project with maria garcia vince ,
here is a brief about the project with maria garcia .
promigas , in partnership with others , wants to acquire $ 80 mm tvcable
company in mexico .
promigas ' s ownership would be 25 % , i . e . , 20 mm . 10 mm of it would come from
debt .
enron wants to participate this deal by offer promigas loan guarantee in
exchange of call options
on 50 % promigas equity in tvcable .
following suggestions have been made :
1 ) get a market quote for the loan guarantee ;
use credit risk model to price the guarantee internally ;
need to speak to vasant
2 ) find a comparable company , study the volatility
using company value histogram from economics model ( crystal ball output ) ,
i can fit a lognormal
distribution , then find the volatility
3 ) calcalte the call option value , find braek - even strike .
any inputs are extremely welcome .
zimin
project with maria garcia
vince ,
here is a brief about the project with maria garcia .
promigas , in partnership with others , wants to acquire $ 80 mm tvcable
company in mexico .
promigas ' s ownership would be 25 % , i . e . , 20 mm . 10 mm of it would come from
debt .
enron wants to participate this deal by offer promigas loan guarantee in
exchange of call options
on 50 % promigas equity in tvcable .
following suggestions have been made :
1 ) get a market quote for the loan guarantee ;
use credit risk model to price the guarantee internally ;
need to speak to vasant
2 ) find a comparable company , study the volatility
using company value histogram from economics model ( crystal ball output ) ,
i can fit a lognormal
distribution , then find the volatility
3 ) calcalte the call option value , find braek - even strike .
any inputs are extremely welcome .
zimin