A quantitative model for structured microfinance

G. Dorfleitner and C. Priberny

The Quarterly Review of Economics and Finance, 2013, vol. 53, issue 1, 12-22

Abstract: We develop a quantitative model for structured microfinance instruments, which are regarded as an important means for refinancing microfinance institutions. The quantitative credit risk model presented 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 investment vehicle. Additionally, we introduce an innovative pricing methodology that abstains from using the martingale probability measure. This approach is more appropriate for illiquid securitized debt of microfinance institutions. In a realistic application we check the robustness and demonstrate the advantages of the model presented.

Keywords: Microfinance; Structured products; Quantitative model; MC-based pricing; Risk analysis; Robustness check (search for similar items in EconPapers)
JEL-codes: C63 G10 G21 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:53:y:2013:i:1:p:12-22

DOI: 10.1016/j.qref.2012.10.005

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