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Probabilidad de incumplimiento en inversiones de infraestructura: análisis a partir de modelos estructurales de riesgo de crédito.
- Source :
-
Revista de Metodos Cuantitativos para la Economia y la Empresa . dic2020, Vol. 30, p327-345. 19p. - Publication Year :
- 2020
-
Abstract
- The purpose of this paper is to estimate the default probabilities in infrastructure projects. For that, we analyze the exposure of the lenders to a state of default. This application is made by assuming the debt service coverage ratio (DSCR) dynamic itself and the payment profile determined by the available cash flow of the project, where these are stochastically modeled following the same assumptions of the valuation theory of options developed by Black and Scholes (1973) and Merton (1973). In this way, through the adaptation of structural models developed for illiquid assets, as an extension of the credit risk models of Merton (1974) and KMV of Moody's, the probability, exposure and loss components of the lenders are analyzed in scenarios of default. [ABSTRACT FROM AUTHOR]
- Subjects :
- *CREDIT risk
*DEBT service
*INFRASTRUCTURE (Economics)
*ILLIQUID assets
*CASH flow
Subjects
Details
- Language :
- Spanish
- ISSN :
- 1886516X
- Volume :
- 30
- Database :
- Academic Search Index
- Journal :
- Revista de Metodos Cuantitativos para la Economia y la Empresa
- Publication Type :
- Academic Journal
- Accession number :
- 147509817
- Full Text :
- https://doi.org/10.46661/revmetodoscuanteconempresa.3508