A Framework for Valuing Corporate Securities

DefaultRisk.com the web's biggest credit risk modeling resource.

Submit Your Paper

Post Your Résumé

For Recruiters

Today's Featured Book

Advanced Analytical Models, + DVD: Over 800 Models and 300 Applications from the Basel II Accord to Wall Street and Beyond
by Johnathan Mun, Wiley, May 2, 2008, Hardcover, 1032 pages

Training Discounted for DefaultRisk.com visitors only:

The Mathematics of Credit Derivatives: The Essential Credit Modelling and Pricing Companion
by Philipp J. Schönbucher,
WBS Training, August 2003, DVD / Interactive CD-ROM

Sponsor:
Shop at Amazon.com and support DefaultRisk.com

A Framework for Valuing Corporate Securities

by Jan Ericsson of the Catholic University of Louvain, and
Joel Reneby of the Stockholm School of Economics

October 1998

Abstract: We suggest a methodology for valuing corporate securities that allows the straightforward derivation of closed form solutions for complex cap- ital structure scenarios. The tractability of the approach stems from its modularity - we provide a number of intuitive building blocks that are sufficient for valuation in most typical situations. A further advantage of our approach is that it makes economic interpretation far easier than what is typically possible with other approaches such as solving partial differential equations. As examples we consider a corporate coupon bond with discrete payments and debt subject to strategic debt service.

Published in: Applied Mathematical Finance, Vol. 5, No. 3-4, (September 1998), pp. 143-163.

Books Referenced in this Paper: (what is this?)