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Littérature scientifique sur le sujet « Consistent valuation »

Auteur : Grafiati

Publié le 9 mars 2023

Mis à jour le 10 mars 2023

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Articles de revues sur le sujet "Consistent valuation"

Sheldon, T. J., et A. D. Smith. « Market Consistent Valuation of Life Assurance Business ». British Actuarial Journal 10, n^o 3 (1 août 2004) : 543–605. http://dx.doi.org/10.1017/s1357321700002695.

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ABSTRACTIn recent years there has been a trend towards market consistent valuation in those institutions for which actuaries have responsibilities. The larger United Kingdom with-profits insurance companies are now preparing realistic balance sheets, both for internal purposes and also at the request of the Financial Services Authority. International accounting standards have been moving to a fair value approach. Pension fund accounting under FRS 17 has also moved in this direction.In this paper we examine the reasons for the adoption of market consistent valuation and discuss some of the commercial implications and corporate valuation. We consider the methods and assumptions which can be used to develop market consistent valuations of cash flows typically encountered in the liabilities of financial institutions, together with some of the problems inherent in the calibration of models used for the valuation of these cash flows. The volatility assumption is crucial to the valuation of options and guarantees, and we discuss the relationship between historical and implied volatility.While most insurance companies initially adopted formulae to value their with-profits guarantees, several offices are now using a Monte Carlo simulation approach for their realistic balance sheets. The Monte Carlo approach enables allowance to be made for management discretion in bonus and investment policy, as well as policyholder actions. However, in many cases it is possible to develop analytical formulae for cash flows approximating those payable under insurance contracts.The valuation formulae have implications for the hedging of embedded guarantees. The authors discuss the construction of hedges for financial risks in with-profits funds, the separate perspectives of policyholders and shareholders, possible funds in which to hold hedging instruments, limitations of capital market hedging tools and the effect of taxation on hedge effectiveness.

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Esteller-Moré, Alejandro, et Montserrat Eres-García. « A Note on Consistent Players’ Valuation ». Journal of Sports Economics 3, n^o 4 (novembre 2002) : 354–60. http://dx.doi.org/10.1177/152700202237500.

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Beer, Simone, et Alexander Braun. « Market-consistent valuation of natural catastrophe risk ». Journal of Banking & ; Finance 134 (janvier 2022) : 106350. http://dx.doi.org/10.1016/j.jbankfin.2021.106350.

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Macrina, Andrea, et Obeid Mahomed. « Consistent Valuation Across Curves Using Pricing Kernels ». Risks 6, n^o 1 (6 mars 2018) : 18. http://dx.doi.org/10.3390/risks6010018.

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Małkowska, Agnieszka, et Małgorzata Uhruska. « Towards Specialization or Extension ? Searching for Valuation Services Models Using Cluster Analysis ». Real Estate Management and Valuation 27, n^o 4 (1 décembre 2019) : 27–38. http://dx.doi.org/10.2478/remav-2019-0033.

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Abstract The paper delivers original data on specialization in property valuation services in Poland. Its aim is to identify relatively homogeneous groups of property appraisers taking into consideration the scope of services performed by them and the types of clients served. Based on the survey results, it was possible to indicate major models in property valuation services consistent with market applications, which allows us to verify the thesis on specialization in doing business in property valuation. The research strategy approach is twofold. Firstly, we have used the agglomerative cluster method to divide the types of valuation services and appraisers’ clients in order to find groups of similar valuation services and represent the main models of business in property appraisals. Secondly, we have applied the k-means partition methods to find relatively homogenous groups of respondents, taking into account the frequency of carrying out the particular types of valuations and clients served. As a result of our research, we present four clusters combining valuations and client types which reflect the models of property valuers’ professional activity, i.e: the market-oriented housing valuation model, market-oriented commercial valuation model, non-market-oriented judicial valuation model and non-market- oriented public valuation model. Research findings confirm the existence of three out of the four specialization clusters within the professional activity. We also extracted a group of appraisers operating on a broad scale, both when it comes to the types of services offered and clients served.

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Holland, Larry C. « Calculating a Consistent Terminal Value in Multistage Valuation Models ». Accounting and Finance Research 7, n^o 1 (29 octobre 2017) : 1. http://dx.doi.org/10.5430/afr.v7n1p1.

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Valuation analysis based on the present value of future cash flows often requires a multistage valuation model which includes a terminal value. An accurate calculation of the terminal value is very important, particularly if it represents a significant portion of the stock price. A typical analysis would include a finite forecast of cash flows for a five to ten-year period followed by a terminal value that represents all the cash flows thereafter. A common assumption is that the valuation cash flows beyond the finite horizon simply continue to grow at a lower long-term growth rate. The analysis in this paper demonstrates that such an assumption is rarely appropriate except under very restrictive assumptions, if consistent accounting relationships are maintained. Using dividends as the valuation cash flows in an example calculation, the dividend at the point that the growth rate declines is shown to increase by a step function rather than simply growing at a lower, mature growth rate. The size of the step function increase is then shown to change when the values of various key value drivers in the analysis are also allowed to change. Such value drivers include the EBIT margin, the asset intensity, and the relative level of debt. The step function increase in dividends can have a significant effect on the size of the terminal value and highlights the importance of maintaining consistent accounting relationships when forecasting future cash flows in a multistage valuation model.

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Azar, Samih Antoine. « LOSS AVERSION IS CONSISTENT WITH STOCK MARKET BEHAVIOR ». International Journal of Accounting & ; Finance Review 5, n^o 4 (25 novembre 2020) : 60–73. http://dx.doi.org/10.46281/ijafr.v5i4.893.

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The purpose of this paper is to verify that discrete statistical distributions of the US stock market are consistent with loss aversion. Loss aversion has the following tenets: an S-shaped valuation function, characterized by diminishing sensitivity, a loss aversion coefficient higher than +1, probability weighting, and reference-dependence. Diminishing sensitivity implies that the exponent of the valuation function is between 0 and +1. It is expected that this exponent be higher for losses. Probability weighting replaces objective with subjective probabilities. Loss aversion is indicated by a coefficient higher than +1 for the valuation of losses. There are three parameters: the two exponents of the valuation function, and the loss aversion coefficient. There is one non-linear equation: the certainty equivalence relation. The procedure is to fix two parameters and find the third parameter by solving the non-linear certainty equivalence equation, using the EXCEL spreadsheet. The program is repeated for more than one case about the fixed parameters, and by enriching the analysis with probability weighting. The calibrations executed point strongly to the conclusion that loss aversion is consistent with six discrete distributions of the first two moments of returns of the US stock markets. The calibration process provides for reasonable estimates of the key parameters of loss aversion. These estimates suggest a more pronounced diminishing sensitivity, and a higher than expected coefficient of loss aversion, especially when probability weighting is imposed.

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Knispel, Thomas, Gerhard Stahl et Stefan Weber. « From the Equivalence Principle to Market Consistent Valuation ». Jahresbericht der Deutschen Mathematiker-Vereinigung 113, n^o 3 (17 mai 2011) : 139–72. http://dx.doi.org/10.1365/s13291-011-0022-y.

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KOVACEVIC, RAIMUND M., et GEORG CH PFLUG. « ARE TIME CONSISTENT VALUATIONS INFORMATION MONOTONE ? » International Journal of Theoretical and Applied Finance 17, n^o 01 (février 2014) : 1450003. http://dx.doi.org/10.1142/s0219024914500034.

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Multi-period risk functionals assign a risk value to discrete-time stochastic processes. While convexity and monotonicity extend in straightforward manner from the single-period case, the role of information is more problematic in the multi-period situation. In this paper, we define multi-period functionals in such a way that the development of available information over time (expressed as a filtration) enters explicitly the definition of the functional. This allows to define and study the property of information monotonicity, i.e. monotonicity w.r.t. increasing filtrations. On the other hand, time consistency of valuations is a favorable property and it is well-known that this requirement essentially leads to compositions of conditional mappings. We demonstrate that generally spoken the intersection of time consistent and information monotone valuation functionals is rather sparse, although both classes alone are quite rich. In particular, the paper gives a necessary and sufficient condition for information monotonicity of additive compositions of positively homogeneous risk/acceptability mappings. Within the class of distortion functionals only compositions of expectation or essential infima are information monotone. Furthermore, we give a sufficient condition and examples for compositions of nonhomogeneous mappings exhibiting information monotonicity.

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Russell, Mark. « The valuation of pharmaceutical intangibles ». Journal of Intellectual Capital 17, n^o 3 (11 juillet 2016) : 484–506. http://dx.doi.org/10.1108/jic-10-2015-0090.

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Purpose – The purpose of this paper is to value the patents of pharmaceutical companies using discounted cash flows, and compare the value-relevance of these assets against alternative intangible asset measures such as reported intangible assets and R & D capital. Design/methodology/approach – The study values pharmaceutical intangibles using three methods: an income method; the sum of unamortised R & D expenditures; the firm’s reported intangible assets. Value-relevance tests use ordinary least squares regression and Vuong and Clarke tests. Findings – First, the study finds that the discounted cash-flow valuation of pharmaceutical patents is value-relevant. Second, the value of pharmaceutical patents explains market value better than reported intangible assets but not R & D capital. However, the valuation of pharmaceutical patents is more consistent with the risks of R & D than the valuation of R & D capital which assumes recovery of R & D expenditure. Originality/value – This is the first known study that values patents using an income method and compares those valuations with reported intangible assets and R & D capital valuation models.

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Thèses sur le sujet "Consistent valuation"

Liu, Qing. « A consistent framework for valuation under collateralization, credit risk and funding costs ». Thesis, Imperial College London, 2015. http://hdl.handle.net/10044/1/31877.

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We develop a consistent, arbitrage-free framework for valuing derivative trades with collateral, counterparty credit risk, and funding costs. This is achieved by modifying the payout cash-flows for the trade position. The framework is flexible enough to accommodate actual trading complexities such as asymmetric collateral and funding rates, replacement close-out, and rehypothecation of posted collateral. We show also how the traditional self-financing condition is adjusted to reflect the new market realities. The generalized valuation equation takes the form of a forward-backward SDE or semi-linear PDE. Nevertheless, it may be recast as a set of iterative equations which can be efficiently solved by our proposed least-squares Monte Carlo algorithm. We numerically implement the case of an equity option and show how its valuation changes when including the above effects. We also discuss the financial impact of the proposed valuation framework and of nonlinearity more generally. This is fourfold: Firstly, the valuation equation is only based on observable market rates, leaving the value of a derivatives transaction invariant to any theoretical risk-free rate. Secondly, the presence of funding costs and default close-out makes the valuation problem a recursive and nonlinear one. Thus, credit and funding risks are non-separable in general, and despite common practice in banks, the related CVA, DVA, and FVA cannot be treated as purely additive adjustments without running the risk of double counting. To quantify the valuation error that can be attributed to double counting, we introduce a nonlinearity valuation adjustment (NVA) and show that its magnitude can be significant under asymmetric funding rates and replacement close-out at default. Thirdly, as trading parties cannot observe each others liquidity policies nor their respective funding costs, the bilateral nature of a derivative price breaks down. Finally, valuation becomes aggregation-dependent and portfolio values cannot simply be added up. This has operational consequences for banks, calling for a holistic, consistent approach across trading desks and asset classes.

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Kang, Zhuang. « Illiquid Derivative Pricing and Equity Valuation under Interest Rate Risk ». University of Cincinnati / OhioLINK, 2010. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1282168157.

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ARDUCA, MARIA. « Measures of Risk : valuation and capital adequacy in illiquid markets, and systemic risk ». Doctoral thesis, Università degli Studi di Milano-Bicocca, 2021. http://hdl.handle.net/10281/307643.

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In questa tesi studiamo problemi di pricing e misure di rischio in mercati con frizioni, e misure di rischio sistemico. Il contesto è quello di mercati uniperiodali. Nel primo capitolo consideriamo un modello con costi di transazione convessi all'istante iniziale, vincoli convessi sui portafogli, e insieme di accettazione convesso che riflette le preferenze di un agente che agisce da compratore sul mercato. Definiamo l'insieme dei "prezzi consistenti" per ogni possbile payoff, dove con consistenti intendiamo sia rispetto al mercato, sia rispetto alle preferenze dell'agente. Mostriamo che l'estremo superiore di questo insieme coincide con il noto prezzo di superreplicazione, e in questo modo diamo un'interpretazione a quest ultimo al di là di quella classica nei problemi di hedging. Estendiamo il Teorema Fondamentale dell'Asset Pricing a un contesto dove gli "accordi accettabili" sostituiscono gli arbitraggi (cioè l'insieme di accettazione sostituisce il cono positivo), e i prezzi non sono lineari. Questo consente, sotto opportune ipotesi, di caratterizzare l'insieme dei prezzi consistenti di un payoff. Nel secondo capitolo, consideriamo un'economia astratta con costi di transazione sia all'istante iniziale sia a scadenza, e vincoli sui portafogli. Non assumiamo convessità a priori, anche se alcuni risultati valgono solo sotto opportune ipotesi di convessità. Un regolatore esterno fissa l'insieme di accettazione, cioè l'insieme delle possibili posizioni a scadenza di un agente che lui ritiene accettabili dal punto di vista della rischiosità. Definiamo requisiti di capitale che generalizzano le misure di rischio coerenti di Artzner, Delbaen, Eber e Heath (1999) in quanto rappresentano il minimo importo di capitale che l'agente deve investire sul mercato per reggiungere i requisiti di accettabilità. Il capitolo si propone di studiare le proprietà di queste misure di rischio generalizzate. In particolare, stabiliamo delle condizioni sui portafogli che assicurano che la misura di rischio sia semicontinua dal basso, e confrontiamo queste condizioni con le assunzioni del tipo "no accordi accettabili". Nel caso convesso e quasi convesso, forniamo anche una rappresentazione duale di questi funzionali. Nel terzo capitolo stabiliamo rappresentazioni duali di misure di rischio sistemico. Modelliamo le interazioni tra un numero finito di istituzioni attraverso una funzione di aggegazione, e assumiamo che un regolatore decida l'insieme di posizioni aggregate accettabili. Il rischio sistemico è misurato come il minimo quantitativo di capitale che deve essere inserito nel sistema (prima o dopo l'aggregazione) per far sì che la posizione aggregata sia accettabile. Lavoriamo dunque con misure di rischio sistemico sia del tipo "prima allocare, poi aggregare", sia "prima aggregare, poi allocare". In entrambi i casi forniamo un'analisi dettagliata del corrispondente insieme di accettazione sistemico e della sua funzione di supporto. Lo stesso approccio fornisce una semplice dimostrazione della rappresentazione duale di misure di rischio per posizioni univariate indotte da funzioni di utilità.
In this thesis, we study pricing and risk measures in markets with frictions, and systemic risk measures. All along the thesis, we focus on uniperiodal market models. In the first chapter, we consider a model with convex transaction costs at initial time, convex portfolio constraints and convex acceptance set that reflects the preferences of an agent who acts as a buyer in the market. We define the set of market consistent prices for every conceivable payoff, where consistent is meant with respect to the market and the preferences of the buyer. We show that the supremum of this set coincides with the well-known superreplication price, this giving to this functional an interpretation that goes beyond the classical hedging explanation. We develop an extension of the Fundamental Theorem of Asset Pricing in a context where arbitrages are replaced by acceptable deals (i.e. the positive cone is replaced by the acceptance set) and prices are not linear. This allows to characterize, under suitable assumptions, the set of market consistent prices of any payoff. In the second chapter, we consider an abstract economy with transaction costs both at initial time and at maturity, and portfolio constraints. We do not assume convexity a priori, tough some results hold only under convexity assumptions. An external regulator fixes the acceptance set, that is the set of possible agent's capital positions that he deems acceptable from a risk perspective. We define capital adequacy rules that generalize the coherent risk measures of Artzner, Delbaen, Eber and Heath (1999) in that they represent the minimum amount that the agent has to invest in the market in order to reach the acceptability requirements. The chapter aims to study the properties of these generalized risk measures. In particular, we establish conditions on the portfolios ensuring that they are lower semicontinuous, and we compare these conditions with no-acceptable deal type assumptions. In convex and quasi convex case, we also provide a dual representation of the functionals of interest. In the third chapter we establish dual representations of systemic risk measures. We model interactions among a finite number of institutions through an aggregation function, and we assume that a regulator fixes a set of acceptable aggregated positions. Systemic risk is estimated as the minimum amount of capital that has to be injected in the system (before or after aggregation) in order to make the aggregated position acceptable. Hence, we deal with systemic risk measures of both ``first allocate, then aggregate'' and ``first aggregate, then allocate'' type. In both cases, we provide a detailed analysis of the corresponding systemic acceptance sets and their support functions. Our general results cover some specific cases already studied in literature. The same approach delivers a simple and self-contained proof of the dual representation of utility-based risk measures for univariate positions.

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Berg, Isak, et Richard Stadig. « Market-consistent valuation of a pension product with guarantee in line with Solvency II : An applied case study to improve knowledge about how rationality and stressed conditions with respect to market- and insurance risk will impact the balance sheet ». Thesis, Umeå universitet, Institutionen för matematik och matematisk statistik, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-123141.

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Traditional pension products have today been replaced by products that are linked directly to the unit value of some kind of investment portfolio. These products contribute to more vulnerable situations for insurance companies in terms of uncertainties of future obligations. This master thesis aims to create a general valuation model in line with Solvency II regulation, which is able to value the best estimate of the insurance liability. The model will use a state model, stochastic scenario generator model and the Makeham function for estimating mortality intensity. An applied case study was conducted to evaluate how stressed market- and insurance conditions would impact the liability. Additional studies was performed to test how different degrees of rational behaviour among policyholders would impact the liability. The policyholder population was fictitious and consisted of 100 policyholders. The results illuminated that the degree of rationality had a relative significant impact on the insurance company's liability, as opposed of what impact trends in longevity had on the best estimate in a separated stress test. On the other hand, when stress testing market risk and trend in longevity at the same time, the non-linearity risk was relatively high. The results of this thesis indicated the importance of studying risks in a combined case and not only separately, and also that higher degree of rational behaviour among policyholders could lead to an increase in surrender of profit generated policyholders which in turn affected the insurance liability.

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Frederico, Sofia Gandiaga. « Avaliação de opções e garantias embutidas em seguros ligados a fundos de investimento ». Master's thesis, Instituto Superior de Economia e Gestão, 2011. http://hdl.handle.net/10400.5/3758.

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Mestrado em Ciências Actuariais
A avaliação de opções contratuais e garantias financeiras encontra-se no centro das atenções do sector segurador e tem despertado um forte interesse académico nos anos recentes. Tal decorre, por um lado, das tendências evolutivas ao nível dos seguros comercializados no ramo Vida, com características cada vez mais complexas e ligadas a uma vertente financeira e, por outro, do desenvolvimento de importantes projectos internacionais, tal como o Solvência II. Em linhas gerais, o presente trabalho visa estudar a aplicação da teoria das opções financeiras à avaliação de contratos de seguros ligados a fundos de investimento com determinadas opções contratuais e garantias financeiras, tendo por base o princípio de avaliação market-consistent. Para alcançar esse objectivo, uma parte importante da análise centra-se no processo de calibragem de modelos estocásticos para certos riscos de mercado, designadamente o risco de taxa de juro e o risco accionista, de forma o mais consistente possível com a informação disponível nos mercados financeiros, com o propósito de gerar cenários económicos futuros num ambiente neutro face ao risco. Posteriormente, o valor de certas garantias financeiras e da opção de resgate total de um contrato é determinado através da aplicação de metodologias baseadas na simulação de Monte Carlo.
The valuation of contractual options and financial guarantees is at the center of attention of the insurance sector and has drawn a strong academic interest in recent years. This is due, on one hand, to the evolutionary trends in Life insurance products, with features that are increasingly complex and connected to the financial market and, on the other hand, to the development of important international projects, such as Solvency II. In general, this paper aims to study the application of financial options theory to the valuation of unit-linked contracts with some contractual options and financial guarantees. The study is based on the principle of market-consistent valuation. To achieve this purpose, an important part of the analysis focuses on the calibration process of stochastic models for certain market risks, namely the interest rate risk and the equity risk, in a way as consistent as possible with the information available in the financial markets, with the aim of generating future economic scenarios in a risk-neutral world. Afterwards, the value of some financial guarantees and of the surrender option is determined by means of methodologies based on the Monte Carlo simulation method.

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Vieira, Mafalda Sofia Carreira. « Divulgação de informação sobre partes relacionadas e sua influência na valorização das empresas cotadas portuguesas ». Master's thesis, Instituto Superior de Economia e Gestão, 2017. http://hdl.handle.net/10400.5/15083.

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Mestrado em Contabilidade, Fiscalidade e Finanças Empresariais
O presente estudo tem como objetivos: (1) avaliar o nível de divulgação da informação relacionada com as transações com partes relacionadas das empresas portuguesas cotadas, através da criação de um Índice de Divulgação relativo não ponderado; (2) identificar os principais determinantes do nível de divulgação das empresas; e (3) verificar se o mercado valoriza a divulgação de informação sobre as transações com partes relacionadas. Relativamente ao nível de divulgação da informação e conformidade com os requisitos da IAS 24, é possível verificar que as empresas portuguesas cotadas apresentam um nível médio de divulgação de 78%. As principais transações realizadas com partes relacionadas são de natureza operacional (cerca de 71%), nomeadamente Vendas e Prestações de Serviços. Por sua vez, as transações classificadas como atividades de financiamento são as que apresentam um maior peso em termos de valor monetário (cerca de 65%). No que diz respeito aos determinantes da divulgação da informação, os resultados sugerem que as empresas portuguesas cotadas de maior dimensão e mais endividadas apresentam níveis de divulgação superiores. Por fim, não foi encontrada evidência de que o mercado valoriza as empresas que apresentam níveis de divulgação superiores, já que a relação entre a divulgação das transações com partes relacionadas e a valorização das empresas não se revelou estatisticamente significativa.
The present study as the aim of: (1) to assess the disclosure's level of information related to transactions with related parties of listed Portuguese companies, through the creation of an unweighted relative Disclosure Index; (2) identification of the main determinants of the corporate disclosure's level; and (3) to verification whether the market values the disclosure of information on transactions with related parties. In relation to the disclosure's level of information and compliance with the requirements of IAS 24, it is possible to verify that Portuguese listed companies have an average disclosure level of 78%. The main transactions with related parties have operational nature (about 71%), namely Sales and Services. In turn, transactions classified as financing activities are the ones that carry a greater weight in terms of monetary value (about 65%). Regarding the determinants of disclosure, the results suggest that larger and more indebted listed Portuguese companies show higher levels of disclosure. Finally, there was no evidence that market values companies with higher levels of disclosure, since the relationship between the disclosure of transactions with related parties and the valuation of companies was not statistically significant.
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RUSSO, Vincenzo. « Pricing and managing life insurance risks ». Doctoral thesis, Università degli studi di Bergamo, 2012. http://hdl.handle.net/10446/26710.

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The aim of this thesis is to investigate about the quantitative models used for pricing and managing life insurance risks. It was done analyzing the existing literature about methods and models used in the insurance field in order to developing (1) new stochastic models for longevity and mortality risks and (2) new pricing functions for life insurance policies and options embedded in such contracts. The motivations for this research are to be searched essentially in: (1) a new risk-based solvency framework for the insurance industry, the so-called Solvency II project, that will becomes effective in 2013/2014; (2) a new IAS/IFRS fair value-based accounting for insurance contracts, the so-called IFRS 4 (Phase 2) project (to be approval); (3) more rigorous quantitative analysis required by the industry in pricing and risk management of life insurance risks. The first part of the thesis (first and second chapters) contains a review of the quantitative models used for interest rates and longevity/mortality modeling. The second part (remaining chapters) describes new methods and quantitative models that it thinks could be useful in the context of pricing and insurance risk management.

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Zheng, Chong. « Market-consistent valuation and risk management of guaranteed annuity options ». Thesis, 2012. http://hdl.handle.net/10539/11240.

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The aim of the research is to develop a method and tools that facilitate the market-consistent valuation of a hypothetical portfolio of guaranteed-annuity options (GAOs). The fund underlying the GAOs carries a guaranteed minimum rate of return. This is accomplished by the construction of a stochastic economic-scenario generator. As an illustration, this scenario generator is calibrated to the South African market conditions as at the end of December 2007, although the same principles can be applied to all markets. The proposed model uses a one-factor Black-Karasinski interest-rate model and a Black-Scholes equity model. Further to this, a suitable hedge for this GAO portfolio against the main market risks (interest rates and equity returns) is sought. This research aims to evaluate a series of potential hedges and investigates the advantages and disadvantages of each. The sensivity of the GAO portfolio to improvements in future mortality is also investigated.

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Peixoto, Luciana Catarina Azevedo. « Estudo de adaptação da escala de afectos do método de autoconfrontação de Hermans à população portuguesa ». Master's thesis, 2009. http://hdl.handle.net/1822/9806.

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Dissertação de Mestrado em Psicologia - Área de Conhecimento em Psicologia Clínica
O método de autoconfrontação (MAC) compreende a classificação, através de uma grelha de afectos, de cada experiência significativa (valoração) escolhida pelo indivíduo, para caracterizar a sua autonarrativa. Deste método resulta numa matriz em que cada valoração se associa a um determinado padrão afectivo. Neste estudo foi utilizada uma matriz de afectos composta por 30 termos afectivos, baseada nos procedimentos gerais do MAC, com o objectivo de analisar a validade de constructo da grelha de afectos utilizada, bem como analisar a consistência interna dos seus itens (termos de afectos) que constituem cada um dos factores. Desta forma, recorreu-se a uma análise factorial exploratória para analisar e determinar a validade do constructo. A amostra utilizada é composta por uma população universitária de 387 sujeitos, com idades compreendidas entre os 18 e 67 anos de idade. Após a análise factorial da escala de 30 afectos os resultados convergiram em 4 factores – S/P, O, P/N (factor de bem estar e sentimentos disfóricos) e N (afectos ansiógenos) – ou seja, houve uma divisão do factor N em afectos de carácter mais disfórico e ansiógeno. Realizou-se ainda uma análise da consistência interna de cada escala, confirmando-se que a divisão original efectuada pela teoria da valoração resulta em escalas coesas. Estes resultados contribuem para uma clarificação dos resultados obtidos na população Portuguesa.
The self-confrontation method (SCM) comprehends the classification, trough an affects grid, of each significant experience (valuation) chosen by the individual, to characterize its self-narrative. From this method results a matrix in each valuation is associated to a determined affective pattern. In this study was used an affects matrix composed by 30 affective terms, based in the general procedures of SCM, with the objective to analyze the used affects grid concept validity, as well as analyze its items internal consistence (affects terms) which constitutes each one of the factors. In this way, it was used an exploratory factorial analysis to analyze and determine the concept validity. The sample used its composed by an university population of 387 subjects, with ages between 18 and 67 years old. After the factorial analysis of the 30 affects scale, the results converged into 4 factors – S/P, O, P/N (well being and dysphoria feelings factor) and N (anxiety affects) – meaning, there was a division of the N factor in dysphoria and anxiety affects. It was made an internal consistence analysis of each scale, confirming that the original division effectuated by the valuation theory results in coherent scales. These results contribute for a clarification of the results obtained in the Portuguese population.

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Van, Biljon Marilene. « An application guideline for the fair value accounting of biological assets ». Thesis, 2016. http://hdl.handle.net/10500/21598.

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Reporting in terms of the principles of IAS 41, or equivalent, did not result in comparable financial results in the industry. This is mainly due to valuation challenges experienced and the significant costs of these valuations, contributing to the theoretical gap addressed in this study, where the cognitive theory was applied to determine how to improve the consistency, validity and reliability of the fair valuing of biological assets. The knowledge gap is a result of the inconsistent application of the requirements of IAS 41 which results in incomparable financial results which impairs the decision-making of the users of such information. The results of the study were analysed and contextualised to develop an application guideline to assist the financial statement compilers to present results to users that will enhance their decision-making. This guideline is the result of an investigation on the industry trend and standards on how to value, disclose and report on biological assets in the annual reports; an assessment of the valuation challenges experienced, the valuation factors considered and the frequency thereof; an analysis of the valuation inputs applied and a contextualisation of the various users’ expectations when these financial results are assessed. Such assessment included an inductive content analysis, further grounded theory contextualisation and grouping of the results into a guideline that was tested on various users to ensure the usefulness and validity thereof. The purpose of the study and the developed guideline is to determine how to improve the consistency, the validity and the reliability of the fair valuing of biological assets to derive at informing, comparable, decision-enhancing balances in a cost efficient manner when detailed information is presented.
Centre for Accounting Studies
D. Phil. (Accounting Sciences)

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Livres sur le sujet "Consistent valuation"

Wüthrich, Mario V., Hans Bühlmann et Hansjörg Furrer. Market-Consistent Actuarial Valuation. Berlin, Heidelberg : Springer Berlin Heidelberg, 2010. http://dx.doi.org/10.1007/978-3-642-14852-1.

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Wüthrich, Mario V. Market-Consistent Actuarial Valuation. Cham : Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-46636-1.

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Hans, Bühlmann, et Furrer Hansjörg, dir. Market-consistent actuarial valuation. 2^e éd. Berlin : Springer, 2010.

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Taggart, Robert A. Consistent valuation and cost of capital expressions with corporate and personal taxes. Cambridge, MA : National Bureau of Economic Research, 1989.

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Diamond, Peter A. Testing the internal consistency of contingent valuation surveys. Cambridge, Mass : Dept. of Economics, Massachusetts Institute of Technology, 1993.

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Garrod, Guy. Contingent valuation techniques : A review of their unbiasedness, efficiency and consistency. Newcastle upon Tyne : Countryside Change Unit, Dept. of Agricultural Economics & Food Marketing, University of Newcastle upon Tyne, 1990.

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Bateman, I. J. Consistency between contingent valuation estimates : A comparison of two studies of UK national parks. Newcastle upon Tyne : Countryside Change Unit, Dept. of Agricultural Economics & Food Marketing, University of Newcastle upon Tyne, 1993.

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Market-Consistent Actuarial Valuation. Berlin, Heidelberg : Springer Berlin Heidelberg, 2008. http://dx.doi.org/10.1007/978-3-540-73643-1.

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Market-Consistent Actuarial Valuation. Springer, 2016.

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Chapitres de livres sur le sujet "Consistent valuation"

Wüthrich, Mario V. « Introduction ». Dans Market-Consistent Actuarial Valuation, 1–7. Cham : Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-46636-1_1.

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Wüthrich, Mario V. « Stochastic Discounting ». Dans Market-Consistent Actuarial Valuation, 9–43. Cham : Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-46636-1_2.

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Wüthrich, Mario V. « The Valuation Portfolio in Life Insurance ». Dans Market-Consistent Actuarial Valuation, 45–72. Cham : Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-46636-1_3.

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Wüthrich, Mario V. « Financial Risks and Solvency ». Dans Market-Consistent Actuarial Valuation, 73–89. Cham : Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-46636-1_4.

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Wüthrich, Mario V. « The Valuation Portfolio in Non-life Insurance ». Dans Market-Consistent Actuarial Valuation, 91–130. Cham : Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-46636-1_5.

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Wüthrich, Mario V., Hans Bühlmann et Hansjörg Furrer. « Introduction ». Dans Market-Consistent Actuarial Valuation, 1–7. Berlin, Heidelberg : Springer Berlin Heidelberg, 2010. http://dx.doi.org/10.1007/978-3-642-14852-1_1.

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Wüthrich, Mario V., Hans Bühlmann et Hansjörg Furrer. « Stochastic discounting ». Dans Market-Consistent Actuarial Valuation, 9–42. Berlin, Heidelberg : Springer Berlin Heidelberg, 2010. http://dx.doi.org/10.1007/978-3-642-14852-1_2.

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Wüthrich, Mario V., Hans Bühlmann et Hansjörg Furrer. « Valuation portfolio in life insurance ». Dans Market-Consistent Actuarial Valuation, 43–68. Berlin, Heidelberg : Springer Berlin Heidelberg, 2010. http://dx.doi.org/10.1007/978-3-642-14852-1_3.

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Wüthrich, Mario V., Hans Bühlmann et Hansjörg Furrer. « Financial risks ». Dans Market-Consistent Actuarial Valuation, 69–87. Berlin, Heidelberg : Springer Berlin Heidelberg, 2010. http://dx.doi.org/10.1007/978-3-642-14852-1_4.

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Wüthrich, Mario V., Hans Bühlmann et Hansjörg Furrer. « Valuation portfolio in non-life insurance ». Dans Market-Consistent Actuarial Valuation, 89–137. Berlin, Heidelberg : Springer Berlin Heidelberg, 2010. http://dx.doi.org/10.1007/978-3-642-14852-1_5.

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Actes de conférences sur le sujet "Consistent valuation"

Maes, Marc A., Michael H. Faber et Sherif S. Abdelatif. « Consequence and Utility Modeling in Rational Decision Making ». Dans ASME 2004 23rd International Conference on Offshore Mechanics and Arctic Engineering. ASMEDC, 2004. http://dx.doi.org/10.1115/omae2004-51511.

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Offshore design and risk assessment are typically marked by far-reaching choices and important one-time decisions. Decision analysis involving large structures, sensitive environments, and difficult operations, requires a very careful formulation of utility and consequences. It is shown in this paper that one of the most important shortcomings of such analyses stems from an incomplete definition of the system, and from the failure to include various “follow-up” consequences. “Follow-up” consequences are, generally speaking, triggered by extreme losses, such as excessive business losses, consequences from unexpected cascade effects, collateral and indirect losses, or other intangible losses. The non-inclusion of such losses occurs either voluntarily or involuntarily. Often the identification and the valuation of follow-up consequences can be prohibitively difficult. For such cases, it is possible to use a simple model based on risk aversion to the consequences associated with extreme discrete hazards during the lifetime of a system. This model is developed in the framework of a lifecycle utility optimization. To add practical value to this model, we also introduce the concept of a Bayesian updating of utility functions. Since utility functions are all about expressing the preferences of expert decision makers, we refer to the Bayesian parameters as “preference” parameters. The paper shows that the approaches developed lead to better and more risk-consistent decision making. An illustrative example is given in the paper, highlighting the significance of the findings.

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« Consistency and Comparability of International Property Valuations ». Dans 20th Annual European Real Estate Society Conference : ERES Conference 2013. ÖKK-Editions, Vienna, 2013. http://dx.doi.org/10.15396/eres2013_7.

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Morales, Enrique, et John W. Lee. « Proved Reserves Revisions : How Reliable are They ? » Dans SPE Annual Technical Conference and Exhibition. SPE, 2022. http://dx.doi.org/10.2118/210476-ms.

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Abstract This paper presents a quantitative approach, using disclosed annual revisions of proved reserves, to judge the reasonable certainty of the underlying proved reserves. We identified issues that affect proper categorization of annual reserves changes in a previous SPE publication (SPE 209695) and incorporated them in this paper to quantify the technical revisions of disclosed proved reserves (and their reasonable certainty) during the period 2010 to 2020. Both over- and under-stated certainty of reserves estimates can impact a company's relative valuation, asset impairment, internal depreciation, profit/loss, standardized measure, unit development costs, and other indicators based on proved reserves. We analyzed 141 companies and extracted annual proved reserves changes disclosed from 2010 to 2020 in their SEC 10-K and 20-F forms or from comment letters for total, developed, and undeveloped reserves (in barrels of oil equivalent). As described in SPE 209695, we excluded, when available, (1) the impact due to changes in commodity prices and (2) other factors that distort the estimated technical revisions. We present, with examples based on actual data, the importance of separately analyzing developed and undeveloped proved reserves and the key drivers of the significant differences in average annual revisions between them. If these drivers are not carefully considered, results will lead to incorrect conclusions. Of the 141 companies analyzed, only 70 provided disclosures for five or more consecutive years of revisions for their total and undeveloped reserves during the 2010 to 2020 period. Of these, only 31 (or 22% of the 141) also disclosed revisions due to price changes in their total and undeveloped reserves. Other non-technical revisions are also required to estimate the technical revisions and judge the reasonable certainty of the disclosed developed and undeveloped reserves. However, the number of companies providing sufficient information to estimate technical revisions decreased to only 27 (or 19% of the 141) when we also considered the issues raised in our previous publication. Results indicate that, for many companies that provide the information required for proper analysis, the certainty level of their disclosed developed and undeveloped proved reserves can be significantly different, and appears to be much lower than the reasonable certainty, or high degree of confidence, required for proved developed and undeveloped reserves quantities, pointing towards an apparent over-estimation of historically disclosed proved reserves for many companies. We also highlight the issues that may still affect the estimated technical revisions, which may limit the validity of any conclusions drawn using the disclosed information. Our analysis shows the dubious quality and lack of reliability and consistency of some proved reserves revisions disclosed and highlights the limited value of current practices in disclosures of revisions in annual proved reserves. We provide evidence that call for FASB and/or SEC to provide complementary guidance in critical areas that currently limit the value and reliability of revisions to proved reserves disclosed.

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Rapports d'organisations sur le sujet "Consistent valuation"

Taggart, Robert. Consistent Valuation and Cost of Capital Expressions with Corporate and Personal TAxes. Cambridge, MA : National Bureau of Economic Research, août 1989. http://dx.doi.org/10.3386/w3074.

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