图书简介
Black and Scholes (1973) and Merton (1974) (hereafter referred to as BSM) introduced the contingent claim approach (CCA) to the valuation of corporate debt and equity. The BSM modeling framework is also named the "structural" approach to risky debt valuation.
The CCA approach considers all stakeholders of the corporation as holding contingent claims on the assets of the corporation. Each claim holder has different priorities, maturities and conditions for payouts. It is based on the principle that all the assets belong to all the liability holders.
In the structural approach the arrival of the default event relies on economic arguments for why firms default as it is explicitly related to the dynamics of the economic value of the firm. A standard structural model of default timing assumes that a corporation defaults when its assets drop to a sufficiently low level relative to its liabilities.
The BSM modeling framework gives the basic fundamental version of the structural model where default is assumed to occur when the net asset value of the firm at the maturity of the pure-discount debt becomes negative, i.e., market value of the assets of the firm falls below the market value of the firm’s liabilities. In a regime of limited liability, the shareholders of the firm have the option to default on the firm’s debt. Equity can be viewed as a European call option on the firm’s assets with a strike price equal to the face value of the firm’s debt. Actually, CCA can be used to value all the components of the firm’s liabilities. Option pricing models are used to value stocks, bonds, and many other types of corporate claims.
Different versions of the model correspond to different assumptions about the conditions when a firm defaults. Merton (1974) assumes that the firm only defaults at the maturity date of the firm’s outstanding debt when the net asset value of the firm, in market value terms, is negative. Others introduce other conditions for default. Also, different authors introduce more complicated capital structure with different kinds of bonds (e.g. senior and junior), warrants, corporate taxes, ESOP, and more.
Volume 1: Foundations of CCA and Equity Valuation
Volume 1 presents the seminal papers of Black and Scholes (1973) and Merton (1973, 1974). This volume also includes papers that specifically price equity as a call option on the corporation. It introduces warrants, convertible bonds and taxation as contingent claims on the corporation. It highlights the strong relationship between the CCA and the Modigliani-Miller (M&M) Theorems, and the relation to the Capital Assets Pricing Model (CAPM).
Volume 2: CCA Approach to Corporate Debt Valuation
Volume 2 concentrates on corporate bond valuation by introducing various types of bonds with different covenants as well as introducing various conditions that trigger default. While empirical evidence indicates that the simple Merton’s model underestimates the credit spreads, additional risk factors like jumps can be used to resolve it.
Volume 3: Issues in Corporate Finance with CCA Approach
Volume 3 includes papers that look at issues in corporate finance that can be explained with the CCA approach. These issues include the effect of dividend policy on the valuation of debt and equity, the pricing of employee stock options and many other issues of corporate governance.
Volume 4: CCA Approach to Banking and Financial Intermediation
Volume 4 focuses on the application of the contingent claim approach to banks and other financial intermediaries. Regulation of the banking industry led to the creation of new financial securities (e.g., CoCos) and new types of stakeholders (e.g., deposit insurers).
Volume 1: Foundations of CCA and Equity Valuation: Foundations of CCA: The Pricing of Options and Corporate Liabilities (Fischer Black and Myron Scholes); Theory of Rational Option Pricing (Robert C Merton); On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (Robert C Merton); Valuing Corporate Securities: Some Effects of Bond Indenture Provisions (Fischer Black and John C Cox); The Role of Contingent Claims Analysis in Corporate Finance (Scott P Mason and Robert C Merton); Credit Risk Revisited (Michel Crouhy, Dan Galai & Robert Mark); The Relation between the Risk-Neutral and Physical Probabilities of Default (Michel Crouhy and Dan Galai); Pricing of Equity and Warrants: The Option Pricing Model and the Risk Factor of Stock (Dan Galai and Ronald W Masulis); Pricing of Warrants and the Value of the Firm (Dan Galai and Meir I Schneller); Warrant Valuation and Exercise Strategy (David C Emanuel); Warrant Exercise and Bond Conversion in Competitive Markets (George M Constantinides); Warrant Exercise, Dividends and Reinvestment Policy (Chester S Spatt and Frederic P Sterbenz); The Interaction between the Financial and Investment Decisions of the Firm: The Case of Issuing Warrants in a Levered Firm (Michel Crouhy and Dan Galai); New Warrant Issues Valuation with Leverage and Equity Model Errors (Jean-Guy Simonato); Convertible Securities: A Contingent-Claims Valuation of Convertible Securities (Jonathan E Ingersoll, Jr); Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion (M J Brennan and E S Schwartz); Convertible Debt and Shareholder Incentives (Christian Dorion, Pascal François, Gunnar Grass and Alexandre Jeanneret); Volume 2: Corporate Debt Valuation with CCA: Framework: The Valuation of Corporate Liabilities as Compound Options (Robert Geske); Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (Hayne E Leland); Optimal Capital Structure, Endogenous Bankruptcy and the Term Structure of Credit Spreads (Hayne E Leland and Klaus Bjerre Toft); Strategic Debt Service (Pierre Mella-Barral and William Perraudin); Modigliani–Miller and CCA: On the Pricing of Contingent Claims and the Modigliani–Miller Theorem (Robert C Merton); Taxes, M-M Propositions and Government’s Implicit Cost of Capital in Investment Projects in the Private Sector (Dan Galai); Taxation and Accounting: Corporate Income Taxes, Valuation, and the Problem of Optimal Capital Structure (M J Brennan and E S Schwartz); Corporate Income Taxes and the Valuation of the Claims on the Corporation (Dan Galai); Option Pricing-Based Bond Value Estimates and a Fundamental Components Approach to Account for Corporate Debt (Mary E Barth, Wayne R Landsman and Richard J Rendleman, Jr); Stochastic Interest Rates: The Pricing of Risky Debt When Interest Rates are Stochastic (David C Shimko, Naohiko Tejima and Donald R van Deventer); A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (Francis A Longstaff and Eduardo S Schwartz); Valuing Risky Fixed Rate Debt: An Extension (Eric Briys and François de Varenne); Term Structures of Credit Spreads with Incomplete Accounting Information (Darrell Duffie and David Lando); Liquidation Triggers: Valuing Corporate Liabilities When the Default Threshold is not an Absorbing Barrier (Franck Moraux); Capital Structure and Asset Prices: Some Effects of Bankruptcy Procedures (Pascal François and Erwan Morellec); Liquidation Triggers and the Valuation of Equity and Debt (Dan Galai, Alon Raviv and Zvi Wiener); Moody’s KMV Model: Credit Valuation (Oldrich Alfons Vasicek); The Merton/KMV Approach to Pricing Credit Risk (Rangarajan K Sundaram); Quantifying Credit Risk I: Default Prediction (Stephen Kealhofer); Modeling Default Risk (Peter Crosbie and Jeffrey Bohn); Volume 3: Empirical Testing and Applications of CCA: Empirical Studies: Contingent Claims Analysis of Corporate Capital Structures: An Empirical Investigation (E Philip Jones, Scott P Mason and Eric Rosenfeld); Determinants of the Ratings and Yields on Corporate Bonds: Tests of the Contingent Claims Model (Joseph P Ogden); An Empirical Investigation of US Firms in Reorganization (Julian R Franks and Walter N Torous); Some Empirical Estimates of the Risk Structure of Interest Rates (Oded Sarig and Arthur Warga); Costly Financing, Optimal Payout Policies and the Valuation of Corporate Debt (Viral Acharya, Jing-Zhi Huang, Marti Subrahmanyam and Rangarajan Sundaram); Testing Merton’s Model for Credit Spreads on Zero-Coupon Bonds (Gordon Gemmill); Estimating Structural Bond Pricing Models (Jan Ericsson and Joel Reneby); Estimating Structural Models of Corporate Bond Prices (Max Bruche); Strategic Actions and Credit Spreads: An Empirical Investigation (Sergei A Davydenko and Ilya A Strebulaev); Credit Calibration with Structural Models and Equity Return Swap Valuation under Counterparty Risk (Damiano Brigo, Massimo Morini and Marco Tarenghi); Can Structural Models Price Default Risk? Evidence from Bond and Credit Derivative Markets (Jan Ericsson, Joel Reneby and Hao Wang); Applying the Concept: The Default Risk of Swaps (Ian A Cooper and Antonio S Mello); Economic Evaluation of Remuneration from Patents and Technology Transfers (Dan Galai and Yael Ilan); Credit Risk Derivatives (Sanjiv Ranjan Das); Analytic Pricing of Employee Stock Options (Jakša Cvitanić, Zvi Wiener and Fernando Zapatero); Stakeholders and the Composition of the Voting Rights of the Board of Directors (Dan Galai and Zvi Wiener); The Value of the Freezeout Option (Zohar Goshen and Zvi Wiener); Dividends as Contingent Claims: Dividend-Paying Stock (Kenneth D Garbade); Dividend Policy Relevance in a Levered Firm — The Binomial Case (Dan Galai and Zvi Wiener); Volume 4: Contingent Claims Approach for Banks and Sovereign Debt: Banking Models: An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantees: An Application of Modern Option Pricing Theory (Robert C Merton); Pricing Risk-Adjusted Deposit Insurance: An Option-Based Model (Ehud I Ronn and Avinash K Verma); A Contingent Claim Analysis of a Regulated Depository Institution (Michel Crouhy and Dan Galai); Credit Risk and the Deposit Insurance Premium: A Note (Jean Dermine and Fatma Lajeri); Contingent Convertibles (CoCos): A Structural Model of Contingent Bank Capital (George Pennacchi); Contingent Capital with a Capital-Ratio Trigger (Paul Glasserman and Behzad Nouri); Pricing Contingent Convertibles: A Derivatives Approach (Jan De Spiegeleer and Wim Schoutens); On the Design of Contingent Capital with a Market Trigger (Suresh Sundaresan and Zhenyu Wang); International Perspectives and Sovereign Debt: Measuring and Analyzing Sovereign Risk with Contingent Claims (Michael T Gapen, Dale F Gray, Cheng Hoon Lim and Yingbin Xiao); Contingent Claims Approach to Measuring and Managing Sovereign Credit Risk (Dale F Gray, Robert C Merton and Zvi Bodie); A Contingent Claims Analysis of the Subprime Credit Crisis of 2007–2008 (Dale F Gray, Robert C Merton and Zvi Bodie); Measuring and Managing Macrofinancial Risk and Financial Stability: A New Framework (Dale F Gray, Robert C Merton and Zvi Bodie); Credit Risk Spreads in Local and Foreign Currencies (Dan Galai and Zvi Wiener); Finance Meets Macroeconomics: A Structural Model of Sovereign Credit Risk (Emilian Belev and Dan diBartolomeo);
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