Research and publications

Unlisted Infrastructure Debt Valuation & Performance Measurement: Theoretical Framework and Data Collection Requirements

Building on advanced and robust credit risk modelling and private debt valuation techniques, this paper focuses on delivering those performance measures that are the most relevant to investors at the strategic asset allocation level, and to prudential regulators for the calibration of risk weights. It provides a implementable framework for the formation of risk and return expectations in illiquid infrastructure debt, and also defines the most parsimonious data input requirements. Hence, we can realistically expect to deliver these performance measures at a minimal data collection cost.

Author(s):

Frédéric Blanc-Brude, Majid Hasan, Omneia R.H. Ismail

Summary:

Building on advanced and robust credit risk modelling and private debt valuation techniques, this paper focuses on delivering those performance measures that are the most relevant to investors at the strategic asset allocation level, and to prudential regulators for the calibration of risk weights. It provides a implementable framework for the formation of risk and return expectations in illiquid infrastructure debt, and also defines the most parsimonious data input requirements. Hence, we can realistically expect to deliver these performance measures at a minimal data collection cost.

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Type :	EDHEC Publication
Date :	31/07/2014
Keywords :	Infrastructure Investment

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