著者

村内 佳子 湊 隆幸

出版者

日本リアルオプション学会

雑誌

リアルオプション研究 (ISSN:18815774)

巻号頁・発行日

vol.3, no.1, pp.139-157, 2010 (Released:2010-03-04)

参考文献数

3

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During a project, various risk events may emerge. These risk events lead to decision-makings such as additional investment for project, execution of project, and withdrawal from project. Prepayment and Re-scheduling are typical credit risk events. Prepayment risk is the risk that project fund is reduced before maturity by certain reasons of investors. Re-scheduling risk is the risk that a loan repayment date is postponed because a financial condition of project is worsened at a maturity and repayment of a loan amount is difficult. In this paper we propose the method to evaluate a value of project including these credit risks and establish a structural model to evaluate it.