We develop a structural credit risk model relying on cash flow data to derive credit risk metrics that is useful for illiquid assets for which a time series of prices is not observable. Our methodology is designed to require a parsimonious dataset of observable inputs.
Cash Flow Dynamics of Infrastructure Project Debt: Empirical evidence and dynamic modelling
The objectives of this paper are to document the statistical characteristics of debt service cover ratios (DSCRs) in infrastructure project finance, and to develop and calibrate a model of DSCR dynamics. Advanced stochastic modelling of infrastructure project debt has the potential to considerably improve credit risk measures.
Unlisted Infrastructure Debt Valuation & Performance: Theoretical Framework and Data Collection Requirements
This paper is part of an ongoing research project aiming to create long-term investment benchmarks for investors in infrastructure. It is the first valuation and risk measurement model created specifically for unlisted infrastructure debt instruments.
Who is afraid of Construction Risk? Portfolio Construction with Infrastructure Debt
This paper is the first of a series discussing the opportunity for long-term institutional investors such as pension funds, insurance companies or sovereign wealth funds, to invest in large portfolios of infrastructure debt, both to manage their liabilities and to minimise their exposure to capital market volatility.