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Link do zasobu (portal):

Link do zasobu (skrót):

http://azon.e-science.pl/zasoby/21625

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https://id.e-science.pl/records/21625

Typ zasobu: praca dyplomowa

Computer models of management contract : an application of option theory

Widok

Metadane zasobu

Tytuł Computer models of management contract : an application of option theory
Osoby Autorzy: Paweł Wojciechowski
Partner: Instytut Badań Systemowych PAN w Warszawie
Opis The value of an asset (or the value of a firm) depends on the way it is managed. Management, for example, may control operations by choosing a production rate or control finances by choosing the leverage ratio. Often the management is entrusted with the task of restructuring under the management contract which may or may not restrict such actions. Such management contract may be seen as the claim on the value of the firm. This work attempts to value the firm under management contract scheme using an option theory
approach, the so-called Contingent Claim Analysis (CCA).
Assuming that a firm is managed optimally, in risk-neutral economy, its value may be found by discounting
cash flow at the risk-free rate. The value of the firm is found by maximizing the expected stream of cash flows subject to boundary constraints. The solution methodology follows the Black and Sholes analysis, Bellman' s dynamic programming principle of optimality and various numerical methods such as the Binomial Option Pricing method. The solution produces the value of a firm and the value of a management claim.
The model is used to value firm and management control in a specific program used to privatize the state-owned enterprises called "Privatization through Restructuring", introduced in Poland in 1991. Under so-called "management contract", the management is entrusted with restructuring and privatizing the company. Management compensation scheme entitles to the option of the real capital gain and withdraws from the generated profits.
The CCA valuation model provides a conceptual and practical framework to value a company net of managerial cost. A management group has dual incentives and depending on the parameters of the model may or may not be interested in the increase of the company's value and is subsequent privatization.
The simulation results indicate some covenants that may be imposed on the management group to encourage it to exercise its "privatization" option and guard against moral hazard tendencies.
The model is practical and may be used as an analysis tool to ascertain the Privatization through Restructuring Program. The model also discusses the market imperfections that distort the research results. (Angielski)
Słowa kluczowe "wycena"@pl, "wycena opcji"@pl, "kontrakt menedżerski"@pl, "teoria opcji"@pl
Klasyfikacja Typ zasobu: praca dyplomowa
Dyscyplina naukowa: dziedzina nauk technicznych / informatyka (2011)
Grupa docelowa: naukowcy, studenci, przedsiębiorcy
Szkodliwe treści: Nie
Charakterystyka Miejsce powstania: Warsaw
Czas powstania: 1994
Liczba stron: 119
Promotor: Olgierd Hryniewicz
Język zasobu: Angielski
Lokalizacja: Warszawa
Licencja CC BY-SA 4.0
Informacje techniczne Deponujący: Anna Wasilewska
Data udostępnienia: 16-10-2018
Kolekcje Kolekcja Instytutu Badań Systemowych PAN w Warszawie, Kolekcja e-Biblio IBS PAN

Cytowanie

Skopiowano

Paweł Wojciechowski. Computer models of management contract : an application of option theory. [praca dyplomowa] Dostępny w Atlasie Zasobów Otwartej Nauki, . Licencja: CC BY-SA 4.0, https://creativecommons.org/licenses/by-sa/4.0/legalcode.pl. Data dostępu: DD.MM.RRRR.