کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
480747 1445989 2016 20 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A dynamic program for valuing corporate securities
ترجمه فارسی عنوان
یک برنامه پویا برای ارزیابی اوراق بهادار شرکت
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر علوم کامپیوتر (عمومی)
چکیده انگلیسی


• We design and implement a dynamic program for valuing corporate securities.
• Our setting accommodates arbitrary junior and senior corporate debts.
• We consider an extended balance-sheet equality and a reorganization process.
• We compute the term structure of yield spreads and default probabilities.

We design and implement a dynamic program for valuing corporate securities, seen as derivatives on a firm’s assets, and computing the term structure of yield spreads and default probabilities. Our setting is flexible for it accommodates an extended balance-sheet equality, arbitrary corporate debts, multiple seniority classes, and a reorganization process. This flexibility comes at the expense of a minor loss of efficiency. The analytical approach proposed in the literature is exchanged here for a quasi-analytical approach based on dynamic programming coupled with finite elements. To assess our construction, which shows flexibility and efficiency, we carry out a numerical investigation along with a complete sensitivity analysis.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 249, Issue 2, 1 March 2016, Pages 751–770
نویسندگان
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