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| Author: | Gatti, S. (et al.) |
| Title: | Measuring value-at-risk in project finance transactions |
| Journal: | European Financial Management
2007 : JAN, VOL. 13:1, p. 135-158 |
| Index terms: | finance project financing value-at-risk risk management Monte Carlo technique simulation models |
| Language: | eng |
| Abstract: | In spite of the importance of project finance in international financial markets, no quantitative models have been developed to measure and quantify the risk associated with a deal for the project's lenders. This paper proposes how Monte Carlo simulations may be used to derive a Value-at-Risk estimate for project finance deals, discussing the critical issues to be considered when developing such a model. |
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