BEHAVIORAL VALUE ADJUSTMENTS

2017 ◽  
Vol 20 (08) ◽  
pp. 1750050
Author(s):  
MATTEO BISSIRI ◽  
RICCARDO COGO
Keyword(s):  
Risk Premium ◽  
Cash Flows ◽  
Behavioral Risk ◽  
Additional Source ◽  
Detailed Characterization ◽  
Individual Decisions ◽  
Definition Of ◽  
Credit Portfolio ◽  
Future Cash Flows

Assets or liabilities with embedded prepayment/extension options can be subject to behavioral risk, due to the unpredictable exercise strategy followed by the option holder who does not act purely on the strength of financial convenience. When seen from the viewpoint of the option seller, such behavior results in a lower option value and an additional source of uncertainty in future cash flows. In this paper, we propose a general framework to model behavioral risk by taking advantage of a full parallel with credit portfolio modeling and by combining the features of option-based and intensity models. Our approach is micro-structural, meaning that the aggregate prepayment rate derives from the sum of individual decisions. In principle, a detailed characterization of the behavior of a pool of investors can be performed depending on available data. A particular emphasis is placed on the precise definition of behavioral risk and on the modeling of nonmarket factors, which may contribute significantly to the variance of future cash flows. Finally, we discuss the calibration of a behavioral risk premium and the pricing of contracts with embedded options by introducing the concept of behavioral risk adjustment ([Formula: see text]VA), in line with the recent development of XVA methodology.

Discretionary Risk Disclosures

2003 ◽  
Vol 78 (2) ◽  
pp. 449-469 ◽  
Author(s):  
Bjorn N. Jorgensen ◽  
Michael T. Kirschenheiter
Keyword(s):  
Stock Returns ◽  
Risk Premium ◽  
Voluntary Disclosure ◽  
Cash Flows ◽  
Share Price ◽  
Risk Disclosure ◽  
Share Prices ◽  
Ex Post ◽  
Partial Disclosure ◽  
Future Cash Flows

We model managers' equilibrium strategies for voluntarily disclosing information about their firm's risk. We consider a multifirm setting in which the variance of each firm's future cash flow is uncertain. A manager can disclose, at a cost, this variance before offering the firm for sale in a competitive stock market with risk-averse investors. In our partial disclosure equilibrium, managers voluntarily disclose if their firm has a low variance of future cash flows, but withhold the information if their firm has highly variable future cash flows. We establish how the manager's discretionary risk disclosure affects the firm's share price, expected stock returns, and beta, within the framework of the Capital Asset Pricing Model. We show that whereas one manager's discretionary disclosure of his firm's risk does not affect other firms' share prices, it does affect the other firms' betas. Also, we demonstrate that a disclosing firm has lower risk premium and beta ex post than a nondisclosing firm. Finally, we show that ex ante, the expected risk premium and expected beta of each firm are higher under a mandatory risk disclosure regime than in the partial disclosure equilibrium that arises under a voluntary disclosure regime.

scholarly journals Stock Valuation: Dividend Discount Models

2011 ◽  
Author(s):  
Syrgak Kydyraliev ◽  
Anarkül Urdaletova
Keyword(s):  
Stock Price ◽  
Supply And Demand ◽  
Cash Flows ◽  
Securities Market ◽  
Present Value ◽  
Stock Valuation ◽  
Stock Value ◽  
The Future ◽  
Definition Of ◽  
Future Cash Flows

One of the most widespread problems on a securities market is the problem of definition of an estimated stock value. It is necessary to note, that the stock price as well as the price of any good in the market is defined as the result of supply and demand interaction. Our task is to offer the mechanism, which allows making decision on purchase or sale. For this purpose the method of asset estimation by future cash flows will be used – i.e. we believe that the estimated value of an asset is equal to present value of the future cash flows which are provided by the asset. In our paper we will introduce methods for the valuation of stocks with arithmetic and pseudo-arithmetic growth of dividends.

scholarly journals Counterpoint as a contentive and stylistic device in the intermedial genre (about Viktor Shenderovich’s A Flute Solo)

Literatūra ◽  
2019 ◽  
Vol 61 (2) ◽  
pp. 110-124
Author(s):  
Eleonora Lassan
Keyword(s):  
Publishing House ◽  
The Other ◽  
Political Satire ◽  
Detailed Characterization ◽  
Other Hand ◽  
Symbolic Value ◽  
The One ◽  
Definition Of ◽  
Stylistic Device

In 2015, Vremya Publishing House issued A Flute Solo, a book by V. Shenderovich, a multigenre and, according to the author of the article, intermedial work, since the peculiarities of the content of a political satire and a tragedy, a farce and a fantasy on the one hand and some features of musical pieces, a fugue in particular, on the other hand, have merged there. The author provides a detailed characterization of the plot, constructed as a grotesque depiction of the reality, the composition as relating a verbal text to a piece of music, and the symbolic value of certain elements, allowing not to agree to the definition of the book as being “desperately hopeless”.

scholarly journals Microstratigraphic Analysis of Fossil Distribution in the Lower Hornerstown and Upper Navesink Formations at the Edelman Fossil Park, NJ

2021 ◽  
Vol 9 ◽  
Author(s):  
Kristyn K. Voegele ◽  
Paul V. Ullmann ◽  
Tara Lonsdorf ◽  
Zachary Christman ◽  
Michael Heierbacher ◽  
...  
Keyword(s):  
Three Dimensional ◽  
Taxonomic Diversity ◽  
Time Averaging ◽  
Taxonomic Richness ◽  
Detailed Characterization ◽  
Future Studies ◽  
Rowan University ◽  
Definition Of ◽  
Excavation Area

Maastrichtian–Danian sediments of the Navesink and Hornerstown formations at the Jean and Ric Edelman Fossil Park of Rowan University in Mantua Township, New Jersey, have long intrigued paleontologists. Within the basal Hornerstown Formation occurs the Main Fossiliferous Layer (MFL), a regionally well-known and diverse bonebed. The lithostratigraphic and chronostratigraphic position of this fossil layer have been debated for more than 50 years, fueling debate over its origin. Herein, we present the results of a microstratigraphic analysis of the fossil composition and distribution of the MFL undertaken to rectify these discrepancies. Through methodical top-down excavation, we recorded the three-dimensional position of every fossil encountered. Three-dimensional visualization and analyses of these data in ArcGIS Pro yielded an unprecedented view of this bonebed. Most reported discrepancies about the stratigraphic placement and thickness of the MFL can be explained by the presence of two distinct fossil assemblages within this interval that are occasionally combined into a single bonebed. The stratigraphically-lower assemblage, herein termed an “oyster layer”, is geometrically-tabular and exhibits low taxonomic diversity, high abundance of the oyster Pycnodonte, and moderate taxonomic richness. The stratigraphically-higher assemblage, the MFL, occurs approximately 9 cm higher in section and exhibits high values of taxonomic diversity, fossil abundance, and taxonomic richness. Sedimentological homogeneity throughout this interval suggests that these faunal contrasts arise from the two assemblages having formed via independent taphonomic pathways. Specifically, prevalence of Pycnodonte in the oyster layer implies formation by a selective mortality event, whereas the diversity of the MFL appears to reflect a more universal agent of mortality. Spatial variations in the stratigraphic distribution of fossils within the MFL in our excavation area indicate this assemblage does not form a simple, tabular layer as previously thought and may, in part, record original bathymetry. Importantly, our definition of the MFL and detailed characterization of its stratigraphic placement are essential for future studies on the taphonomic origin and chronostratigraphy of this bonebed. Universal use of this definition would allow researchers to confidently elucidate the exact lithostratigraphic positions of precise chronostratigraphic indicators within the MFL and accurately estimate the degree of time averaging of its fossils.

scholarly journals Biblical garden – a review, characteristics and definition based on twenty years of research

2018 ◽  
Vol 30 (2) ◽  
pp. 229-248 ◽  
Author(s):  
Zofia Włodarczyk
Keyword(s):  
Public Space ◽  
Detailed Data ◽  
Plant Selection ◽  
Detailed Characterization ◽  
The Public ◽  
The Bible ◽  
Depth Analysis ◽  
Semantic Value ◽  
Definition Of

Abstract Biblical gardens have existed in the public space for almost 80 years, and yet still up to this moment no scientific definition of this type of garden layout has been developed, nor has any detailed characterization of them been published. Multifaceted, interdisciplinary research carried out in the years 1996-2017 made it possible to gather detailed data pertaining to 63 biblical gardens all over the world, primarily including the oldest ones. The fundamental characteristics of existing sites were determined on the basis of these results, including their naming in different languages, presentation through a logo and motto, plant selection along with the manner of its presentation, the symbols that they employ, street and garden furniture being used and the arrangements of miniature landscapes. An in-depth analysis of the material that had been gathered made it possible to formulate a scientific definition of a biblical garden as a specific type of greenery arrangement. The specifics of biblical gardens lie in the fact that they possess significant semantic value and are an illustration of the sacred texts of the Bible, one of the greatest works of literature. Various artistic works are being used in their arrangement, in addition to modern forms of design, which highlight sensory values through referring to the senses: sight, touch, hearing, smell and taste.

Increasing Burden of Complex Multimorbidity Across Gradients of Cognitive Impairment

2017 ◽  
Vol 32 (7) ◽  
pp. 408-417 ◽  
Author(s):  
Siran M. Koroukian ◽  
Nicholas K. Schiltz ◽  
David F. Warner ◽  
Kurt C. Stange ◽  
Kathleen A. Smyth
Keyword(s):  
Cognitive Impairment ◽  
Chronic Conditions ◽  
Functional Limitations ◽  
Detailed Characterization ◽  
Health Care Improvement ◽  
Using Data ◽  
Definition Of ◽  
Care Improvement ◽  
Retirement Study

Introduction: This study evaluates the burden of multimorbidity (MM) across gradients of cognitive impairment (CI). Methods: Using data from the 2010 Health and Retirement Study, we identified individuals with no CI, mild CI, and moderate/severe CI. In addition, we adopted an expansive definition of complex MM by accounting for the occurrence and co-occurrence of chronic conditions, functional limitations, and geriatric syndromes. Results: In a sample of 18 913 participants (weighted n = 87.5 million), 1.93% and 1.84% presented with mild and moderate/severe CI, respectively. The prevalence of most conditions constituting complex MM increased markedly across the spectrum of CI. Further, the percentage of individuals presenting with 10 or more conditions was 19.9%, 39.3%, and 71.3% among those with no CI, mild CI, and moderate/severe CI, respectively. Discussion: Greater CI is strongly associated with increased burden of complex MM. Detailed characterization of MM across CI gradients will help identify opportunities for health care improvement.

Intramolecular Proton Transfer in the Isomerization of Hydroxyacetone: A Detailed Characterization Based on Reaction Force Analysis and the Bond Fragility Spectrum

2020 ◽  
Author(s):  
Wallace Derricotte ◽  
Huiet Joseph
Keyword(s):  
Chemical Potential ◽  
Reaction Force ◽  
Intramolecular Proton Transfer ◽  
Intermediate Energy ◽  
Force Analysis ◽  
Activation Energy Barrier ◽  
Detailed Characterization ◽  
Proton Transfers ◽  
Reaction Force Constant

The mechanism of isomerization of hydroxyacetone to 2-hydroxypropanal is studied within the framework of reaction force analysis at the M06-2X/6-311++G(d,p) level of theory. Three unique pathways are considered: (i) a step-wise mechanism that proceeds through formation of the Z-isomer of their shared enediol intermediate, (ii) a step-wise mechanism that forms the E-isomer of the enediol, and (iii) a concerted pathway that bypasses the enediol intermediate. Energy calculations show that the concerted pathway has the lowest activation energy barrier at 45.7 kcal mol<sup>-1</sup>. The reaction force, chemical potential, and reaction electronic flux are calculated for each reaction to characterize electronic changes throughout the mechanism. The reaction force constant is calculated in order to investigate the synchronous/asynchronous nature of the concerted intramolecular proton transfers involved. Additional characterization of synchronicity is provided by calculating the bond fragility spectrum for each mechanism.

Does the Mandatory Adoption of IFRS Improve the Association between Accruals and Cash Flows? Evidence from Accounting Estimates

2018 ◽  
Vol 33 (1) ◽  
pp. 39-59
Author(s):  
Jimmy F. Downes ◽  
Tony Kang ◽  
Sohyung Kim ◽  
Cheol Lee
Keyword(s):  
Financial Reporting ◽  
Cash Flows ◽  
Data Availability ◽  
The European Union ◽  
Accounting Quality ◽  
Financial Reporting Standards ◽  
Ifrs Adoption ◽  
Accounting Estimates ◽  
Accounting Accruals ◽  
Future Cash Flows

SYNOPSIS We investigate the effect of mandatory International Financial Reporting Standards (IFRS) adoption in the European Union on the association between accounting estimates and future cash flows, a key concept of accounting quality within the International Accounting Standard Board conceptual framework. We find that the predictive value of accounting estimates improves after IFRS adoption. This improvement is largely driven by specific types of accounting estimates, such as accounts receivable, depreciation, and amortization expense. We also find that the improvement is concentrated in countries with larger differences between pre-IFRS domestic GAAP and IFRS. Our findings suggest that IFRS allow managers to exercise their judgment to provide information about future cash flows through the more subjective/judgmental portion of accounting accruals. JEL Classifications: M16; M49; O52. Data Availability: The data used in this study are from public sources identified in the study.

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