Risk analysis with contractual default. Does covenant breach matter?

DOI10.1016/J.EJOR.2013.04.047zbMATH Open1317.91041OpenAlexW2079116647MaRDI QIDQ2355962FDOQ2355962

Authors: E. Borgonovo, S. Gatti 

Publication date: 28 July 2015

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2013.04.047

Recommendations

• Risk analysis of collateralized debt obligations
• What drives value creation in investment projects? An application of sensitivity analysis to project finance transactions
• Analysis and risk management of investment projects using method Monte Carlo simulation
• On the credit risk of secured loans with maximum loan-to-value covenants
• A model of credit risk based on cash flow

zbMATH Keywords

Monte Carlo simulationinvestment analysisrisk analysiscoherent risk measurescovenantsproject finance

Mathematics Subject Classification ID

Financial applications of other theories (91G80)

Cites Work

• Coherent measures of risk
• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
• Title not available (Why is that?)
• Measures of risk
• The Kolmogorov-Smirnov Test for Goodness of Fit
• Risk assessment for banking systems
• Portfolio selection under distributional uncertainty: a relative robust CVaR approach
• Evaluating income streams: A decision analysis approach
• What drives value creation in investment projects? An application of sensitivity analysis to project finance transactions
• Newsvendor solutions via conditional value-at-risk minimization
• Coherent risk measures in inventory problems
• Identification of a small reliable and efficient set of consistent scenarios
• Risk-adjusted probability measures in portfolio optimization with coherent measures of risk
• The optimal portfolio problem with coherent risk measure constraints.
• Proper Conditioning for Coherent VaR in Portfolio Management
• Simulating sensitivities of conditional value at risk
• Reclaiming quasi-Monte Carlo efficiency in portfolio value-at-risk simulation through Fourier transform

Cited In (2)

• Investment timing, debt structure, and financing constraints
• Portfolio optimization under loss aversion

This page was built for publication: Risk analysis with contractual default. Does covenant breach matter?

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2355962)