Study On The Risk Management And Measurement Of Investment And Financing Platform Of Local Government

Study on the risk management and measurement of investment and financing platform of local government (IFPLG) has an importantly theoretical and practical significance for Chinese economy. Driven by investment of IFPLG, local government alleviate the development bottlenecks of resources and development fund shortage effectively. Moreover, the IFPLG has vivified business investment and the market and given a strong impetus to the urbanization and infrastructure construction, playing an important role in maintaining growth, expanding domestic demand, adjusting structure, promoting the people's livelihood and reversing the economic decline quickly. The IFPLG has made a significant contribution to the rapid rise in China's economic. However, it has planted a lot of hidden dangers. The original intention for establishing the IFPLG is relying on the government-owned high-quality resources, and it is an important way for the government to solve the problem of industrial adjustment and economic development, promotes sustainable development. The IFPLG uses market-oriented operation for internal management and receives supports and policy guidances form government. On the one hand, its main functions are regulated by government, and the government gives a lot of high quality resources and management assets to support its future development. On the other hand, the main investment decisions of the IFPLG are in accordance with the local industrial policy which is focused on infrastructure construction, major projects and forerunner industrial investment. Supported by the government, its functional location will demonstrate the government's macro-control intention.This study firstly describes the basic theory of risk as well as its management and development models of domestic and foreign IFPLG. In the analysis of foreign urban infrastructure construction's investment and finance model, it takes three countries-England, America, France-as examples to analyse the IFPLG's risks from the two aspects of financial risks and investment risk. It analyses the drivers of the IFPLG to invest and finance excessively from an economic view. Moreover, it researches risk mechanism of investment and finance platform from other aspects and describes transmission pathway of investment and financial platform risk. And then, it studies influence factors of the IFPLG risk. By probing into the IFPLG risk's characteristics from the two aspects of industry definition and risk, analysing influence factors of the IFPLG risk based on the macro, meso and micro aspects, this paper establishes risk early warning model of the IFPLG. This section includes the procedure of establishing risk early warning model and methods of analysing of risk early warning. Based on local analysis of the IFPLG risk factors, it collects indicators from aspects of macro, meso and micro to establish the risk warning indicator system. Choosing the fuzzy comprehensive evaluation method and the AHP to build the IFPLG risk warning model and made application analysis of the model, then stablished risk measurement models. The IFPLG risk measurement models contains investment risk measurement model and finance risk measurement model. For the financing risk, using the traditional model of CreditMetrics and improving it to make it more suitable for the actual situation of IFPLG in China and make one-dimensional risk measures. Otherwise, for multidimensional risk of financing, taking the relationship of a variety of financing into account , this paper applies Copula theory which is more practical and feasible. For investment risk, stochastic volatility models combined with the extreme value theory was used and dynamic VaR model based on POT-SV-t was proposed for one-dimensional risk measurement. On the basis, Copula theory was used for multidimensional risk measurement by analysing relationship between the variables. In empirical research of the IFPLG risk management and measurement, this paper analysed the status of IFPLG in Chongqing, combined with the previous chapters, take Chongqing Real Estate Group as the research object, in accordance with risk early warning model of local investment and financing platform, took its data to made an empirical analysis on early warning systems by fuzzy comprehensive evaluation method. Besides, this paper also calculated one-dimensional empiricaliy to Chongqing Travel Group's financing bonds with CreditMetric model. Finally, based on the statistical data it made the research conclusion, and provided some useful advice to relevant policy and future prospects.This study is featured by researching the IFPLG's risk management and measurement with focus on the development reality of the IFPLG in China. It has a strong practical relevance and a good depth and innovation on theoretical methods. It researches in a in-depth content and strict method. The innovative points of this project can be summarized the following four aspects: First, for the aspect of the IFPLG risk formation mechanism, it analysed the drivers of the IFPLG to invest and finance excessively from an economic view. Using fiscal opportunism analysis method and model, it analysed the motives for excessive investment and financing behaviour. From the interaction, influence and strengthening of bidirectional herding effect, the paper analysed reasons that why the IFPLG in China has a sharp growth on quantity and financing scale and why risk accumulated rapidly. Risk mechanism of local government investment and financing in China was described from views of the disequilibrium of local revenues and expenditures, public risk-taking and platform operation and so on. From local government debt risk, central or state financial risk, congenital defect non-standard operation of investment and financing platform and the macro-economy, single main financing channel single, vulnerability of inancial systems and other aspects to analyse transmission pathway of investment and financial platform risk. Second, to the IFPLG risk early warning research, the paper analysed influence factors of IFPLG risk from the macro, meso, microscopic three aspects. Macroscopic aspect, it collected influencing factors from the macroeconomic environment, macro economic policies mainly, and meso mainly from the two aspects of regional economic environment and the local government credit, for the micro aspect, however, it mainly focused on internal financial factors and non-financial factors of platform. And according this, it determined the risk early-warning target, risk alarming program, collecting indicators to establish the risk warning indicator system. Choosed the fuzzy comprehensive evaluation method and the AHP to build the IFPLG risk warning model. Third, to the IFPLG risk measurement model, the two aspects of financing risk and investment risk were studied. The paper analysed the the appropriateness and limitations of existing investment risk management models and methods firstly and put forward Metrics model-based one-dimensional Credit financing risk measurement model of financing platform. Through the analysis of diversity of the IFPLG's financing structure and financing mode, by constructing credit curve, choosing appropriate Copula function and calculating joint default probability distribution, this paper put forward and developed the credit risk measurement methods and models of several loans on investment and financing platform based on Copula function. In the investment risk metric aspects, considering VaR time series feature from a dynamic view, combined SV - t model and extreme value theory to fit financial asset returns tail characteristics, established a new investment risk measuring model -dynamic VaR model based on POT-SV-t for one-dimensional risk measurement. And and combined with Copula theory to multidimensional investment risk measurement. To empirical research, this paper analysed the investment and financing platform risk and affecting factors in Chongqing and made risks related quantitative measurement. By using relevant data of Chongqing Real Estate Group, the paper did an empirical analysis to risk early-warning system model, calculated and analysed the macro, meso, micro risk index warning threshold of this investment and financing platform, set weight for each index, calculated the overall standard risk score value, and then output signal and risk assessment by consulting with the early warning signal table. Using the actual data from Chongqing Tour Group, by setting credit rating transfer matrix, and estimating forward price of loans under different credit rating and deducting long-term distribution of loan value changing, one-dimensional credit risk measurement of this platform is computed.