World Scientific Reference on Contingent Claims Analysis in Corporate Finance
Language: English
Published by World Scientific Pub Co Inc, 2019
- Hardcover
- New
Seller: Revaluation Books, Exeter, United KingdomRevaluation Books
AbeBooks seller since January 6, 2003
Condition: New
£ 1,226.29
Quantity: 2 available
Add to basketItem description from seller
2036 pages. 9.75x7.00x4.75 inches. In Stock.
Seller Inventory # __9814730726
- Title
- World Scientific Reference on Contingent Claims Analysis in Corporate Finance
- Author
- Galai, Dan (Editor)/ Wiener, Zvi (Editor)/ Crouhy, Michel (Editor)
- Publisher
- World Scientific Pub Co Inc
- Publication year
- 2019
- Condition
- Brand New
- Binding
- Hardcover
- Language
- English
- ISBN 10
- 9814730726
- ISBN 13
- 9789814730723
- Item weight
- 4.11 kilograms
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 purediscount 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.
"Synopsis" may belong to another edition of this title.
Revaluation Books
Exeter, United Kingdom
AbeBooks seller since January 6, 2003
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