The Study On Credit Risk Measurement Of Collective Trust Investment Schemes

With the reform of financial institution deepening in China, Trust become an important way of raising fund in real estate and infrastructure-building gradually. It focuses people's attention from all level on how to evaluate credit risk of collective trust scheme. It is, therefore, an important task for China's Trust industry to take advantage of the advanced technology of credit risk management from other countries for reference and set up models and methods suitable for China. With the above background, this paper decided to choose the credit risk measurement of China's collective trust investment schemes as its research subject.Firstly, the paper reviewed the literature about methods and articles relative to credit risk measurement and analyzed yield rate and risk character of collective trust investment schemes. Then the author chose collective trust investment schemes as sample, which was characteristic of profits right. Next, the author employed the Mento Carlo Simulation and Performance Analysis method to price on profits right and adopted an empirical approach by using the VaR model and adjusted KMV model. It is found that the research results of the adjusted KMV model and the VaR model were almost the same, which were also consistent with the known facts. But the research results of the adjusted KMV model which is based on the option pricing theory, was more cautious, compared with the VaR model. It is found from the predicted models that during the one-year period before default happened, the default probability has high relevance not only with asset solvency and financing scale of collective trust investment schemes and value of project where the fund of trust are injected into, but also with profit earning capability. Therefore, investor should analyze the yield rate and risk of collective trust investment schemes carefully.