Dynamic Models And Structural Estimation In Corporate Finance
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| Author | : Ilya A. Strebulaev |
| Publisher | : Now Pub |
| Total Pages | : 174 |
| Release | : 2012-10-02 |
| Genre | : Business & Economics |
| ISBN | : 9781601985804 |
The goals of this monograph are to explain the models and techniques and make it more accessible, introduce the main strands of this literature, and explain how dynamic models can be taken to the data and estimated, providing a guide to 3 methodologies: generalized method of moments, simulated method of moments, and maximum simulated likelihood.
| Author | : Ilya A. Strebulaev |
| Publisher | : |
| Total Pages | : 21 |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
Welch (2013) critiques recent work in dynamic corporate finance. We offer the contrasting view that there is no logical reason to dismiss entire research methodologies, and that many methods can be useful. We explain why dynamic models and structural estimation are useful research tools, as well as why the criticisms of this research paradigm in Welch (2013) are incorrect.
| Author | : Santiago Moreno-Bromberg |
| Publisher | : Princeton University Press |
| Total Pages | : 223 |
| Release | : 2018-01-08 |
| Genre | : Business & Economics |
| ISBN | : 0691176523 |
Continuous-Time Models in Corporate Finance synthesizes four decades of research to show how stochastic calculus can be used in corporate finance. Combining mathematical rigor with economic intuition, Santiago Moreno-Bromberg and Jean-Charles Rochet analyze corporate decisions such as dividend distribution, the issuance of securities, and capital structure and default. They pay particular attention to financial intermediaries, including banks and insurance companies. The authors begin by recalling the ways that option-pricing techniques can be employed for the pricing of corporate debt and equity. They then present the dynamic model of the trade-off between taxes and bankruptcy costs and derive implications for optimal capital structure. The core chapter introduces the workhorse liquidity-management model—where liquidity and risk management decisions are made in order to minimize the costs of external finance. This model is used to study corporate finance decisions and specific features of banks and insurance companies. The book concludes by presenting the dynamic agency model, where financial frictions stem from the lack of interest alignment between a firm's manager and its financiers. The appendix contains an overview of the main mathematical tools used throughout the book. Requiring some familiarity with stochastic calculus methods, Continuous-Time Models in Corporate Finance will be useful for students, researchers, and professionals who want to develop dynamic models of firms' financial decisions.
| Author | : Umberto Sagliaschi |
| Publisher | : Springer Nature |
| Total Pages | : 206 |
| Release | : 2021-07-29 |
| Genre | : Business & Economics |
| ISBN | : 3030778533 |
The way in which leverage and its expected dynamics impact on firm valuation is very different from what is assumed by the traditional static capital structure framework. Recent work that allows the firm to restructure its debt over time proves to be able to explain much of the observed cross-sectional and time-series variation in leverage, while static capital structure predictions do not. The purpose of this book is to re-characterize the firm’s valuation process within a dynamical capital structure environment, by drawing on a vast body of recent and more traditional theoretical insights and empirical findings on firm evaluation, also including asset pricing literature, offering a new setting in which practitioners and researchers are provided with new tools to anticipate changes in capital structure and setting prices for firm’s debt and equity accordingly.
| Author | : Hayne Leland |
| Publisher | : |
| Total Pages | : |
| Release | : 2011-12-02 |
| Genre | : |
| ISBN | : 9780691134338 |
| Author | : Christiaan Heij |
| Publisher | : Wiley |
| Total Pages | : 408 |
| Release | : 1997-12-05 |
| Genre | : Business & Economics |
| ISBN | : |
System Dynamics in Economic and Financial Models Edited by Christiaan Heij, Hans Schumacher, Bernard Hanzon and Kees Praagman System Dynamics in Economic and Financial Models discusses different approaches for dynamic modelling of economic and financial data, and includes empirical applications, particularly in finance and macroeconomics, to illustrate the methods discussed. Written by leading experts from a wide range of backgrounds, varying from econometries and finance to systems and control, each chapter is followed by a comments section that presents alternative and sometimes contrasting points of view. The authors look at the interface between economics and finance, and examine topics including non-linear dynamics chaos structural change trends and cointegration general methodologies in empirical modelling
| Author | : David J. Denis |
| Publisher | : Edward Elgar Publishing |
| Total Pages | : 709 |
| Release | : 2024-02-12 |
| Genre | : Business & Economics |
| ISBN | : 1800373899 |
Expertly surveying the realm of corporate finance, this adroitly-crafted Handbook offers a wealth of conceptual analysis and comprehensively outlines recent scholarly research and developments within the field. It not only delves into the theoretical dimensions of corporate finance, but also explores its practical implications, thereby bridging the gap between these distinct strands.
| Author | : Edward Bodmer |
| Publisher | : John Wiley & Sons |
| Total Pages | : 624 |
| Release | : 2014-10-10 |
| Genre | : Business & Economics |
| ISBN | : 1118854454 |
A clear and comprehensive guide to financial modeling and valuation with extensive case studies and practice exercises Corporate and Project Finance Modeling takes a clear, coherent approach to a complex and technical topic. Written by a globally-recognized financial and economic consultant, this book provides a thorough explanation of financial modeling and analysis while describing the practical application of newly-developed techniques. Theoretical discussion, case studies and step-by-step guides allow readers to master many difficult modeling problems and also explain how to build highly structured models from the ground up. The companion website includes downloadable examples, templates, and hundreds of exercises that allow readers to immediately apply the complex ideas discussed. Financial valuation is an in-depth process, involving both objective and subjective parameters. Precise modeling is critical, and thorough, accurate analysis is what bridges the gap from model to value. This book allows readers to gain a true mastery of the principles underlying financial modeling and valuation by helping them to: Develop flexible and accurate valuation analysis incorporating cash flow waterfalls, depreciation and retirements, updates for new historic periods, and dynamic presentation of scenario and sensitivity analysis; Build customized spreadsheet functions that solve circular logic arising in project and corporate valuation without cumbersome copy and paste macros; Derive accurate measures of normalized cash flow and implied valuation multiples that account for asset life, changing growth, taxes, varying returns and cost of capital; Incorporate stochastic analysis with alternative time series equations and Monte Carlo simulation without add-ins; Understand valuation effects of debt sizing, sculpting, project funding, re-financing, holding periods and credit enhancements. Corporate and Project Finance Modeling provides comprehensive guidance and extensive explanation, making it essential reading for anyone in the field.
| Author | : Santiago Bazdresch |
| Publisher | : |
| Total Pages | : 55 |
| Release | : 2017 |
| Genre | : |
| ISBN | : |
We assess the finite sample performance of simulation estimators that are used to estimate the parameters of dynamic corporate finance models. We formulate an out-of-sample specification test and propose a new set of statistical benchmarks that can be used to estimate and evaluate these models. These benchmarks are based on model policy functions. Our Monte Carlo simulations show that the estimators are largely unbiased with low root mean squared errors. When computed with an optimal weight matrix, the specification tests associated with the estimators are close to correctly sized. These tests have excellent power to detect misspecification.
| Author | : Gian Italo Bischi |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 449 |
| Release | : 2012-08-07 |
| Genre | : Business & Economics |
| ISBN | : 3642295037 |
The essays in this special volume survey some of the most recent advances in the global analysis of dynamic models for economics, finance and the social sciences. They deal in particular with a range of topics from mathematical methods as well as numerous applications including recent developments on asset pricing, heterogeneous beliefs, global bifurcations in complementarity games, international subsidy games and issues in economic geography. A number of stochastic dynamic models are also analysed. The book is a collection of essays in honour of the 60th birthday of Laura Gardini.
