EVALUATION OF CREDIT RETURN INTEREST FOR VENTURE PROJECTS IN THE FRAMEWORK OF REPLICATING PORTFOLIO APPROACH
Table of contents
Share
Metrics
EVALUATION OF CREDIT RETURN INTEREST FOR VENTURE PROJECTS IN THE FRAMEWORK OF REPLICATING PORTFOLIO APPROACH
Annotation
PII
S042473880000616-6-1
Publication type
Article
Status
Published
Authors
Sergey Vavilov 
Kirill Svetlov
Pages
76-84
Abstract

Evaluation of credit return interest for venture projects is considered in the present paper. The problem to study is tackled from the lender position in the framework of replicating portfolio approach. The derived value of interest rate strongly depends on a number of factors, such as duration of borrowing, degree of riskiness and the amount of equity invested in the project. The novelty of the proposed approach is stipulated by application of stochastic methods to the problem inquest. Suggested methodology implies diversifi cation phenomenon when the existence of a number of fi - nancial projects in contrast to the singular one leads to the diminishing of the overall credit margin. Arbitrage free property is proved with respect to the derived interest rate.

Keywords
credit risk, replicating portfolio, venture project
Date of publication
01.10.2015
Number of purchasers
0
Views
108
Readers community rating
0.0 (0 votes)
Cite Download pdf

To download PDF you should sign in

1

References



Additional sources and materials

B'ork T. (2010). Teoriya arbitrazha v nepreryvnom vremeni. M.: MTsNMO.

Zenkevich N.A., Kolabutin N.V., Yang D.V.K. (2009). Stokhasticheskaya model' ustojchivogo sovmestnogo predpriyatiya. [Ehlektronnyj resurs] // Upravlenie bol'shimi sistemami. № 26(1). S. 235–269. Rezhim dostupa: http://mi.mathnet.ru/ubs347, svobodnyj. Zagl. s ehkrana. Yaz. rus. (data obrascheniya: maj 2015 g.).

Tikhonov A.N., Samarskij A.A. (1999). Uravneniya matematicheskoj fiziki. M.: Izd-vo MGU.

Amit R., Glosten L., Muller E. (1990). Entrepreneurial Ability, Venture Investments, and Risk Sharing // Management Science. Vol. 36. No. 10. R. 1233–1246.

Berglof E. (1994). A Control Theory of Venture Capital Finance // Journal of Law, Economics & Organization. Vol. 10. No. 2. R. 247–267.

Berk J.B., Green R.C., Naik V. (2004). Valuation and Return Dynamics of New Ventures // Review of Financial Studies. Vol. 17. No. 1. R. 1–35.

Black F., Scholes M. (1973). The Pricing of Options and Corporate Liabilities // Journal of Political Economy. Vol. 81. No. 3. R. 637–654.

Hall B.H., Lerner J. (2010). The Financing of R&D and Innovation // Handbook of the Economics of Innovation. Vol. 1. P. 609–639.

Hellman T., Puri M. (2000). The Interaction between Product Market and Financing Strategy: The Role Venture Capital // Review of Financial studies. Vol. 13. No. 4. P. 959–984.

Kaplan S.N., Strömberg P. (2003). Financial Contracting Theory Meets the Real World: An Empirical Analysis of Venture Capital Contracts // The Review of Economic Studies. Vol. 70. No. 2. R. 281–315.

Kirilenko A. (2001). Valuation and Control in Venture Finance // The Journal of Finance. Vol. 56. No. 2. R. 565–587.

Merton R.C. (1974). On the Pricing of Corporate Debt: The Risk Structure of Interest Rates // The Journal of Finance. Vol. 29. No. 2. R. 449–470.

Ozmel U., Robinson D.T., Stuart T.E. (2012). Strategic Alliances, Venture Capital, and Exit Decisions in Early Stage High-tech Firms // Journal of Financial Economics. Vol. 107. No. 3. R. 655–670.

Tyebjee T., Bruno A. (1984). A Model of Venture Capitalist Investment Activity // Management Science. Vol. 30. No. 9. R. 1051–1066.

Ueda M. (2004). Banks Versus Venture Capital: Project Evaluation, Screening, and Expropriation // The Journal of Finance. Vol. 59. No. 2. R. 601–621.