The Term Structure of Credit Spreads in Project Finance

• Tác giả: Marco Sorge
• Ngôn ngữ: eng
• Ký hiệu phân loại: 658.1 Organization and finance
• Thông tin xuất bản: 2012
• Bộ sưu tập: Tài liệu truy cập mở
• ID: 292058
• Chủ đề: 1. Capital and Ownership Structure G320; 2. Financial Risk and Risk Management; 3. Financing Policy; 4. Interest Rates: Determination, Term Structure, and Effects E430; 5. International Financial Markets G150

Tóm tắt

This paper finds that the term structure of credit spreads in project finance is hump-shaped. This contrasts with other types of debt, where credit risk is shown instead to increase monotonically with maturity ceteris paribus. We emphasize a number of peculiar features of project finance structures that might underlie this finding, such as high leverage decreasing over time, long-term political risk guarantees and the sequential resolution of uncertainty along project advancement stages. Our result is particularly relevant given the importance of project finance as a source of long-term capital for infrastructure especially in developing countries and has implications for risk management in the framework of Basel II.