Pricing corporate debt
The thesis builds a model for pricing the liabilities of a firm. The liabilities - stocks, loans, bonds - fundamentally all depend on the value of the firm's assets. By looking at balance sheet data, such as the nominal amount of debt outstanding, and market prices, such as time series of stock...
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| Format: | Doctoral Thesis |
| Language: | English |
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Handelshögskolan i Stockholm, Finansiell Ekonomi (FI)
1998
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-663 http://nbn-resolving.de/urn:isbn:91-7258-474-2 |
| Summary: | The thesis builds a model for pricing the liabilities of a firm. The liabilities - stocks, loans, bonds - fundamentally all depend on the value of the firm's assets. By looking at balance sheet data, such as the nominal amount of debt outstanding, and market prices, such as time series of stock prices, the value and volatility of the assets can be estimated. Finally, e.g. bank loans to the same firm can be priced in terms of these values. Thus, the purpose of the whole exercise is to use the information content in stock prices to infer the value of loans. === Diss. Stockholm : Handelshögsk. |
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