Measuring infrastructure debt credit risk

Frédéric Blanc-Brude, Omneia R.H. Ismail: In this paper, the authors develop a framework to measure the credit risk of unlisted infrastructure debt, including the first formulation of "distance to default" in infrastructure project finance.

Author(s) :

Frederic Blanc-Brude

Research Director, EDHEC Risk Institute-Asia.

Omneia R.H. Ismail

Senior Research Engineer, EDHEC Risk Institute-Asia

Pdf
Measuring infrastructure debt credit risk...
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Type : Working paper
Date : le 30/08/2013
Extra information : For more information, please contact EDHEC Research and Development Department [ research@drd.edhec.edu ]
Research Cluster : Finance

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