E-Book, Englisch, 188 Seiten, Web PDF
Genser A Structural Framework for the Pricing of Corporate Securities
1. Auflage 2006
ISBN: 978-3-540-28685-1
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark
Economic and Empirical Issues
E-Book, Englisch, 188 Seiten, Web PDF
Reihe: Lecture Notes in Economics and Mathematical Systems
ISBN: 978-3-540-28685-1
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark
This book is the first comprehensive treatment of structural credit risk models for the simultaneous and consistent pricing of corporate securities. Through the development of a flexible economic framework based on the firm's EBIT, the reader is taken from the economic principles of firm value models to the empirical implementation. Analytical solutions are provided if EBIT follows an arithmetic or geometric Brownian motion. In addition, numerical methods are proposed to solve more advanced economic settings or to price derivatives on corporate securities. Numerical examples make the theory easily accessible and show its ability to reproduce empirical observations. An econometric implementation guides towards practical application. Hence, the book provides a state-of-the-art exposition of corporate securities pricing for academics and practitioners alike.
Zielgruppe
Research
Autoren/Hrsg.
Weitere Infos & Material
The Corporate Securities Framework.- ABM- and GBM-EBIT-Models.- Numerical Illustration of the ABM- and GBM-Model.- Empirical Test of the EBIT-Based Credit Risk Model.- Concluding Remarks.
