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Many private companies are exposed to event risks such as the loss of a major customer. A common practice to account for this risk is to leave expected cash flows unchanged but add a few hundred basis points to the discount rate. Join Gary Schurman to learn how to build a quantitative valuation model that accounts for event risk and is consistent with economic theory. Learn the difference between diffusion and jump-diffusion asset price models, and how to model event risk via exponential arrival times. Take the time to better understand how event risk can be incorporated in your next valuation model.
Program Agenda
Utility functions as the basis for risk premiums
Modeling event risk via exponential arrival times
Diffusion vs jump-diffusion asset price models
Pricing for event risk
Prerequisite: Transition from algebra and discrete time to calculus and continuous time
Learning Objectives
Learn how to model event risk via exponential arrival times
Learn how to account for event risk in expected cash flows
Learn how to account for event risk in the discount rate
Build a valuation model that incorporates event risk
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