On the pricing of risky debt in incomplete and inefficient markets:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Göttingen
Cuvillier
2005
|
| Edition: | 1. Aufl. |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Zugl.: Münster, Univ., Diss., 2005 |
| Physical Description: | XIII, 327 S. graph. Darst. |
| ISBN: | 3865376797 |
Staff View
MARC
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| 245 | 1 | 0 | |a On the pricing of risky debt in incomplete and inefficient markets |c Elena Garrido Cobos |
| 250 | |a 1. Aufl. | ||
| 264 | 1 | |a Göttingen |b Cuvillier |c 2005 | |
| 300 | |a XIII, 327 S. |b graph. Darst. | ||
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Record in the Search Index
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| adam_text | Contents
Preface V
1 Introduction 1
2 The Credit Business 7
2.1 Introduction 7
2.2 Financial Markets: Incomplete, Imperfect, and Inefficient .... 8
2.3 Financial Intermediation 14
2.3.1 Introduction 14
2.3.2 Traditional Theories of Financial Intermediation 15
2.3.3 New Theories of Financial Intermediation 17
2.4 Recent Theoretical and Practical Trends in Credit Business .... 19
2.5 Summary and Relevant Insights 22
3 Valuation Theory in Complete, Perfect and Efficient Markets 25
3.1 Introduction 25
3.2 Historical Origins 25
3.3 Some Fundamentals 27
3.3.1 Arbitrage 27
VIII Contents
3.3.2 Option Pricing Theory . . 28
3.3.2.1 Assumptions . . 28
3.3.2.1.1 Models with a Continuous Time State
Space 29
3.3.2.1.2 Models with a Discrete Time State Space 31
3.3.2.2 The Black Scmoles Model 32
3.3.2.3 The Cox Ross RUBINstein Binomial Model . . 34
3.3.2.4 Further Development jn Option Pricing Theory . 35
3.3.2.5 Discussion ... 37
3.4 Option Based Valuation of Risky Debt 39
3.4.1 Firm Value Models ... 40
3.4.1.1 The Model of KiErton (1974) 40
3.4.1.2 Other Firm Via,,,, Models 43
3.4.1.3 Discussion . . .48
3.4.2 Intensity based Models 55
3.4.2.1 Models Assurn5ng Independence of Default and Risk
less Interest I ^^ 57
3.4.2.2 Relaxing the ^ssnmption of Independence between
Default and t^iskless Interest Rates 61
3.4.2.3 Discussion . 64
3.5 Other Models 68
3.6 Summary and Relevant Insits 69
Contents IX
4 Valuation Theory in Incomplete and Inefficient Markets 75
4.1 Introduction 75
4.2 Pricing Contingent Claims in Incomplete Markets 79
4.2.1 Preference Free Valuation 81
4.2.1.1 Minimizing Quadratic Risk 81
4.2.1.2 Minimizing Downside Risk 83
4.2.1.3 Maximizing the Probability of a Perfect Hedge . 85
4.2.1.4 Discussion 86
4.2.2 Good Deal , Coherent and Acceptable Valuation Bounds 88
4.2.2.1 Discussion 89
4.2.3 Preference Dependent Valuation 90
4.2.3.1 Dual Optimization Models for Incomplete Markets 91
4.2.3.2 Non Replicable Contingent Claims . 94
4.2.3.3 Discussion 100
4.3 Pricing Contingent Claims in Inefficient Markets 102
4.3.1 General Asset Pricing Models 102
4.3.2 Contingent Claims Pricing Models 105
4.3.3 Discussion 107
4.4 Pricing Contingent Claims in Incomplete and Inefficient Markets • 108
4.4.1 General Asset Pricing Models 109
4.4.2 Contingent Claims Pricing Models 110
4.4.3 Discussion Ill
4.5 Summary and Relevant Insights 113
C Contents
A Basic Model of Debt Valuation with Non traded Firm s Assets
and Heterogeneous Expectations 123
5.1 Introduction 123
5.2 Basic Structure of the Model 125
5.2.1 Main Assumptions 125
5.2.2 Justification and Discussion of the Basic Assumptions . . . 128
5.2.2.1 About the Dynamics of the Firm s Assets Value and
Financial Markets: Assumptions 1 to 3 128
5.2.2.2 About the Debt Contract: Assumptions 4 and 5 . 132
5.2.2.3 About the Costs of a Default: Assumption 6 ... 133
5.2.2.4 About the Market Participants: Assumptions 7 and
8 134
5.2.2.5 About Riskless Interest Rates: Assumption 9 . . 138
5.3 Objective and Pricing Functions of an Individual Investor 138
5.3.1 Introduction 138
5.3.2 Derivation of the Pricing Formula 140
5.4 A Comparative Static Analysis 144
5.4.1 Introduction 144
5.4.2 Credit Origination: The Point of View of the Lender ... 148
5.4.2.1 Sensitivity of the Subjective Price to the Nominal
Interest Rate 148
5.4.2.2 Sensitivity of the Subjective Price to the Principal
Amount Agreed for the Credit Contract 157
5.4.3 Secondary Transactions: The Point of View of a Risk Trader 169
5.4.3.1 A Comparative Analysis of Risk Aversion .... 169
Contents XI
5.4.3.2 A Comparative Analysis of Heterogeneous Beliefs 173
5.4.3.2.1 Heterogeneous Beliefs about the Recovery
Value of the Borrowing Firm s Assets in the
Event of Default 174
5.4.3.2.2 Heterogeneous Beliefs About the Constant
Mean Return per Unit of Time on the
Firm s Asset s Value 176
5.4.3.2.3 Heterogeneous Beliefs About the Constant
Volatility per Unit of Time of the Firm s
Asset s Value 179
5.5 A Dynamic Sensitivity Analysis 181
5.5.1 Introduction 181
5.5.2 Secondary Transactions: The Point of View of a Risk Trader 182
5.5.2.1 Sensitivity of Investor s j Beliefs about the Possible
Values of the Firm s Assets at Maturity to the Pas¬
sage of Time 183
5.5.2.2 Sensitivity of Investor j s Subjective Probability of
Default to the Passage of Time 187
5.5.2.3 Sensitivity of Investor j s Subjective Price to the
Passage of Time 198
5.5.3 Credit Origination: The Point of View of the Lender . . . 207
5.6 Expected Loss and Unexpected Loss 208
5.7 Summary and Relevant Insights 210
6 Conclusions 221
OI Contents
Appendices 227
A.I Mathematical Derivations 227
A.1.1 Simplification of /£rT g{(A^)dA{. 227
A.1.2 Substitution of /f^ ^W^t) Mr 229
A.1.3 Substitution of A%. = At e^ ^){T t) + o , in the Expected
Utility Formula 231
A. 1.4 Proof that the Limit Value of Investor j s Subjective Price
as the Nominal Interest Rate Tends to Zero is Lower than the
Principal Amount F for the Utility Function U(x) = 1 e~° x 232
A.2 Differential Calculus 233
A.2.1 Derivation of the Sensitivity of Investor j s Subjective Price
to a Change in the Nominal Interest Rate r 233
A.2.1.1 The Function s Slope in the General Case U(x) . 233
A.2.1.2 The Function s Curvature in the General Case U(x) 239
A.2.1.3 An Example: The Particular Case U(x) = 1 e~ox
with a 0 240
A.2.2 Derivation of the Sensitivity of Investor j s Subjective Price
to a Change in the Face Value or Principal F 243
A.2.2.1 The Function s Slope in the General Case U(x) . 243
A.2.2.2 The Function s Curvature in the General Case U(x) 247
A.2.2.3 An Example: The Particular Case U(x) = 1 e QI
with a 0 248
A.2.3 Derivation of the Sensitivity of Investor j s Subjective Price
to a Change in his Subjective Mean Return for the Value of
the Firm s Assets ^ 250
A.2.3.1 The Function s Slope in the General Case U(x) . 250
A.2.3.2 The Function s Curvature in the General Case U(x) 251
Contents XIII
A.2.3.3 An Example: The Particular Case U(x) = 1 e~ax
with a 0 254
A.2.4 Derivation of the Sensitivity of Investor j s Subjective Price to
a Change in his Subjective Standard Deviation for the Firm s
Assets Mean Return crj 257
A.2.4.1 The Function s Slope and Curvature in the General
Case U(x) 257
A.2.4.2 An Example: The Particular Case U(x) = 1 e~ax
with a 0 264
A.2.5 Derivation of the Sensitivity of Investor j s Subjective Price
to a Change in the Value of the Firm s Assets At 268
A.2.5.1 The Function s Slope in the General Case U(x) . 268
A.2.5.2 The Function s Curvature in the General Case U(x) 269
A.2.5.3 An Example: The Particular Case U(x) = e~ax
with a 0 270
A.2.6 Derivation of the Sensitivity of Investor j s Expected Utility
to the Variable t 272
A.2.7 Derivation of the Sensitivity of Investor j s Expected Utility
to the Variable T 275
List of Tables 277
Index 280
Glossary of Notation 281
Glossary of Abbreviations 295
Bibliography 296
|
| adam_txt |
Contents
Preface V
1 Introduction 1
2 The Credit Business 7
2.1 Introduction 7
2.2 Financial Markets: Incomplete, Imperfect, and Inefficient . 8
2.3 Financial Intermediation 14
2.3.1 Introduction 14
2.3.2 Traditional Theories of Financial Intermediation 15
2.3.3 New Theories of Financial Intermediation 17
2.4 Recent Theoretical and Practical Trends in Credit Business . 19
2.5 Summary and Relevant Insights 22
3 Valuation Theory in Complete, Perfect and Efficient Markets 25
3.1 Introduction 25
3.2 Historical Origins 25
3.3 Some Fundamentals 27
3.3.1 Arbitrage 27
VIII Contents
3.3.2 Option Pricing Theory . . 28
3.3.2.1 Assumptions . . 28
3.3.2.1.1 Models with a Continuous Time State
Space 29
3.3.2.1.2 Models with a Discrete Time State Space 31
3.3.2.2 The Black Scmoles Model 32
3.3.2.3 The Cox Ross RUBINstein Binomial Model . . 34
3.3.2.4 Further Development jn Option Pricing Theory . 35
3.3.2.5 Discussion . 37
3.4 Option Based Valuation of Risky Debt 39
3.4.1 Firm Value Models . 40
3.4.1.1 The Model of KiErton (1974) 40
3.4.1.2 Other Firm Via,,,, Models 43
3.4.1.3 Discussion . . .48
3.4.2 Intensity based Models 55
3.4.2.1 Models Assurn5ng Independence of Default and Risk
less Interest I\ ^^ 57
3.4.2.2 Relaxing the ^ssnmption of Independence between
Default and t^iskless Interest Rates 61
3.4.2.3 Discussion . 64
3.5 Other Models 68
3.6 Summary and Relevant Insits 69
Contents IX
4 Valuation Theory in Incomplete and Inefficient Markets 75
4.1 Introduction 75
4.2 Pricing Contingent Claims in Incomplete Markets 79
4.2.1 Preference Free Valuation 81
4.2.1.1 Minimizing Quadratic Risk 81
4.2.1.2 Minimizing Downside Risk 83
4.2.1.3 Maximizing the Probability of a Perfect Hedge . 85
4.2.1.4 Discussion 86
4.2.2 "Good Deal", "Coherent" and "Acceptable" Valuation Bounds 88
4.2.2.1 Discussion 89
4.2.3 Preference Dependent Valuation 90
4.2.3.1 Dual Optimization Models for Incomplete Markets 91
4.2.3.2 Non Replicable Contingent Claims . 94
4.2.3.3 Discussion 100
4.3 Pricing Contingent Claims in Inefficient Markets 102
4.3.1 General Asset Pricing Models 102
4.3.2 Contingent Claims Pricing Models 105
4.3.3 Discussion 107
4.4 Pricing Contingent Claims in Incomplete and Inefficient Markets • 108
4.4.1 General Asset Pricing Models 109
4.4.2 Contingent Claims Pricing Models 110
4.4.3 Discussion Ill
4.5 Summary and Relevant Insights 113
C Contents
A Basic Model of Debt Valuation with Non traded Firm's Assets
and Heterogeneous Expectations 123
5.1 Introduction 123
5.2 Basic Structure of the Model 125
5.2.1 Main Assumptions 125
5.2.2 Justification and Discussion of the Basic Assumptions . . . 128
5.2.2.1 About the Dynamics of the Firm's Assets' Value and
Financial Markets: Assumptions 1 to 3 128
5.2.2.2 About the Debt Contract: Assumptions 4 and 5 . 132
5.2.2.3 About the Costs of a Default: Assumption 6 . 133
5.2.2.4 About the Market Participants: Assumptions 7 and
8 134
5.2.2.5 About Riskless Interest Rates: Assumption 9 . . 138
5.3 Objective and Pricing Functions of an Individual Investor 138
5.3.1 Introduction 138
5.3.2 Derivation of the Pricing Formula 140
5.4 A Comparative Static Analysis 144
5.4.1 Introduction 144
5.4.2 Credit Origination: The Point of View of the Lender . 148
5.4.2.1 Sensitivity of the Subjective Price to the Nominal
Interest Rate 148
5.4.2.2 Sensitivity of the Subjective Price to the Principal
Amount Agreed for the Credit Contract 157
5.4.3 Secondary Transactions: The Point of View of a Risk Trader 169
5.4.3.1 A Comparative Analysis of Risk Aversion . 169
Contents XI
5.4.3.2 A Comparative Analysis of Heterogeneous Beliefs 173
5.4.3.2.1 Heterogeneous Beliefs about the Recovery
Value of the Borrowing Firm's Assets in the
Event of Default 174
5.4.3.2.2 Heterogeneous Beliefs About the Constant
Mean Return per Unit of Time on the
Firm's Asset's Value 176
5.4.3.2.3 Heterogeneous Beliefs About the Constant
Volatility per Unit of Time of the Firm's
Asset's Value 179
5.5 A Dynamic Sensitivity Analysis 181
5.5.1 Introduction 181
5.5.2 Secondary Transactions: The Point of View of a Risk Trader 182
5.5.2.1 Sensitivity of Investor's j Beliefs about the Possible
Values of the Firm's Assets at Maturity to the Pas¬
sage of Time 183
5.5.2.2 Sensitivity of Investor j's Subjective Probability of
Default to the Passage of Time 187
5.5.2.3 Sensitivity of Investor j's Subjective Price to the
Passage of Time 198
5.5.3 Credit Origination: The Point of View of the Lender . . . 207
5.6 Expected Loss and Unexpected Loss 208
5.7 Summary and Relevant Insights 210
6 Conclusions 221
OI Contents
Appendices 227
A.I Mathematical Derivations 227
A.1.1 Simplification of /£rT g{(A^)dA{. 227
A.1.2 Substitution of /f^ ^W^t) Mr 229
A.1.3 Substitution of A%. = At e^ ^){T t) + o , in the Expected
Utility Formula 231
A. 1.4 Proof that the Limit Value of Investor j's Subjective Price
as the Nominal Interest Rate Tends to Zero is Lower than the
Principal Amount F for the Utility Function U(x) = 1 e~° x 232
A.2 Differential Calculus 233
A.2.1 Derivation of the Sensitivity of Investor j's Subjective Price
to a Change in the Nominal Interest Rate r 233
A.2.1.1 The Function's Slope in the General Case U(x) . 233
A.2.1.2 The Function's Curvature in the General Case U(x) 239
A.2.1.3 An Example: The Particular Case U(x) = 1 e~ox
with a 0 240
A.2.2 Derivation of the Sensitivity of Investor j's Subjective Price
to a Change in the Face Value or Principal F 243
A.2.2.1 The Function's Slope in the General Case U(x) . 243
A.2.2.2 The Function's Curvature in the General Case U(x) 247
A.2.2.3 An Example: The Particular Case U(x) = 1 e"QI
with a 0 248
A.2.3 Derivation of the Sensitivity of Investor j's Subjective Price
to a Change in his Subjective Mean Return for the Value of
the Firm's Assets ^ 250
A.2.3.1 The Function's Slope in the General Case U(x) . 250
A.2.3.2 The Function's Curvature in the General Case U(x) 251
Contents XIII
A.2.3.3 An Example: The Particular Case U(x) = 1 e~ax
with a 0 254
A.2.4 Derivation of the Sensitivity of Investor j's Subjective Price to
a Change in his Subjective Standard Deviation for the Firm's
Assets' Mean Return crj 257
A.2.4.1 The Function's Slope and Curvature in the General
Case U(x) 257
A.2.4.2 An Example: The Particular Case U(x) = 1 e~ax
with a 0 264
A.2.5 Derivation of the Sensitivity of Investor j's Subjective Price
to a Change in the Value of the Firm's Assets At 268
A.2.5.1 The Function's Slope in the General Case U(x) . 268
A.2.5.2 The Function's Curvature in the General Case U(x) 269
A.2.5.3 An Example: The Particular Case U(x) = \ e~ax
with a 0 270
A.2.6 Derivation of the Sensitivity of Investor j's Expected Utility
to the Variable t 272
A.2.7 Derivation of the Sensitivity of Investor j's Expected Utility
to the Variable T 275
List of Tables 277
Index 280
Glossary of Notation 281
Glossary of Abbreviations 295
Bibliography 296 |
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| author | Garrido Cobos, Elena |
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| bvnumber | BV021492617 |
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| index_date | 2024-07-02T14:13:14Z |
| indexdate | 2024-07-09T20:37:02Z |
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| isbn | 3865376797 |
| language | English |
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| publisher | Cuvillier |
| record_format | marc |
| spelling | Garrido Cobos, Elena Verfasser (DE-588)131361236 aut On the pricing of risky debt in incomplete and inefficient markets Elena Garrido Cobos 1. Aufl. Göttingen Cuvillier 2005 XIII, 327 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Zugl.: Münster, Univ., Diss., 2005 Preisbildung (DE-588)4047103-2 gnd rswk-swf Kredit (DE-588)4032923-9 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Kredit (DE-588)4032923-9 s Preisbildung (DE-588)4047103-2 s Risikomanagement (DE-588)4121590-4 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014709423&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Garrido Cobos, Elena On the pricing of risky debt in incomplete and inefficient markets Preisbildung (DE-588)4047103-2 gnd Kredit (DE-588)4032923-9 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4047103-2 (DE-588)4032923-9 (DE-588)4121590-4 (DE-588)4113937-9 |
| title | On the pricing of risky debt in incomplete and inefficient markets |
| title_auth | On the pricing of risky debt in incomplete and inefficient markets |
| title_exact_search | On the pricing of risky debt in incomplete and inefficient markets |
| title_exact_search_txtP | On the pricing of risky debt in incomplete and inefficient markets |
| title_full | On the pricing of risky debt in incomplete and inefficient markets Elena Garrido Cobos |
| title_fullStr | On the pricing of risky debt in incomplete and inefficient markets Elena Garrido Cobos |
| title_full_unstemmed | On the pricing of risky debt in incomplete and inefficient markets Elena Garrido Cobos |
| title_short | On the pricing of risky debt in incomplete and inefficient markets |
| title_sort | on the pricing of risky debt in incomplete and inefficient markets |
| topic | Preisbildung (DE-588)4047103-2 gnd Kredit (DE-588)4032923-9 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Preisbildung Kredit Risikomanagement Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014709423&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT garridocoboselena onthepricingofriskydebtinincompleteandinefficientmarkets |