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EVALUATION OF CREDIT RETURN INTEREST FOR VENTURE PROJECTS IN THE FRAMEWORK OF REPLICATING PORTFOLIO APPROACH
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EVALUATION OF CREDIT RETURN INTEREST FOR VENTURE PROJECTS IN THE FRAMEWORK OF REPLICATING PORTFOLIO APPROACH
Annotation
PII
S042473880000616-6-1
Publication type
Article
Status
Published
Authors
Sergey Vavilov  Kirill Svetlov
Edition
Volume 51 Issue 4
Pages
76-84
Abstract

Evaluation of credit return interest for venture projects is considered in the present paper. The problem to study is tackled from the lender position in the framework of replicating portfolio approach. The derived value of interest rate strongly depends on a number of factors, such as duration of borrowing, degree of riskiness and the amount of equity invested in the project. The novelty of the proposed approach is stipulated by application of stochastic methods to the problem inquest. Suggested methodology implies diversifi cation phenomenon when the existence of a number of fi - nancial projects in contrast to the singular one leads to the diminishing of the overall credit margin. Arbitrage free property is proved with respect to the derived interest rate.

Keywords
credit risk, replicating portfolio, venture project
Date of publication
01.10.2015
Number of purchasers
1
Views
786
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0.0 (0 votes)
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