The Impact Of Discount Rate Choice In Estimating The Workout LGD

2011 ◽  
Vol 27 (2) ◽  
Author(s):  
Lucia Gibilaro ◽  
Gianluca Mattarocci
Keyword(s):  
Discount Rate ◽  
Recovery Process ◽  
Capital Requirements ◽  
Discount Rates ◽  
Loss Given Default ◽  
Explanatory Variables ◽  
Proprietary Database ◽  
Main Determinants ◽  
The Impact ◽  
Selection Of

<p>The workout approach to estimating the loss given default compares the actual value of the recovery flows with the exposure at default to measure the efficacy of the recovery process. One of the main problems related to this approach is the selection of the proper discount rate for evaluating the portfolio. In the literature, there are different solutions proposed, but there is no evidence on the impact of the choice of one of these alternatives on the LGD measurement. This paper looks at a proprietary database for the timeframe 1985-2005, evaluates the impact of the discount rate on the LGD value and studies the main determinants of LGDs computed using different approaches. Even if the explanatory variables are the same, LGDs defined using different discount rates show differences in the percentile distribution that could significantly affect the capital requirements of a financial intermediary.</p>

scholarly journals Comments on "Researcher bias: The use of machine learning in software defect prediction"

2015 ◽  
Author(s):  
Chakkrit Tantithamthavorn ◽  
Shane McIntosh ◽  
Ahmed E Hassan ◽  
Kenichi Matsumoto
Keyword(s):  
Prediction Model ◽  
Strong Association ◽  
Model Performance ◽  
Strong Relationship ◽  
Defect Prediction ◽  
Explanatory Variables ◽  
Software Defect ◽  
The Impact ◽  
The Relationship ◽  
Selection Of

Shepperd et al. (2014) find that the reported performance of a defect prediction model shares a strong relationship with the group of researchers who construct the models. In this paper, we perform an alternative investigation of Shepperd et al. (2014)’s data. We observe that (a) researcher group shares a strong association with the dataset and metric families that are used to build a model; (b) the strong association among the explanatory variables introduces a large amount of interference when interpreting the impact of the researcher group on model performance; and (c) after mitigating the interference, we find that the researcher group has a smaller impact than the metric family. These observations lead us to conclude that the relationship between the researcher group and the performance of a defect prediction model may have more to do with the tendency of researchers to reuse experimental components (e.g., datasets and metrics). We recommend that researchers experiment with a broader selection of datasets and metrics to combat potential bias in their results.

DETERMINANTS OF PROFICIENCY IN UNDERLYING PROCESSES OF TECHNOLOGICAL INNOVATION MANAGEMENT

2017 ◽  
Vol 21 (06) ◽  
pp. 1750045
Author(s):  
NEY LUIZ BELLEGARD ◽  
RODOLFO COELHO PRATES
Keyword(s):  
Innovation Management ◽  
Empirical Studies ◽  
Property Management ◽  
Internal Factors ◽  
Explanatory Variables ◽  
Intellectual Property Management ◽  
Monitoring And Forecasting ◽  
Main Determinants ◽  
The Impact ◽  
Underlying Processes

Most empirical studies on the identification of determinants of innovation deal with innovation without descending to the level of its underlying processes. The objective of this study is twofold: to identify determinants of proficiencies in these processes, and to measure the impact of the main determinants on the proficiencies. The data used originated mainly from three surveys conducted in the Brazilian state of Paraná. We built ordered probit econometric models for the proficiencies, with explanatory variables related to contextual and internal factors of the firms. The main determinants identified were the organisational structure and assignment of responsibility for innovation, the technological standing of the firm, and the number of certifications (quality, environmental, and others) held. We found a negative association, much to our surprise, between the use of government incentives and the proficiencies in intellectual property management and in technology monitoring and forecasting.

scholarly journals Ownership structure, agency costs, and discount rates

2007 ◽  
Vol 4 (3) ◽  
pp. 240-246 ◽  
Author(s):  
C. R. Krishna-Swamy ◽  
Mary M. Pashley
Keyword(s):  
Public Sector ◽  
Private Sector ◽  
Discount Rate ◽  
Ownership Structure ◽  
Agency Costs ◽  
Capital Asset Pricing ◽  
Discount Rates ◽  
Risk Free Rate ◽  
The Impact ◽  
Free Rate

In this paper, we explore the effects of agency costs on discount rates for public sector enterprises as well as private sector enterprises. Ownership structure has a direct impact on agency costs, and discount rates. We show this through an application of the Capital Asset Pricing Model (CAPM) framework. With the addition of agency costs, the discount rate, under uncertainty, for public sector enterprises (PSEs) as well as private sector enterprises (PVTSEs) becomes a variation of the CAPM risk adjusted discount rate plus a premium for agency costs. In some circumstances the impact of agency costs “cancels out,” otherwise it remains a relevant input to the calculation of required rates of return. For PSEs, under risk neutrality, the discount rate is the risk-free rate plus a premium for agency costs

scholarly journals Something Old, Something New, Something Borrowed, Something True? A Comment on Lister's ‘Institutions, Inequality and Social Norms: Explaining Variations in Participation’

2008 ◽  
Vol 10 (4) ◽  
pp. 681-697 ◽  
Author(s):  
Kai Arzheimer
Keyword(s):  
Social Norms ◽  
Theoretical Argument ◽  
Explanatory Variables ◽  
Societal Factors ◽  
Political Implications ◽  
Methodological Problems ◽  
T Values ◽  
The Impact ◽  
Robust Evidence ◽  
Selection Of

Michael Lister makes a useful contribution to the discussion on aggregate variables that foster or depress turnout by drawing attention to societal factors, but his analysis is fraught with methodological problems. While his article builds on an interesting theoretical argument about the impact of institutions on attitudes, his claims about causal relationships are not backed by data. There is no rationale for the selection of countries, and most explanatory variables are actually constant within countries. The specification of the model is problematic in many ways. A careful re-analysis shows that the t-values reported in Lister's article are far too large, while the estimates are unstable and dependent on the selection of observations. Moreover, the effects are trivial in terms of their political implications. There is no robust evidence for a universal, politically relevant relationship between inequality and turnout.

scholarly journals The Dilemmas of Public Vs. Private Goods Discounting for Long-Term Investment Appraisal: The Puzzle of Citizen and Consumer Approaches to Valuation

2020 ◽  
Vol 20 (2) ◽  
pp. 114-133
Author(s):  
Monika Foltyn-Zarychta
Keyword(s):  
Discount Rate ◽  
Contingent Valuation Method ◽  
Discount Rates ◽  
Public And Private ◽  
Private Goods ◽  
Explanatory Variables ◽  
Investment Appraisal ◽  
Intertemporal Preferences ◽  
Use Values

Abstract Research background: An investment appraisal applies a single discount rate across all effects. However, this may be insufficient for heterogenous environmental impacts, mixing private and public goods as well as use and non-use values, where individuals may have multiple intertemporal preferences due to their duality to act as consumer or citizen. Purpose: The paper aims at identifying the scope of discrepancies in the level of discount rate for public and private as well as use-and non-use investment gains. Research methodology: The contingent valuation method is used to elicit stated discount rates for 2 hypothetical investments: environmental or financial gains to distinguish between public and private domain accompanied by two time-frames: short (use values) and long (non-use values). Results: The discount rate for the environment is lower than for money. It is also lower for the long-term horizon in comparison with the short-term perspective. The discrepancies are observed also for explanatory variables in respect to a socio-economic profile and attitude characteristics. Novelty: The paper adds to the discussion on valuation discrepancies between self-interested consumers and socially oriented citizens. The scarcity of previous research examining discount rates for public/private goods as well as the short/long-time horizon make the results relevant for public policy dealing with climate change and environmental protection, providing an insight into individual intertemporal preferences.

scholarly journals Basic and Clinical Studies of Pharmacologic Effects on Recovery from Brain Injury

1993 ◽  
Vol 4 (3) ◽  
pp. 175-192 ◽  
Author(s):  
Larry B. Goldstein
Keyword(s):  
Brain Injury ◽  
Clinical Studies ◽  
Recovery Of Function ◽  
Recovery Process ◽  
Laboratory Animals ◽  
Medical Problems ◽  
Focal Brain Injury ◽  
Pharmacologic Agents ◽  
The Impact ◽  
Selection Of

Investigations in laboratory animals indicate that certain drugs that influence specific neurotransmitters can have profound effects on the recovery process. Even small doses of some drugs given after brain injury facilitate recovery while others are harmful. Preliminary clinical studies suggest that the same drugs that enhance recovery in laboratory animals (e.g., amphetamine) may have similar effects in humans after stroke. In addition, some of the drugs that impair recovery of function after focal brain injury in laboratory animals (e.g. haloperidol, benzodiazepines, clonidine, prazosin, phenytoin) are commonly given to stroke patients for coincident medical problems and may interfere with functional recovery in humans. Until the impact of pharmacologic agents on the recovering brain is better understood, the available data suggest that care should be exercised in the selection of drugs used in the treatment of the recovering stroke patient. Pharmacologic enhancement of recovery after focal brain injury may be possible in humans.

scholarly journals Understanding Discount Rates Under SFAS 87

2011 ◽  
Vol 4 (1) ◽  
pp. 1
Author(s):  
Frieda A. Bayer
Keyword(s):  
Discount Rate ◽  
Balance Sheet ◽  
Discount Rates ◽  
Settlement Rate ◽  
Potential Impact ◽  
Selection Of

FASB has redefined the role of the accountant in employers accounting for pensions. This paper reviews the process through which the accountant defines and applies the settlement rate under SFAS 87. An example illustrates the potential impact on income and the balance sheet of alternative rates. SFAS 87 guidelines regarding acceptable rates are examined to demonstrate the degree of flexibility still existing in the selection of an appropriate discount rate.

Understanding the Impact of Brine Hardness on Chemical Enhanced Oil Recovery Surfactants Performance: A Data Journey

2021 ◽  
Author(s):  
Roberto Company ◽  
Sabrina Hocine ◽  
Baptiste Pousset ◽  
Mikel Morvan
Keyword(s):  
Oil Recovery ◽  
Divalent Cations ◽  
Recovery Process ◽  
Injection Process ◽  
Treatment Processes ◽  
Internal Olefin ◽  
The Right ◽  
The Cost ◽  
The Impact ◽  
Selection Of

Abstract Brine composition is one of the key parameters in the design of a surfactant based oil recovery process and is a condition imposed by the reservoir nature. This brine can contain a large variety of ions including monovalent and divalent cations (hardness), which impacts the surfactants solubility. Moreover, hardness evolution during the injection process can also impair surfactant formulations’ performances. Water treatment processes are useful ways to mitigate such risks, but they imply higher CAPEX for the process. As a consequence, the selection of the right surfactant will have a large impact on the cost and on crude oil production. This paper describes solution properties of the most common surfactants used in surfactant flooding i.e. Alkyl Benzene Sulfonates (ABS) and Internal Olefin Sulfonates (IOS) as a function of the brine hardness and will be compared with Internal Ketone Sulfonates (IKS), a new bio-based surfactant family.

Comparison of Discount Rates Disclosure Analysis in Goodwill Impairment Testing among Singapore Listed Firms

2013 ◽  
pp. 5-31
Author(s):  
Dung Manh Tran ◽  
Khairil Faizal Khairi ◽  
Nur Hidayah Laili
Keyword(s):  
Discount Rate ◽  
Discount Rates ◽  
Expected Return ◽  
Listed Firms ◽  
Goodwill Impairment ◽  
Key Factor ◽  
Estimated Risk ◽  
Financial Disclosures ◽  
Rate Selection ◽  
Selection Of

This study presents some evidence of discount rate selection on goodwill impairment testing under the new requirements of FRS 36. The selection of discount rates is believed to be an important key factor that affects the outcome of impairment assessment, especially when using the method of value in use. This study objectively examines the Singapore listed firm’s selection of discount rates disclosed, and then tests and compares the variation between discount rates disclosed by firms for the goodwill impairment testing with independently generated estimates of firm specific risk adjusted discount rates for multi year samples of 2007, 2006 and 2005. In order to achieve the objective of this study, the Capital Asset Pricing Model (CAPM) is chosen because it describes the relationship between risk and expected return and that is used in the pricing of risky securities. For the purposes of this paper, the final research sample consists of 142, 127 and 86 firms that employed the value in use method in goodwill impairment testing and defined only a single discount rate in 2007, 2006 and 2005 respectively. The results show most of the firms understated their discount rates for 2005, while in 2006 and 2007 some firms overstated their discount rate when compared with an independently estimated risk adjusted discount rate. The results also indicate that the Singapore listed firms have difficulties in the discount rates disclosure which may in turn limit the decision usefulness of their financial disclosures by potentially diluting the robustness of the impairment testing.

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