ratio, which is modelled stochastically following the same assumptions of the option pricing theory. In addition, this model is complemented with the Monte Carlo simulation technique, under which some essential parameters are estimated, as well as the expected loss and the credit value-at-risk (VaR).

Palavras-chave : Credit risk; Probability of default; Stochastic process; C14; G13; G21.