The DOI matches its Crossref record.
Measuring Value‐at‐Risk in Project Finance Transactions
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.
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In financial terms, it is traditional to choose a P95 percentile as risk appetite.
“In financial terms, it is traditional to choose a P95 percentile as risk appetite (Chen and Peng, 2018;Joukar and Nahmens, 2016;Gatti et al. 2007;Kuester et al. 2006;Giot and Laurent, 2003).”
From Beyond probability-impact matrices in project risk management: A quantitative methodology for risk prioritisation (2024) · cites this paper as Gatti et al. 2007
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Cited by
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Acebes, F., González-Varona, J. M., López-Paredes, A., & Pajares, J. (2024) · Humanities and Social Sciences Communications · doi:10.1057/s41599-024-03180-5 · Cited by 74
Metadata
- Authors
- Gatti, S., Rigamonti, A., Saita, F., & Senati, M.
- Affiliations
- Bocconi University (IT)
- Corresponding author
- Gatti, Stefano
- Rigamonti, Alvaro
- Saita, Francesco
- Senati, Mauro
- ORCID
- Gatti, Stefano
- Venue
- European Financial Management
- Publisher
- Wiley
- Published
- 2007-01
- Volume
- 13
- Issue
- 1
- Pages
- 135-158
- ISSN
- 1354-7798 (ISSN-L)
- 1468-036X
- OpenAlex
- W2100508125
- Cited by
- 69
- References
- 0
- Citations by year
- 2026: 1 · 2024: 3 · 2023: 4 · 2022: 3 · 2021: 4 · 2020: 4 · 2019: 2 · 2018: 3 · 2017: 3 · 2016: 5 · 2015: 1 · 2014: 3 · 2013: 4 · 2012: 5
- FWCI
- 6.50
- Type
- journal article
- Language
- en
- Open access
- closed
- Locations
- European Financial Management (publishedVersion)
- Archivio istituzionale della Ricerca - Bocconi (submittedVersion)
- Topics
- Social Sciences › Economics, Econometrics and Finance › Finance › Capital Investment and Risk Analysis
- Social Sciences › Business, Management and Accounting › Accounting › Risk Management in Financial Firms
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Risk and Volatility Modeling
- Keywords
- value at risk, project financing, Monte Carlo simulation, risk measurement, Basel Accord, capital requirements, credit risk
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