Credit Risk Dynamics of Infrastructure Investment : Considerations for Financial Regulators

Jobst, Andreas A.

World Bank, Washington, DC

关键词: PROJECT FINANCE;    CREDIT RISK;    INFRASTRUCTURE INVESTMENT;    INSURANCE REGULATION;    BANKING REGULATION;   

DOI  :  10.1596/1813-9450-8373
RP-ID  :  WPS8373

学科分类：社会科学、人文和艺术（综合）

来源: World Bank Open Knowledge Repository

【 摘 要 】

Prudential regulation of infrastructureinvestment plays an important role in creating an enablingenvironment for mobilizing long-term finance frominstitutional investors, such as insurance companies, and,thus, gives critical support to sustainable development.Infrastructure projects are asset-intensive and generatepredictable and stable cash flows over the long term, withlow correlation to other assets; hence they provide anatural match for insurers' liabilities-driveninvestment strategies. The historical default experience ofinfrastructure debt suggests a "hump-shaped"credit risk profile, which converges to investment gradequality within a few years after financial close --supported by a consistently high recovery rate with limitedcross-country variation in non-accrual events. However, theresilient credit performance of infrastructure -- also inemerging market and developing economies -- is not reflectedin the standardized approaches for credit risk in mostregulatory frameworks. Capital charges would declinesignificantly for a differentiated regulatory treatment ofinfrastructure debt as a separate asset class. Supplementaryanalysis suggests that also banks would benefit from greaterdifferentiation, but only over shorter risk horizons,encouraging a more efficient allocation of capital byshifting the supply of long-term funding to insurers.