What drives value creation in investment projects? An application of sensitivity analysis to project finance transactions

European Journal of Operational Research

Volumn 205, Issue 1, 2010, Pages 227-236

  Borgonovo, E ^a   Gatti, S ^a   Peccati, L ^a  

^a BOCCONI UNIVERSITY   (Italy)

Author keywords

Finance: investment analysis; Risk analysis; Sensitivity analysis

Indexed keywords

ADDITIVITY; AGGREGATION LEVEL; EXOGENOUS FACTORS; EXOGENOUS VARIABLES; FINANCIAL MODELS; IMPORTANCE MEASURE; INVESTMENT ANALYSIS; INVESTMENT CRITERIA; INVESTMENT PROJECTS; LARGE PROJECT; MODEL COMPLEXITY; PROJECT FINANCE; VALUE CREATION;

ECONOMICS; PROJECT MANAGEMENT; RISK ANALYSIS; RISK ASSESSMENT; SAFETY FACTOR; SENSITIVITY ANALYSIS;

INVESTMENTS;

EID: 75849164669     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2009.12.006     Document Type: Article

References (39)

1. Amromin G., Harrison P., and Sharpe S. How did the 2003 dividend tax cut affect stock prices?. Financial Management 37 4 (2008) 625-646
2. Benninga S. Financial Modeling with Excel (2000), MIT Press, Cambridge, MA, USA ISBN 0-262-02482-9
3. Bernardo A.E., Bhagwan C., and Goyal A. Growth options, beta, and the cost of capital. Financial Management 36 2 (2007) 5-17
4. Borgonovo E. Measuring uncertainty importance: investigation and comparison of alternative approaches. Risk Analysis 26 5 (2006) 1349-1362
5. Borgonovo E. Differential importance and comparative statics: an application to inventory management. International Journal of Production Economics 111 1 (2008) 170-179 January
6. Borgonovo E., and Apostolakis G.E. A new importance measure for risk-informed decision-making. Reliability Engineering and System Safety 72 2 (2001) 193-212
7. Borgonovo E., and Peccati L. Sensitivity analysis in investment project evaluation. International Journal of Production Economics 90 (2004) 17-25
8. Borgonovo E., and Peccati L. The importance of assumptions in investment evaluation. International Journal of Production Economics 101 (2006) 298-311
9. Borgonovo, E., Peccati, L., 2008. Moment calculation for piecewise-defined functions: an application to stochastic optimization with coherent measures of risk. Annals of Operations Research. doi:10.1007/s10479-008-0504-1.
10. Brav A., Graham J.R., Harvey C.R., and Michaely R. Managerial response to the May 2003 dividend tax cut. Financial Management 37 4 (2008) 611-624
11. Burkill J.C., and Burkill H. A Second Course in Mathematical Analysis (1970), Cambridge University Press, Cambridge, United Kingdom
12. Campolongo F., and Saltelli A. Sensitivity analysis of an environmental model: an application of different analysis methods. Reliability Engineering and System Safety 57 (1997) 49-69
13. Clemen, R.T., 1997. Making Hard Decisions: An Introduction to Decision Analysis, second ed. Duxbury Press, Pacific Grove, CA, USA, ISBN: 0534260349.
14. Corielli F., Gatti S., Steffanoni A., 2008. Can nonfinancial contracts influence the pricing of financial contracts and leverage? Evidence from the international project finance loans market, Presented at the 21st Australasian Finance and Banking Conference 2008. Available at SSRN: http://ssrn.com/abstract=1145285.
15. Diaconis P. Bayesian Numerical Analysis. In: Gupta S., and Berger J.O. (Eds). Statistical Decision Theory and Related Topics IV (1988), Springer Verlag 163-174
16. Dixit, A.K., Pyndyck, R.S., 1994. Investment under uncertainty, Princeton University Press, Princeton NJ, USA, ISBN 0-691-03410-9.
17. Esty, B.C., Sesia Jr., A., 2007. An overview of project finance and infrastructure finance-2006 update. Harvard Business School Teaching Note, 9-207-107.
18. Fabozzi, F.J., 2000. Fixed income analysis. In: Fabozzi, F.J. (Ed.), New Hope, PA, USA, 715pp., ISBN 1-883249-83-X.
19. Finnerty, J.D., 2007. Project Financing: Asset-Based Financial Engineering, second ed. Wiley and Sons, New York.
20. Frey C.H. Introduction to special section on sensitivity analysis and summary of NCSU/USDA workshop on sensitivity analysis. Risk Analysis 22 3 (2002) 539-545
21. Gatti, S., 2007. Project Finance in Theory and Practice. Academic Press, Elsevier, NL, 440pp., ISBN-13: 978-0-12-373699-4.
22. Gatti S., Rigamonti A., Saita F., and Senati M. Measuring value-at-risk in project finance transactions. European Financial Management 13 1 (2007) 135-158
23. Hainz, C., Kleimeier, S., 2003. Political risk in syndicated lending: theory and empirical evidence regarding the use of project finance. Maastricht, LIFE Working Paper 03-014.
24. Hammami, M., Ruhashyankiko, J.F., Yehoue, E.B., 2006. Determinants of public-private partnerships in infrastructure. IMF Working Paper No. 06/99, April 2006.
25. Iman R.L., and Conover W.J. A measure of top-down correlation. Technometrics 29 3 (1987) 351-357
26. Jensen M., and Meckling W. Theory of the firm: managerial behavior, agency costs and ownership structure. Journal of Financial Economics 3 (1976) 305-360
27. Joos P., and Zhdanov A. Earnings and equity valuation in the biotech industry: theory and evidence. Financial Management 37 3 (2008) 431-445
28. Kleijnen J.P.C., and Helton J. Statistical analyses of scatter plots to identify important factors in large-scale simulations, 2: robustness of techniques. Reliability Engineering and Systems Safety 65 2 (1999) 187-197
29. Li K., and Zhao X. Asymmetric information and dividend policy. Financial Management 37 4 (2008) 673-694
30. Myers S.C. Interactions of corporate financing and investment decisions - implications for capital budgeting. Journal of Finance 29 1 (1974) 1-25 Mar
31. Nevitt, P.K., Fabozzi, F., 1995. Project Financing, sixth ed., Euromoney Publications, Nestor House, Playhouse Yard, EC4V 5EX, UK, 1995, ISBN1 855 642999.
32. Saltelli A. Sensitivity analysis for importance assessment. Risk Analysis 22 3 (2002) 579
33. Smith Jr. C.W., and Warner J.B. On financial contracting: an analysis of bond covenants. Journal of Financial Economics 7 (1979) 117-161
34. Van Groenendaal W.J.H. Estimating NPV variability for deterministic models. European Journal of Operational Research 107 (1998) 202-213
35. Van Groenendaal W.J.H., and Kleijnen J.P.C. On the assessment of economic risk: factorial design versus Monte Carlo methods. Reliability Engineering and System Safety 57 (1997) 91-102
36. Van Groenendaal W.J.H., and Kleijnen J.P.C. Deterministic versus stochastic sensitivity analysis in investment problems: an environmental case study. European Journal of Operational Research 141 (2002) 8-20
37. Vinter G. Project Finance A Legal Guide. Second ed. (1998), Sweet and Maxwell, London
38. Yescombe E.R. Principles of Project Finance (2002), Academic Press, San Diego
39. Zettl M. Valuing exploration and production projects by means of option pricing theory. International Journal of Production Economics 78 1 (2002) 109-116