The valuation of a firm's investment opportunities: A reduced form credit risk perspective

被引：0
|
作者：
Jarrow R. [1 ,2 ]
Purnanandam A. [3 ]
机构：
[1] Johnson Graduate School of Management, Cornell University, Ithaca
[2] Kamakura Corporation, Honolulu, HI 96815
[3] University of Michigan, Business School, Ann Arbor
来源：
Review of Derivatives Research | 2007年 / 10卷 / 1期
关键词：
Credit risk; Present value; Reduced form models;
D O I：
10.1007/s11147-007-9012-8
中图分类号：
学科分类号：
摘要：
This paper develops a valuation model for a firm's investment opportunities. Given standard market imperfections, we show that maximizing the firm's equity value is consistent with the need to include a capital charge for an investment specific to a firm's capital structure and in excess of the investment's market determined risk. A reduced form credit risk perspective is taken to enable a continuous time implementation. This continuous time implementation is illustrated within the paper. © 2007 Springer Science+Business Media, LLC.
引用
收藏
页码：39 / 58
页数：19
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