Quantificação e precificação de risco de crédito através do modelo de opções

Luiz Carlos Jacob Perera

RAE - Revista de Administração de Empresas, 1997, vol. 37, issue 3

Abstract: This work is divided in two parts. In the first part, are developed the fundamental concepts to understand the Black-Scholes Model and its use is showed through an example. In the second part, it ls initial/y discussed the concept of firm risk. In sequence, is proved how the company can favorably change the risk-return equilibrium: accepting more risk, increasing its debt or paying additional dividends to the stockholders. Final/y, it is showed how the debtholders can protect themselves from this decisions, adequately changing the interest rates to compensa te the increase in risk, maintaining the initial condition of the risk-return equilibrium.

Date: 1997
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