基于VaR模型的BT项目回购方信用风险量化研究

Study on the Purchase Side Credit Risk of BT Projects Based on Va R Model

回购方的信用和财政风险是BT项目的核心风险。在已有BT项目回购方信用风险量化研究基础上,引入金融领域的VAR模型,通过建立BT项目信用评估矩阵,构造违约概率转换函数,运用蒙特卡洛模拟等步骤得到BT项目回购方信用的风险价值。旨在为BT回购方信用风险评估提供一种可行且直观的方式。

Credit and financial risk of the purchase side are the core risk of BT projects. This paper applies a finance model VAR to traditional BT project’s credit risk assessment,establishes BT projects credit assessment matrix and probability conversion function,then analyzes its value at credit risk with Monte Carlo simulation technique. This paper’s target is to offer a feasible method for BT project credit risk assessment of purchase side.