Measuring Value‐at‐Risk in Project Finance Transactions
针对项目融资交易，提出用蒙特卡洛模拟来估算风险价值，并讨论开发此类模型的关键问题，对银行选择内部评级模型有参考价值。
Abstract Despite the remarkable importance of project finance in international financial markets, no quantitative models to measure and quantify the risk associated with a deal for the project's lenders have been developed yet. The topic has recently become crucial, since the New Basle Capital Accord gives banks a choice of whether to adopt simpler (but possibly higher) standard capital requirements or to develop internal rating models for project finance transactions. The paper proposes how Monte Carlo simulations may be used to derive a Value‐at‐Risk estimate for project finance deals and discusses the critical issues that must be considered when developing such a model.