Abstract

CRUZ AKE, Salvador  and  VENEGAS-MARTINEZ, Francisco. Valor de una empresa en riesgo de expropiación en un entorno de crisis financiera. Caso Banamex. El trimestre econ [online]. 2010, vol.77, n.306, pp.473-503. ISSN 2448-718X.

This paper applies the methodology of real options for valuing firms that for any reason are subject to a possible expropriation. In the development of this research is added to the valuation by discounted cash flows the value of the premium which shareholders would receive as compensation for the risk of expropriation. This assumes that the returns of companies with a potential threat of expropriation are conducted by a diffusion process mixed with jumps in the event of financial crisis. This research values the real option of expropriation (call option) in which, at the request of the government, the investor must sell the company (the underlying asset) to the government in exchange for compensation (the strike price). Finally, the developed methodology is applied to the case of Banamex.

Keywords : riesgo de expropiación; administración de riesgos; métodos de simulación; programación dinámica.