- 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
- Reviewed
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