2010 年 3 巻 1 号 p. 139-157
During a project, various risk events may emerge. These risk events lead to decision-makings such as additional investment for project, execution of project, and withdrawal from project. Prepayment and Re-scheduling are typical credit risk events. Prepayment risk is the risk that project fund is reduced before maturity by certain reasons of investors. Re-scheduling risk is the risk that a loan repayment date is postponed because a financial condition of project is worsened at a maturity and repayment of a loan amount is difficult. In this paper we propose the method to evaluate a value of project including these credit risks and establish a structural model to evaluate it.