Travail de recherche/Working paper
| Résumé : | 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. |
