欢迎来到天天文库
浏览记录
ID:7304951
大小:202.10 KB
页数:10页
时间:2018-02-11
《value of the firm and the risk of default》由会员上传分享,免费在线阅读,更多相关内容在工程资料-天天文库。
1、CHAPTER39valueofthefirmandtheriskofdefaultInthisChapter...•modelsfordefaultbasedonthe‘valueofthefirm’•modelingthevalueofafirmbasedonmeasurableparametersandvariables39.1INTRODUCTIONSofar,theproductsonwhichwehaveconcentratedhaveallhadcashflowsthatareguaranteed.Wehaveassumedthatthesecashflows,coupons
2、,payoffsandredemptionvalues,arefromacompletelycreditworthysourceorunderwritteninsuchawaythattheincomeiscertain.Optionsboughtthroughanexchangeareusuallyconsideredfreeoftheriskofdefaultbecauseofthewaythatexchangesareunderwritten,andpartlybecauseoftherequirementforamargintobedeposited.Inpractice
3、,manybondshavenosuchguarantee.Perhapstheyareissuedbyacompanyasaformofborrowingforexpansion.Inthiscase,theissuingcompanymaydeclarebankruptcybeforeallofthecashflowshavebeenpaid.Alternatively,theymaybeissuedbyagovernmentwitharecordforirregularpaymentofdebt.Overthecounter(OTC)optionscanhavesignific
4、antcounterpartyrisks.Forthisreasontherehasgrownupoverthepastdecadeaconsiderablebodyofrulesandregulationsgoverningcapitaladequacy,toensurethatbanksarecoveredintheeventofextrememarketmovementsthatmightotherwiseleadtocollapse(seeChapter19onValueatRisk).Inthischapterwediscussthesubjectofmodelingw
5、henthereisriskofdefaultorcreditrisk.Therearetwomainapproachestothemodelingofdefault.Onerevolvesaroundmodelingthevalueoftheissuingfirm(orcountry).Theothermodelsanexogenousriskofdefault.Theformerisappealingbecauseitisclearlyclosertoreality.Thedownsideisthatthesemodelsareusuallymorecomplicatedtos
6、olve,withparametersthataredifficulttomeasure.Idescribethemostpopularsuchmodelandthendescribeasimilarmodel,onewithmoreeasily-measuredparameters.640PartFourcreditrisk39.2THEMERTONMODEL:EQUITYASANOPTIONONACOMPANY’SASSETSTheMertonmodelshowsveryelegantlyhowtheequityofacompanycanbethoughtofasasimple
7、calloptionontheassetsofthecompany.HestartsoffbyassumingthattheassetsofthecompanyAfollowarandomwalkdA=µAdt+σAdX.Clearly,thevalueoftheequityequalsassetslessliabilities:S=A−V.HereSisthevalueoftheequity(justtheshareprice,I’veassumedthatthereisonl
此文档下载收益归作者所有