Prisfastsættelse af DSV’s Erhvervsobligation: Med udgangspunkt i udstedelsen 24. juni 2013 - DKK,00 3,50 %

Jonas Bjerre Balmer

Student thesis: Diploma thesis


Abstract: In this thesis it is examined if Black Scholes or Moodys ‘Global Surface Transportations and Logistics Companies’ can be used to price the internal rate of return on DSVs corporate bond issued the 24th of June 2013. The Moodys-model is used to assess the credit rating of the bond issuer, DSV, this rating is used to calculate a theoretical credit spread on the corporate bond. The inputs for the Black Scholes-model are determined from 6,48 years historical closing prices on the listed stock. These closing prices are used to examine if the conditions for using the model are fulfilled and to estimate the volatility on DSV’s equity. The volatility is calculated from both the standard-method, EWMA and GARCH(1,1) where the last one is used in the model in this thesis. After estimating the probability of default on DSV from Black Scholes the method is illustrated and explained with Monte Carlo-simulation. It is found that the credit rating on DSV is Baa in the Moodys-model and that the probability on default in 6,48 years is 4,97 % in Black Scholes. The credit spread can therefore be calculated to 27 and 15 bp in the two models, which is 9,8 % - 17,6 % of the total asset swap spread. The conclusion of the thesis is that the models cannot be used alone to price the internal rate of return on corporate bonds. It is also concluded that the Moodys model is the better of the two models to quantify the credit spread due to the sensitivity in the input variables and uncertainty of estimating these in the Black-Scholes-model.

EducationsGraduate Diploma in Finance, (Diploma Programme) Final Thesis
Publication date2014
Number of pages87