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Calibrating Credit Risk Dynamics in Private Infrastructure Debt

Frédéric Blanc-Brude, Majid Hasan and Timothy Whittaker
The Journal of Fixed Income Spring 2018, 27 (4) 54-71; DOI: https://doi.org/10.3905/jfi.2018.27.4.054
Frédéric Blanc-Brude
is the director of EDHEC Infrastructure Institute and EDHEC Asia Pacific at EDHEC Business School in Singapore
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Majid Hasan
is an associate research director of EDHEC Infrastructure Institute at EDHEC Business School in Singapore
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Timothy Whittaker
is an associate research director of EDHEC Infrastructure Institute at EDHEC Business School in Singapore
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Article Information

vol. 27 no. 4 54-71
DOI 
https://doi.org/10.3905/jfi.2018.27.4.054

Published By 
Pageant Media Ltd
Print ISSN 
1059-8596
Online ISSN 
2168-8648
History 
  • Published online March 25, 2018.

Copyright & Usage 
© 2018 Pageant Media Ltd

Author Information

  1. Frédéric Blanc-Brude
    1. is the director of EDHEC Infrastructure Institute and EDHEC Asia Pacific at EDHEC Business School in Singapore. (frederic.blanc-brude{at}edhec.edu)
  2. Majid Hasan
    1. is an associate research director of EDHEC Infrastructure Institute at EDHEC Business School in Singapore. (majid.hasan{at}edhec.edu)
  3. Timothy Whittaker
    1. is an associate research director of EDHEC Infrastructure Institute at EDHEC Business School in Singapore. (tim.whittaker{at}edhec-risk.com)
  1. To order reprints of this article, please contact David Rowe at drowe{at}iijournals.com or 212-224-3045.
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The Journal of Fixed Income: 27 (4)
The Journal of Fixed Income
Vol. 27, Issue 4
Spring 2018
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Calibrating Credit Risk Dynamics in Private Infrastructure Debt
Frédéric Blanc-Brude, Majid Hasan, Timothy Whittaker
The Journal of Fixed Income Mar 2018, 27 (4) 54-71; DOI: 10.3905/jfi.2018.27.4.054

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Calibrating Credit Risk Dynamics in Private Infrastructure Debt
Frédéric Blanc-Brude, Majid Hasan, Timothy Whittaker
The Journal of Fixed Income Mar 2018, 27 (4) 54-71; DOI: 10.3905/jfi.2018.27.4.054
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  • Article
    • Abstract
    • FRAMEWORK
    • DATA AND PRELIMINARIES
    • MODELING DSCR DYNAMICS
    • MODEL CALIBRATION RESULTS
    • CREDIT RISK IMPLICATIONS
    • APPENDIX A
    • ENDNOTES
    • REFERENCES
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