A Structural Framework for the Pricing of Corporate Securities : Economic and Empirical Issues
- Author
- Michael Genser
- Publication Year
- 2006
- Publisher
- Springer
- Language
- English
- Document Type
- Book
- Faculty / Subject Heading
- Business Administration
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This book is the first comprehensive treatment, of structural credit risk models for the simultaneous and consistent pricing of corporate securities. Through the development of a flexible economic framework based on the firm's EBIT, the reader is taken from the economic principles of firm value models to the empirical implementation. Analytical solutions are provided, if EBIT follows an arithmetic or geometric Brownian motion.
Keywords: Business and Economics / Corporate Securities / Corporate security prices / Credit risk / Firm value / Firm value models / Option Valuation
