An overview of project finance binomial loan valuation

Title: An overview of project finance binomial loan valuation
Creator: Winsen, Joseph K.
Relation: Review of Financial Economics Vol. 19, Issue 2, p. 84-89
Publisher Link: http://dx.doi.org/10.1016/j.rfe.2009.10.002
Publisher: Elsevier
Resource Type: journal article
Date: 2010
Description: Setting project financing parameters, such as the loan to valuation ratio, loan interest rate, repayment schedules, and fees, requires detailed modelling of the resulting credit risk in a non-recourse setting. Structured credit risk models, based on the early work of Merton, have been developed in continuous time which can assist with project financing structuring. These models require a level of mathematical sophistication that may not always be available to those undertaking project financing analysis. This note provides an overview of a discrete time binomial approach to structural credit risk modelling, which enables project financing analysts a more accessible tool to evaluate project loan structures.
Subject: project financing; binomial valuation
Identifier: http://hdl.handle.net/1959.13/930714
Identifier: uon:10905
Identifier: ISSN:1058-3300
Language: eng
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