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Measuring Value-at-Risk in Project Finance Transactions

  • Stefano Gatti
  • Alvaro Rigamonti
  • Francesco Saita
  • Mauro Senati
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    "Despite the remarkable importance of project finance in international financial markets, no quantitative models to measure and quantify the risk associated with a deal for the project's lenders have been developed yet. The topic has recently become crucial, since the New Basle Capital Accord gives banks a choice of whether to adopt simpler (but possibly higher) standard capital requirements or to develop internal rating models for project finance transactions. The paper proposes how Monte Carlo simulations may be used to derive a Value-at-Risk estimate for project finance deals and discusses the critical issues that must be considered when developing such a model." Copyright 2007 The Authors Journal compilation (c) 2007 Blackwell Publishing Ltd.

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    Article provided by European Financial Management Association in its journal European Financial Management.

    Volume (Year): 13 (2007)
    Issue (Month): 1 ()
    Pages: 135-158

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    Handle: RePEc:bla:eufman:v:13:y:2007:i:1:p:135-158
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