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A quantitative model for structured microfinance

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  • Dorfleitner, G.
  • Priberny, C.

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.

Suggested Citation

  • Dorfleitner, G. & Priberny, C., 2013. "A quantitative model for structured microfinance," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(1), pages 12-22.
    • Handle: RePEc:eee:quaeco:v:53:y:2013:i:1:p:12-22
    DOI: 10.1016/j.qref.2012.10.005
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    References listed on IDEAS

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    Cited by:

    1. Dorfleitner, Gregor & Röhe, Michaela & Renier, Noémie, 2017. "The access of microfinance institutions to debt capital: An empirical investigation of microfinance investment vehicles," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 1-15.
    2. Marek Hudon & Marc Labie & Ariane Szafarz, 2019. "A long time ago in a galaxy far, far away… How microfinance evolved and how research followed," Working Papers CEB 19-013, ULB -- Universite Libre de Bruxelles.

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    More about this item

    Keywords

    Microfinance; Structured products; Quantitative model; MC-based pricing; Risk analysis; Robustness check;
    All these keywords.

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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