Cayetano, Gea (2006): Valuing a portfolio of dependent RandD projects: a Copula approach.
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The aim of this work consists of pricing a real biotechnology firm that is based on a portfolio of several drug development projects at different phases. Duffie and Singleton (1999) formulate a system of n correlated jump mean-reverting intensity equations to capture a portfolio of n entities’ default times. The drawback of their approach is that there are a lot of parameters and we have no enough information so as to estimate all. This is the reason why the copula approach has been very well accepted in recent years as an alternative tool for these situations since we can model the extreme situations (or default in this case) under a dependence framework by selecting those copula functions with a very few number of parameters.
|Item Type:||MPRA Paper|
|Original Title:||Valuing a portfolio of dependent RandD projects: a Copula approach|
|Keywords:||Copula, valuation, company, real options|
|Subjects:||C - Mathematical and Quantitative Methods > C0 - General > C00 - General|
|Depositing User:||Cayetano Gea|
|Date Deposited:||14. May 2008 00:47|
|Last Modified:||11. Mar 2015 23:31|
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