The Role Of Contingent Claims Analysis In Corporate Finance
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The Role Of Contingent Claims Analysis In Corporate Finance
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Author : Scott P. Mason
language : en
Publisher:
Release Date : 1984
The Role Of Contingent Claims Analysis In Corporate Finance written by Scott P. Mason and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1984 with Contingencies in finance categories.
World Scientific Reference On Contingent Claims Analysis In Corporate Finance In 4 Volumes
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Author : Michel Crouhy
language : en
Publisher: World Scientific
Release Date : 2019-01-21
World Scientific Reference On Contingent Claims Analysis In Corporate Finance In 4 Volumes written by Michel Crouhy and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-01-21 with Business & Economics categories.
Black and Scholes (1973) and Merton (1973, 1974) (hereafter referred to as BSM) introduced the contingent claim approach (CCA) to the valuation of corporate debt and equity. The BSM modeling framework is also named the 'structural' approach to risky debt valuation. The CCA considers all stakeholders of the corporation as holding contingent claims on the assets of the corporation. Each claim holder has different priorities, maturities and conditions for payouts. It is based on the principle that all the assets belong to all the liability holders.The BSM modeling framework gives the basic fundamental version of the structural model where default is assumed to occur when the net asset value of the firm at the maturity of the pure-discount debt becomes negative, i.e., market value of the assets of the firm falls below the face value of the firm's liabilities. In a regime of limited liability, the shareholders of the firm have the option to default on the firm's debt. Equity can be viewed as a European call option on the firm's assets with a strike price equal to the face value of the firm's debt. Actually, CCA can be used to value all the components of the firm's liabilities, equity, warrants, debt, contingent convertible debt, guarantees, etc.In the four volumes we present the major academic research on CCA in corporate finance starting from 1973, with seminal papers of Black and Scholes (1973) and Merton (1973, 1974). Volume I covers the foundation of CCA and contributions on equity valuation. Volume II focuses on corporate debt valuation and the capital structure of the firm. Volume III presents empirical evidence on the valuation of debt instruments as well as applications of the CCA to various financial arrangements. The papers in Volume IV show how to apply the CCA to analyze sovereign credit risk, contingent convertible bonds (CoCos), deposit insurance and loan guarantees. Volume 1: Foundations of CCA and Equity ValuationVolume 1 presents the seminal papers of Black and Scholes (1973) and Merton (1973, 1974). This volume also includes papers that specifically price equity as a call option on the corporation. It introduces warrants, convertible bonds and taxation as contingent claims on the corporation. It highlights the strong relationship between the CCA and the Modigliani-Miller (M&M) Theorems, and the relation to the Capital Assets Pricing Model (CAPM). Volume 2: Corporate Debt Valuation with CCAVolume 2 concentrates on corporate bond valuation by introducing various types of bonds with different covenants as well as introducing various conditions that trigger default. While empirical evidence indicates that the simple Merton's model underestimates the credit spreads, additional risk factors like jumps can be used to resolve it. Volume 3: Empirical Testing and Applications of CCAVolume 3 includes papers that look at issues in corporate finance that can be explained with the CCA approach. These issues include the effect of dividend policy on the valuation of debt and equity, the pricing of employee stock options and many other issues of corporate governance. Volume 4: Contingent Claims Approach for Banks and Sovereign DebtVolume 4 focuses on the application of the contingent claim approach to banks and other financial intermediaries. Regulation of the banking industry led to the creation of new financial securities (e.g., CoCos) and new types of stakeholders (e.g., deposit insurers).
World Scientific Reference On Contingent Claims Analysis In Corporate Finance
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Author : Dan Galai
language : en
Publisher:
Release Date : 2019
World Scientific Reference On Contingent Claims Analysis In Corporate Finance written by Dan Galai and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with Corporations categories.
V.1. Foundations of CCA and equity valuation -- v. 2. Corporate debt valuation with CCA -- v. 3. Empirical testing and applications of CCA -- v. 4. Contingent claims approach for banks and sovereign debt.
The Contingent Claims Approach To Corporate Vulnerability Analysis
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Author : Michael Gapen
language : en
Publisher:
Release Date : 2008
The Contingent Claims Approach To Corporate Vulnerability Analysis written by Michael Gapen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
In this paper, we examine the ability of the contingent claims approach (CCA) to identify corporate sector and economy-wide vulnerabilities. We apply the Moody`s M/Risk model, which uses aggregated CCA principles, to assess vulnerabilities retroactively in two historical country cases. The results indicate that the method may prove helpful in identifying corporate sector vulnerabilities and estimating the associated value of risk transfer across interrelated balance sheets of the corporate, financial, and public sectors.
Pricing Corporate Securities As Contingent Claims
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Author : Kenneth D. Garbade
language : en
Publisher: MIT Press
Release Date : 2001
Pricing Corporate Securities As Contingent Claims written by Kenneth D. Garbade and has been published by MIT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Business & Economics categories.
Bringing together developments from the past 30years in contingent valuation, this book examines the relative value of securities in a corporation's capital structure, including debt of different priorities, convertible debt, common stock, and warrants.
Systemic Contingent Claims Analysis
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Author : Mr.Andreas A. Jobst
language : en
Publisher: International Monetary Fund
Release Date : 2013-02-27
Systemic Contingent Claims Analysis written by Mr.Andreas A. Jobst and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-02-27 with Business & Economics categories.
The recent global financial crisis has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Current macroprudential policy and surveillance (MPS) efforts are aimed establishing a regulatory framework that helps mitigate the risk from systemic linkages with a view towards enhancing the resilience of the financial sector. This paper presents a forward-looking framework ("Systemic CCA") to measure systemic solvency risk based on market-implied expected losses of financial institutions with practical applications for the financial sector risk management and the system-wide capital assessment in top-down stress testing. The suggested approach uses advanced contingent claims analysis (CCA) to generate aggregate estimates of the joint default risk of multiple institutions as a conditional tail expectation using multivariate extreme value theory (EVT). In addition, the framework also helps quantify the individual contributions to systemic risk and contingent liabilities of the financial sector during times of stress.
Recent Advances In Corporate Finance
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Author : Edward I. Altman
language : en
Publisher: Irwin Professional Publishing
Release Date : 1985
Recent Advances In Corporate Finance written by Edward I. Altman and has been published by Irwin Professional Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 1985 with Business & Economics categories.
The Theory Of Corporate Finance
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Author : Jean Tirole
language : en
Publisher: Princeton University Press
Release Date : 2010-08-26
The Theory Of Corporate Finance written by Jean Tirole and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-08-26 with Business & Economics categories.
"Magnificent."—The Economist From the Nobel Prize–winning economist, a groundbreaking and comprehensive account of corporate finance Recent decades have seen great theoretical and empirical advances in the field of corporate finance. Whereas once the subject addressed mainly the financing of corporations—equity, debt, and valuation—today it also embraces crucial issues of governance, liquidity, risk management, relationships between banks and corporations, and the macroeconomic impact of corporations. However, this progress has left in its wake a jumbled array of concepts and models that students are often hard put to make sense of. Here, one of the world's leading economists offers a lucid, unified, and comprehensive introduction to modern corporate finance theory. Jean Tirole builds his landmark book around a single model, using an incentive or contract theory approach. Filling a major gap in the field, The Theory of Corporate Finance is an indispensable resource for graduate and advanced undergraduate students as well as researchers of corporate finance, industrial organization, political economy, development, and macroeconomics. Tirole conveys the organizing principles that structure the analysis of today's key management and public policy issues, such as the reform of corporate governance and auditing; the role of private equity, financial markets, and takeovers; the efficient determination of leverage, dividends, liquidity, and risk management; and the design of managerial incentive packages. He weaves empirical studies into the book's theoretical analysis. And he places the corporation in its broader environment, both microeconomic and macroeconomic, and examines the two-way interaction between the corporate environment and institutions. Setting a new milestone in the field, The Theory of Corporate Finance will be the authoritative text for years to come.
Lectures On Corporate Finance
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Author : Peter Bossaerts
language : en
Publisher: World Scientific Publishing Company
Release Date : 2006-10-16
Lectures On Corporate Finance written by Peter Bossaerts and has been published by World Scientific Publishing Company this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-10-16 with Business & Economics categories.
This course of lectures introduces students to elementary concepts of corporate finance using a more systematic approach than is generally found in other textbooks. Axioms are first highlighted and the implications of these important concepts are studied afterwards. These implications are used to answer questions about corporate finance, including issues related to derivatives pricing, state-price probabilities, dynamic hedging, dividends, capital structure decisions, and risk and incentive management. Numerical examples are provided, and the mathematics is kept simple throughout. In this second edition, explanations have been improved, based on the authors' experience teaching the material, especially concerning the scope of state-price probabilities in Chapter 12. There is also a new Chapter 22: Fourteen Insights.
Market Conform Valuation Of Options
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Author : Tobias Herwig
language : en
Publisher: Taylor & Francis
Release Date : 2006-01-17
Market Conform Valuation Of Options written by Tobias Herwig and has been published by Taylor & Francis this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-01-17 with Business & Economics categories.
The focus of this volume is on the development of new approaches for the market-conform valuation of newly issued derivatives. The first chapter presents a flexible approach to construct the binomial process of the underlying asset price by using a simultaneously backward and forward induction algorithm. This framework can be used to price and hedge a wide range of plain-vanilla and exotic options. In the second chapter this new approach is compared to existing models using a sample of plain-vanilla options, American call options and European Barrier options from two competing markets. In the third chapter new methods to value American-style options via Monte Carlo simulations in accordance with given market prices are discussed. After a short introduction to Monte Carlo methods, two new approaches are proposed. These new frameworks are illustrated via pricing examples for standard American put options.