Monitoring Financial Distress in a High-Stress Financial World: The Role of Option Prices as Bank Risk Metrics

2012 ◽  
Vol 44 (3) ◽  
pp. 229-257 ◽  
Author(s):  
Jérôme Coffinet ◽  
Adrian Pop ◽  
Muriel Tiesset
Keyword(s):  
Financial Distress ◽  
High Stress ◽  
Bank Risk ◽  
Option Prices

scholarly journals The Role of Board Independence and Ownership Structure in Improving the Efficacy of Corporate Financial Distress Prediction Model Evidence from India

2021 ◽  
Vol 14 (7) ◽  
pp. 333
Author(s):  
Shilpa H. Shetty ◽  
Theresa Nithila Vincent
Keyword(s):  
Prediction Model ◽  
Ownership Structure ◽  
Financial Distress ◽  
Prediction Models ◽  
Receiver Operating Curve ◽  
Financial Measures ◽  
Financial Variables ◽  
Financial Distress Prediction ◽  
Distress Prediction

The study aimed to investigate the role of non-financial measures in predicting corporate financial distress in the Indian industrial sector. The proportion of independent directors on the board and the proportion of the promoters’ share in the ownership structure of the business were the non-financial measures that were analysed, along with ten financial measures. For this, sample data consisted of 82 companies that had filed for bankruptcy under the Insolvency and Bankruptcy Code (IBC). An equal number of matching financially sound companies also constituted the sample. Therefore, the total sample size was 164 companies. Data for five years immediately preceding the bankruptcy filing was collected for the sample companies. The data of 120 companies evenly drawn from the two groups of companies were used for developing the model and the remaining data were used for validating the developed model. Two binary logistic regression models were developed, M1 and M2, where M1 was formulated with both financial and non-financial variables, and M2 only had financial variables as predictors. The diagnostic ability of the model was tested with the aid of the receiver operating curve (ROC), area under the curve (AUC), sensitivity, specificity and annual accuracy. The results of the study show that inclusion of the two non-financial variables improved the efficacy of the financial distress prediction model. This study made a unique attempt to provide empirical evidence on the role played by non-financial variables in improving the efficiency of corporate distress prediction models.

scholarly journals NONPARAMETRIC ESTIMATES OF OPTION PRICES AND RELATED QUANTITIES

2019 ◽  
Vol 22 (07) ◽  
pp. 1950040
Author(s):  
GIANLUCA CASSESE
Keyword(s):  
Market Imperfections ◽  
Relative Distance ◽  
Time Behavior ◽  
Option Prices ◽  
Market Returns ◽  
Actual Density ◽  
Nonparametric Estimates ◽  
Absence Of Arbitrage ◽  
Call Function

We propose a new nonparametric technique to estimate the call function based on the superhedging principle. This approach requires minimal assumptions on absence of arbitrage and other market imperfections. The estimates so obtained are then combined with SNP estimates of the actual density of market returns. This permits to investigate the time behavior of the relative distance between the two densities obtained. Our empirical findings suggest that the more the two densities differ, the shorter is time to maturity, suggesting a major role of uncertainty over shorter than longer horizons.

scholarly journals The Role of Banks in Reducing the Costs of Financial Distress in Japan

10.3386/w3435 ◽  
1990 ◽  
Author(s):  
Takeo Hoshi ◽  
Anil Kashyap ◽  
David Scharfstein
Keyword(s):  
Financial Distress

scholarly journals Telaah Literatur Tentang Faktor-Faktor yang Mempengaruhi Konservatisme Akuntansi

2012 ◽  
Vol 8 (2) ◽  
Author(s):  
Lia Alfiah Dinanar Hati
Keyword(s):  
Conflict Of Interest ◽  
Financial Distress ◽  
Accounting Conservatism ◽  
Litigation Risk ◽  
Political Costs

This paper examine several factor that impact to accounting conservatism practice. Conservatism is commonly defined as the differential verifiability required for recognition of profits versus losses. Regardless of the different opinion about role of accounting conservatism, in fact, this principle is still in uses until now and be one of the dominant principle in accounting. Through this article the author do review of several previous studies about accounting conservatism at Indonesia and other country. From several review we conclude that accounting conservatism is affected by factors of contracting, litigation risk, political costs, regulations, financial distress and conflict of interest between shareholders and bondholders.

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