Long-term project valuation in capital-constrained firms (notice n° 486623)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 01552cam a2200325 4500500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20250121072440.0 |
| 041 ## - LANGUAGE CODE | |
| Language code of text/sound track or separate title | fre |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | dc |
| 100 10 - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Shimko, David C. |
| Relator term | author |
| 245 00 - TITLE STATEMENT | |
| Title | Long-term project valuation in capital-constrained firms |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Date of publication, distribution, etc. | 2019.<br/> |
| 500 ## - GENERAL NOTE | |
| General note | 25 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | This paper values correlated future cash flows when idiosyncratic risk earns a premium. For example, single period RAROC-style valuations used by financial institutions can be extended to multiple periods. Properties of the valuation differ considerably from traditional NPV analysis. Cash flow valuations are non-additive, and asset values vary inversely with cash flow variances and covariances. Negative valuations are possible even when expected cash flows are positive. The valuation of normally distributed cash flows is provided in matrix form, as well as the period-specific risk charge allocations. Simplified perpetuity formulas are also developed for cash flows that follow random walks. |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | cash flows |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | sharpe ratio |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | VAR |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | CFAR |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | hurdle rate |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | PVAR |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | risk |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | RAROC |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | equivalence principle |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | RPV |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | multi-period |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | economic capital |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | financial institutions |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | value-at-risk |
| 786 0# - DATA SOURCE ENTRY | |
| Note | Finance | 40 | 3 | 2019-12-18 | p. 121-139 | 0752-6180 |
| 856 41 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://shs.cairn.info/journal-finance-2019-3-page-121?lang=en&redirect-ssocas=7080">https://shs.cairn.info/journal-finance-2019-3-page-121?lang=en&redirect-ssocas=7080</a> |
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