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Financial Risks of Corporation, Discount Rates, and Default Probability

Author

Listed:
  • Pavel Е. Zhukov

    (The Financial University under the Government of the Russian Federation)

Abstract

The role of discount rates for volatility of market prices is discussed with relevance to CAPM and MM theory. Dependence of discount rates from probability of default proposed by W. Sharp is reviewed and significantly corrected. New model for approximation of the default probability function is proposed.

Suggested Citation

  • Pavel Е. Zhukov, 2013. "Financial Risks of Corporation, Discount Rates, and Default Probability," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 2, pages 55-62, June.
    • Handle: RePEc:fru:finjrn:130206:p:55-62
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