Download or read book Essays in Contingent Claims Analysis written by Kenneth F. McKay and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on credit rationing using contingent claims analysis written by Roland Clairmonte Craigwell and published by . This book was released on 1993 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Contingent Claims written by Gonzalo Cortazar and published by . This book was released on 1992 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Financial Economics written by Richard H. Stanton and published by . This book was released on 1992 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Contingent Claims written by Arjuna Indraeswaran Rajasingham and published by . This book was released on 1989 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Five Essays on the Pricing of Contingent Claims written by Leif B. G. Andersen and published by . This book was released on 1996 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Contingent Claims Pricing written by Jesper Andreasen and published by . This book was released on 1997 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book World Scientific Reference On Contingent Claims Analysis In Corporate Finance In 4 Volumes written by Michel Crouhy and published by World Scientific. This book was released on 2019-01-21 with total page 2039 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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).
Download or read book Three Essays on Contingent Claims Pricing written by Anlong Li and published by . This book was released on 1992 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Role of Contingent Claims Analysis in Corporate Finance written by Scott P. Mason and published by . This book was released on 1984 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Contingent Claim Pricing with Applications to Financial Risk Management written by Hua Chen and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a multi-essay dissertation designed to explore the contingent claim pricing theory with non-tradable underlying assets, with emphasis on its applications to insurance and risk management. In the first essay, I apply the real option pricing theory and dynamic programming methods to address problems in the area of operational risk management. Particularly, I develop a two-stage model to help firms determine optimal switching triggers in the event of an influenza epidemic. In the second essay, I examine mortality securitization in an incomplete market framework. I build a jump-diffusion process into the original Lee-Carter model and explore alternative model with transitory versus permanent jump effects. I discuss pricing difficulties of the Swiss Re mortality bond (2003) and use the Wang transform to account for correlations of the mortality index over time. In the third essay, I study the valuation of the non-recourse provision in reverse mortgages. I model the various risks embedded in the HECM program and apply the conditional Esscher transform to price the non-recourse provision. I further examine the premium structure of HECM loans and investigate whether insurance premiums are adequate to cover expected claims.
Download or read book Contingent Claims Analysis and Life cycle Finance written by Zvi Bodie and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Contingent Claims Analysis written by Scott P. Mason and published by . This book was released on 1986 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Application of Contingent Claims Analysis in Finance written by Christian Wiehenkamp and published by . This book was released on 2010 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Contingent Claims Pricing written by David Lando and published by . This book was released on 1994 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Contingent Claims Analysis in Corporate Finance written by Gunnar Grass and published by . This book was released on 2009 with total page 151 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on the Valuation Problems of Contingent Claims written by Akihiko Takahashi and published by . This book was released on 1995 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt:
