Tax loss carry-forwards are a valuable asset because they reduce a company’s future tax payments. However, there is often a great deal of uncertainty regarding the probability and timings of these tax savings. We propose a contingent-claim model to value this asset. The value is determined primarily by the size of accumulated carry-forwards relative to earnings. We show that, for poorly-performing firms with large tax loss carry-forwards, (i) the realizable (or fair) value of the tax losses can be significantly smaller than the book value, and (ii) the tax losses can account for a significant fraction of the company’s equity value. The model is illustrated by calibrating it to a couple of companies with large carry-forwards. Finally, we show how the model can be used to compute the marginal tax rate of a company with carry-forwards.