The purpose of this paper is to estimate the default probabilities in infrastructure projects. For that, we analyze the exposure of the lenders to a state of default. This application is made by assuming the debt service coverage ratio (DSCR) dynamic itself and the payment profile determined by...

The purpose of this paper is to estimate the default probabilities in infrastructure projects. For that, we analyze the exposure of the lenders to a state of default. This application is made by assuming the debt service coverage ratio (DSCR) dynamic itself and the payment profile determined by...

In this paper we study the possible effect it may have concerning the use of financial derivatives in the evolution of the share price of Mexican non-financial corporations, whether such contracts are used for hedging financial risks or for trading. The first part is a review of the literature...

In this paper we study the possible effect it may have concerning the use of financial derivatives in the evolution of the share price of Mexican non-financial corporations, whether such contracts are used for hedging financial risks or for trading. The first part is a review of the literature...

Spanish Abstract: Se realiza una introducción formal a los modelos de valoración de dos estados, es decir, modelos de valoración de activos contingentes en los cuales se asume que el subyacente puede presentar solamente dos precios distintos entre periodos consecutivos. Este tipo de modelos...

English Abstract: This study investigates the informational role of thin options markets, specifically the Spanish options market. Firstly, we examine the effect of options markets by analysing stock market reaction to earnings news, conditional on the availability of options markets. Secondly,...

Spanish Abstract: En esta monografía se muestra cómo valorar los principales instrumentos de financiación ajena de la empresa que poseen opciones implícitas: warrants, bonos rescatables con anticipación y bonos convertibles

Spanish Abstract: En esta monografía se muestra cómo las acciones de una empresa pueden contemplarse y valorarse como si fueran una opción sobre el activo de la misma. Se muestra cómo implementar el modelo en la práctica. También se muestra cómo calcular el tipo de interés adecuado a la...

English Abstract: Since the onset of the pandemic, the equity market has experienced bouts of high volatility, with private investors’ use of derivatives for speculative purposes being cited as a relevant factor in some cases. This paper analyses two specific episodes: the revaluation of...