Perspectives and a Quantitative Model for Structured Microfinance
We study the perspectives and develop a quantitative model for structured microfinance instruments, which have suffered as a result of the financial crisis of 2008/2009. A survey addressed to relevant world-wide experts on microfinance shows that structured instruments are still regarded as an important means for refinancing microfinance institutions in the future. In a second step we introduce a quantitative credit risk model that takes into account the peculiarities of microfinance institutions and can be used for pricing purposes and analyzing the risk inherence in different tranches of a structured microfinance vehicle. In a realistic application we check the robustness and demonstrate the advantages of the model presented.
Year of publication: |
2010
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Authors: | Dorfleitner, Gregor ; Priberny, Christopher |
Institutions: | Centre Emile Bernheim, Solvay Brussels School of Economics and Management |
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