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M&A and the simulation-based valuation of companies with an uncertain exit price and special rights

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Gleißner, W., Wolfrum, M., Dorfleitner, G. M&A and the simulation-based valuation of companies with an uncertain exit price and special rights. Credit and Capital Markets – Kredit und Kapital, 99999(), 1-37. https://doi.org/10.3790/ccm.2025.1455401
Gleißner, Werner; Wolfrum, Marco and Dorfleitner, Gregor "M&A and the simulation-based valuation of companies with an uncertain exit price and special rights" Credit and Capital Markets – Kredit und Kapital 99999., 2025, 1-37. https://doi.org/10.3790/ccm.2025.1455401
Gleißner, Werner/Wolfrum, Marco/Dorfleitner, Gregor (2025): M&A and the simulation-based valuation of companies with an uncertain exit price and special rights, in: Credit and Capital Markets – Kredit und Kapital, vol. 99999, iss. , 1-37, [online] https://doi.org/10.3790/ccm.2025.1455401
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M&A and the simulation-based valuation of companies with an uncertain exit price and special rights

Gleißner, Werner | Wolfrum, Marco | Dorfleitner, Gregor

Credit and Capital Markets – Kredit und Kapital, Online First : pp. 1–37

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Article Details

Publisher Name
Duncker & Humblot GmbH
DOI
https://doi.org/10.3790/ccm.2025.1455401
Language
English
Pages
37
License
open-access CC BY 4.0
Keywords

Author Details

Prof. Dr. Werner Gleißner is a member of the board of the FutureValue Group AG and honorary professor for business administration, esp. risk management, at the TU Dresden. He is also a board member of the European Association of Certified Valuators and Analysts (EACVA).

Marco Wolfrum is a partner of FutureValue Group AG and deputy chairman of the board of the RMA Risk Management & Rating Association e.V. as well as managing director of the RMA Rating & Risk Academy GmbH. He is a lecturer in risk management at various universities.

Prof. Dr. Gregor Dorfleitner is Professor of Finance and Director of the Center of Finance at the University of Regensburg.

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Abstract

This article presents a new methodological approach to value private equity investments based on simulation. The valuation relies on ‘imperfect replication’. This method does not presuppose the perfection of the capital market and is essentially built on measuring the risk. The approach turns out to be easy to implement. Firm specific characteristics as well as and existing special rights can be depicted and modelled. The proposed methodology is of immediate practical usefulness as it can help to find decision support for concrete investment situations. Also, during the investment period it can be used for monitoring. The originality of the research lies in the combination of Monte Carlo simulation, multiple methods, relevant risk measures and risk-value models.

Table of Contents

Section Title Page Action Price
Werner Gleißner / Marco Wolfrum / Gregor Dorfleitner: M&A and the simulation-based valuation of companies with an uncertain exit price and special rights 1
Abstract 1
I. Introduction and overview 1
II. Valuation with uncertain exit prices: Theory 4
1. Existing approaches 4
2. Theoretical background to our approach 7
III. Simulation-based valuation with uncertain exit prices: The model 11
1. General framework 11
2. Uncertain exit price as a basis for valuation 13
3. An alternative risk measure: the semi-standard deviation 16
4. Special rights and share valuation 16
5. A model for the EBIT development over time 17
6. Model discussion 19
IV. The valuation of a PE investment: A case study with an uncertain exit price 21
1. Basics and valuation assumptions 21
2. Risk simulation and exit price range 23
3. Simulation-based valuation of the company 25
a) Risk measure: standard deviation 25
b) Risk measure: Semi-standard deviation 26
c) Special rights and share valuation 26
4. Comparison with traditional valuation methods 27
V. Final discussion 29
References 31

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