Thèses sur le sujet « Dynamical balance sheet model »
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1
Vernon, Christopher L. « Surface mass balance model intercomparison for the Greenland ice sheet ». Thesis, University of Bristol, 2013. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.633454.
Texte intégralRésumé :
our simulations of the surface mass balance (SMB) of the Greenland ice sheet (GrIS) are compared over the period 1960-2008. Three use a regional climate model to downscale ECMWF reanalysis (ERA-40) and operational analysis data, while the fourth uses the same inputs but an empirical downscaling approach and melt model. These reconstructions have been used in a variety of applications but prior to this study little was known about their consistency with each other and the impact of the downscaling method on the result. The reconstructions are compared to assess the consistency in regional, seasonal and integrated 5MB components and evaluated against a suite of observational data. Three key areas of difference between the models have been identified. Firstly differences in how the ERA-40 reanalysis data are downscaled by the models. Secondly differences in how the 5MB components are calculated. And thirdly differences in the domain, the ice sheet mask used. Total 5MB estimates for the GrIS are in agreement within 34% of the four-model average when a common ice sheet mask is used. When models' native land/ice/sea masks are used this spread increases to 57%. The components of 5MB, with the exception of refreeze, show a similar level of agreement once a common mask is used. Previously noted differences in the models I estimates are partially explained by ice sheet mask differences. Agreement is higher (18% spread) in the accumulation area than the ablation area (38% spread) suggesting relatively high uncertainty in the estimation of ablation processes. Regionally there is less agreement, suggesting spatially compensating errors improve the integrated estimates. Modelled 5MB estimates are compared with in situ observations, gravimetric observations from GRACE and altimetry observations from ICESat. Through the use of a surface density and firn compaction model individual components of 5MB are, indirectly, able to be evaluated against altimetry observation.
2
Fettweis, Xavier. « Reconstruction of the 1979-2005 Greenland ice sheet surface mass balance using satellite data and the regional climate model MAR ». Université catholique de Louvain, 2006. http://edoc.bib.ucl.ac.be:81/ETD-db/collection/available/BelnUcetd-08162006-183525/.
Texte intégralRésumé :
In order to improve our knowledge on the current state and variability of the Greenland ice sheet surface mass balance (SMB), a 27-year simulation (1979-2005) has been performed with the coupled atmosphere-snow regional model MAR. This simulation reveals an increase in the main factors of the SMB which are, on the one hand, the snowfall (+ 1.6 ± 1.8 km3 yr-1) in winter and on the other hand, the run-off (+ 4.2 ± 1.9 km3 yr-1) in summer. The net effect of these two competing factors leads to a SMB loss rate of – 2.7 ± 3.0 km3 yr-1, which has a significance of 87%. The melt extent derived from the passive microwave satellite data since 1979 also shows this trend. The melt water supply has increased because the Greenland ice sheet has been warming up by + 0.09 ± 0.04 °C yr-1 since 1979. This warming comes from a uniform increase of downward infra-red radiation which can not be explained by the natural variability. These changes result very likely from the global warming induced by human activities. As a result, it seems that: i) increased melting dominates over increased accumulation in a warming scenario, ii) the Greenland ice sheet has been significantly losing mass since the beginning of the 1980's by an increasing melt water run-off as well as by a probable increase of iceberg discharge into the ocean due to the "Zwally effect" (the melt water-induced ice sheet flow acceleration) and iii) the Greenland ice sheet is projected to continue to lose mass in the future. The Greenland ice sheet melting could have an effect on the stability of the thermohaline circulation (THC) and the global sea level rise. On the one hand, increases in the freshwater flux from the Greenland ice sheet (glacier discharge and run-off) could perturb the THC by reducing the density contrast driving it. On the other hand, the melting of the whole Greenland ice sheet would account for a global mean sea level rise of 7.4 m.
3
Bemmann, Martin. « Entwicklung und Validierung eines stochastischen Simulationsmodells für die Prognose von Unternehmensinsolvenzen ». Doctoral thesis, Saechsische Landesbibliothek- Staats- und Universitaetsbibliothek Dresden, 2007. http://nbn-resolving.de/urn:nbn:de:swb:14-1187993769212-59699.
Texte intégralRésumé :
Die zentralen Fragestellungen der Arbeit sind, wie die Insolvenzwahrscheinlichkeiten von Unternehmen prognostiziert und wie sie durch zielgerichtetes Handeln beeinflusst werden können. Hierzu gibt der Autor zunächst einen ausführlichen Überblick über die derzeit in Wissenschaft und Praxis verwendeten Ansätze zur Prognose von Unternehmensinsolvenzen, Schätzgütemaßen von Insolvenzprognosen sowie Datenquellen, die für die Prognose von Unternehmensinsolvenzen zur Verfügung stehen. Anschließend entwickelt er ein kausales Unternehmensmodell, das er mit stochastischen Simulationsverfahren analysiert. Das Modell wird validiert und mit Benchmarkverfahren verglichen. Abschließend zeigt der Autor, wie das Modell zur Ableitung von Handlungsempfehlungen zur Beeinflussung der individuellen Insolvenzwahrscheinlichkeit von Unternehmen herangezogen werden kann.
4
Bemmann, Martin. « Entwicklung und Validierung eines stochastischen Simulationsmodells für die Prognose von Unternehmensinsolvenzen ». Doctoral thesis, Technische Universität Dresden, 2006. https://tud.qucosa.de/id/qucosa%3A24796.
Texte intégralRésumé :
Die zentralen Fragestellungen der Arbeit sind, wie die Insolvenzwahrscheinlichkeiten von Unternehmen prognostiziert und wie sie durch zielgerichtetes Handeln beeinflusst werden können. Hierzu gibt der Autor zunächst einen ausführlichen Überblick über die derzeit in Wissenschaft und Praxis verwendeten Ansätze zur Prognose von Unternehmensinsolvenzen, Schätzgütemaßen von Insolvenzprognosen sowie Datenquellen, die für die Prognose von Unternehmensinsolvenzen zur Verfügung stehen. Anschließend entwickelt er ein kausales Unternehmensmodell, das er mit stochastischen Simulationsverfahren analysiert. Das Modell wird validiert und mit Benchmarkverfahren verglichen. Abschließend zeigt der Autor, wie das Modell zur Ableitung von Handlungsempfehlungen zur Beeinflussung der individuellen Insolvenzwahrscheinlichkeit von Unternehmen herangezogen werden kann.
5
de, Sauvage Vercour Héloïse. « Analysis and comparison of capital allocation techniques in an insurance context ». Thesis, KTH, Matematisk statistik, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-122863.
Texte intégralRésumé :
Companiesissuing insurance cover, in return for insurance premiums, face the payments ofclaims occurring according to a loss distribution. Hence, capital must be heldby the companies so that they can guarantee the fulfilment of the claims ofeach line of insurance. The increased incidence of insurance insolvencymotivates the birth of new legislations as the European Solvency II Directive.Companies have to determine the required amount of capital and the optimalcapital allocation across the different lines of insurance in order to keep therisk of insolvency at an adequate level. The capital allocation problem may betreated in different ways, starting from the insurance company balance sheet.Here, the running process and efficiency of four methods are evaluated andcompared so as to point out the characteristics of each of the methods. TheValue-at-Risk technique is straightforward and can be easily generated for anyloss distribution. The insolvency put option principle is easily implementableand is sensitive to the degree of default. The capital asset pricing model isone of the oldest reliable methods and still provides very helpful intermediateresults. The Myers and Read marginal capital allocation approach encouragesdiversification and introduces the concept of default value. Applications ofthe four methods to some fictive and real insurance companies are provided. Thethesis further analyses the sensitivity of those methods to changes in the economiccontext and comments how insurance companies can anticipate those changes.
6
Sedláčková, Andrea. « Tvorba modelu finančního řízení subdodávek v rámci stavební zakázky s vlivem na hospodaření stavebního podniku ». Master's thesis, Vysoké učení technické v Brně. Fakulta stavební, 2015. http://www.nusl.cz/ntk/nusl-227434.
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This thesis deals with the issue of subcontracting model of financial management and its impact on the economy of the construction enterprise. The aim of this work is to set up management of the building contract from the financial management of subcontracts with influence on the overall management of construction enterprise. The output of this work is a model that will point to the financial management of construction contracts regard to the management of construction enterprise.
7
Byrtusová, Lucie. « Podnikatelský plan pro založení cateringové firmy ». Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2017. http://www.nusl.cz/ntk/nusl-319171.
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The thesis deals with the elaboration of a business plan for setting up a catering company. In the theoretical part is described the theoretical starting points, which is further used to develop the business plan. The practical part is an analysis of the current market situation, business plan and financial plan.
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Milic, Katarina, et Rebecka Pettersson. « IFRS 15 Intäkter från avtal med kunder : En undersökning om hur företagens affärsmodeller påverkar intäktsredovisningen under IFRS 15 ». Thesis, Södertörns högskola, Institutionen för samhällsvetenskaper, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-39230.
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In the late 1990s and early 2000s several revenue recognition scandals arose, which led to a discussion about the need for a new principle-based standard with a balance sheet-based approach for revenue recognition. On 1st of January 2018 IFRS 15 Revenue from Contracts with Customers became effective and replaced all previous revenue recognition standards and interpretations. All companies are expected to be affected regarding when and how much the company reports its revenue, though the scope may vary from one company to another. This study aims to investigate how the application of IFRS 15 has impacted companies based on the business models they apply in their customer agreements. To operationalize the purpose of the study a quantitative method was adopted to gather the empirical data, which have been obtained from the companies’ annual reports. An enumeration was implemented, why all listed companies on Nasdaq Stockholm which are required to implement IFRS 15 have been studied. The results indicate that a minority of the companies have showed an impact and most of the companies have not been impacted after an implementation of the new revenue recognition standard. The study has identified that the reason why companies are affected by IFRS 15 depends on the business models’ companies apply in their customer agreements. The minority of companies that have been affected by IFRS 15 are the ones which have developed business models that includes complex customer contracts, i.e. customer contracts consisting of complex commitments and promises of goods and services to customers. Accordingly, the majority of the studied companies uses business models with non-complex customer contracts in their customer agreements, e.g. simple sale of only one good, hence their revenue recognition under IFRS 15 does not differ from previous accounting standards.
9
Malinová, Lenka. « Hodnocení výkonnosti podniku ». Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2012. http://www.nusl.cz/ntk/nusl-223742.
Texte intégralRésumé :
Diplomová práce se věnuje hodnocení výkonnosti podniku v letech 2007-2011. Za použití různých metod analýzy firmy a vhodných metod finanční analýzy je hodnocena výkonnost a finanční zdraví podniku. Výsledkem práce bude návrh možného postupu pro budoucí strategii.
10
Křemečková, Tereza. « Ekonomická a strategická analýza Vinařství LAHOFER, a.s a návrhy na zlepšení zjištěného stavu ». Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2016. http://www.nusl.cz/ntk/nusl-241318.
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This Diploma´s thesis deals with complete analysis of company Vinařství LAHOFER, a.s. The thesis includes analyses of SLEPTE, Porter ´s five forces model, fundamental analysis, Kralicek ´s Quick test, chosen indexes of finance analysis and SWOT analysis. On the basis of these analyses have been processed some suggested recommendations, which could improve the current situation of the company.
11
Žabka, Michal. « Hodnocení ekonomické situace zvolené korporace (soukromoprávní nebo veřejněprávní) pomocí vybraných metod a návrhy na její zlepšení ». Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2021. http://www.nusl.cz/ntk/nusl-443004.
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This diploma thesis deals with the evaluation of the economic situation of the selected corporation and provides suggestions for its improvement. The first part of the thesis describes the theoretical basis of individual analyzes, which serve as a theoretical basis. In the second part of the work, the characteristics of the selected subject are given and according to the findings from the theoretical part, several analyzes examining the current state are performed. In the third part, based on the results of individual analyzes, suggestions are made to improve the identified situation of the company.
12
Omelková, Jitka. « Analýza firmy pomocí vybraných metod ». Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2012. http://www.nusl.cz/ntk/nusl-223333.
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The goal of this diploma thesis is to suggest effective action steps targeting the enhancement of current situation within a company with the help of analysis of both its internal and external environment. Fundamental analysis, SLEPTE analysis, Porter's model and SWOT analysis were used. Each application is preceded by theoretical introduction into the essence of the applied analytical model.
13
Šťastná, Nikola. « Hodnocení ekonomické situace zvolené korporace ». Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2021. http://www.nusl.cz/ntk/nusl-444219.
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The diploma thesis deals with the evaluation of selected corporations and proposals for solving their current situation. The first part of the thesis explains the basic concepts and methods of use in the analytical part of the work. The second part of the thesis presents the characteristics of the selected subject and proven individual analyzes. In the last part, based on the proven analysis, proposals are made to improve the processed situation of the company.
14
Soušková, Šárka. « Analýza vybraného podniktelského subjektu pomocí vybraných metod ». Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2015. http://www.nusl.cz/ntk/nusl-224920.
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This Master´s Thesis is focused on the analysis of the company PSG – International a.s. that operates in the construction, energy and petrochemicals in the Czech Republic and abroad. Based on the selected methods – Fundamental analysis, SLEPTE analysis, Porter´model and SWOT analysis, was performed a detailed analysis of the company. Based on the findings I present appropriate recommendations to improve performance, efficiency and financial situation of the analysed company.
15
Teinerová, Marcela. « Hodnocení ekonomické situace zvolené korporace a návrhy na její zlepšení ». Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2020. http://www.nusl.cz/ntk/nusl-417405.
Texte intégralRésumé :
This diploma thesis deals with the evaluation of a selected corporation and proposals for its solution. The first part of the thesis describes the theoretical basis of individual analyses and this part serves as a theoretical basis for their processing. In the second part of the work, the characteristic of the selected subject is given and according to the knowledge from the theoretical part, several analyses examining the current state are performed. Based on the results of the analyses, there are developed proposals which lead to improving the financial situation of the company.
16
Kovácsová, Lea. « Analýza "Water Element, s.r.o." pomocí vybraných metod ». Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2015. http://www.nusl.cz/ntk/nusl-225050.
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This Master's thesis is focused on the analysis of the trading company Water Element ltd. The aim of my thesis is to analyze this company and propose appropriate solution for improving company's market situation and company's efficiency. Analysis used in this thesis are internal and external environment analysis, SLEPTE analysis, fundamental and financial analysis, Porter's model and finally SWOT analysis. Thesis begins with theoretical section, where the applied analysis are described. This section is followed by practical part and the thesis results are proposals to improve the overall situation of trading company Water Element ltd.
17
GENTILI, Luca. « A New Mathematical Framework for the Balance Sheet Dynamic Modeling applied to CFaR and LaR ». Doctoral thesis, 2017. http://hdl.handle.net/11562/959681.
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In this thesis we intend to introduce a new theoretical framework that will allow us to define a new set of balance sheet mathematical models. In the first chapter after a historical introduction about the long and close relationship between mathematics and accounting we will focus on the in depth mathematical analysis, present in literature, of the double-entry book-keeping tool. To this day the double entry bookkeeping system can be considered as the reference mathematical theoretical framework of the accounting practice and thinking. The result of this analysis, combined with the results already present in literature about the dynamic representation of the balance sheet through first order finite difference linear systems, will enable us to introduce a new idea relating to a vector specifically built to describe the link between a single accounting item and the liquidity. We called it brick-vector since we can build a balance sheet model merging into an algebraic system the brick-vectors of all the accounting items chosen for our modelization. In order to start applying this class of models we close the first chapter presenting an averaging procedure (based on the concept of functional mean according to Chisini) that allows us to reduce the impact of the inevitably high number of variables that a balance sheet model time series brings with itself. In the second chapter we intend to show some of the possibilities offered by the brick vector formalization applying it to the problem of the cash flow risk assessment. Firstly we present a medium firm balance sheet model and we explore its closed form solution. Then we perform on the model our Chisini averaging procedure during which we present its relative mathematical shape. Finally after the introduction of a sensitivity analysis, in order to show some of the descriptive capabilities of the model, we apply it to the problem of cash flow risk assessment. We present the approaches proposed so far toward the issue of the computation of CFaR (Cash Flow at Risk) and then we propose our new methodology. It has the goal to overcome some of the main shortcomings of the previous approaches through the creation of a link between the accounting data, summarizing the firm’s business structure, and some macroeconomic drivers of particular importance. We end the chapter presenting a case study relating to Alitalia airlines where we apply the model to its balance sheet data and we perform our CFaR evaluation. In the third chapter we intend to keep on exploring the potential of the brick vector formalization applying it to the problem of the liquidity risk assessment in the banking sector. After an introduction to the issue of liquidity risk as well as that of the bank’s balance sheet modeling we present a commercial bank balance sheet model. Then we show its closed form solution and we perform our averaging procedure. We display the commercial bank balance sheet model evolution through a simulation aiming to portray the behavior of medium sized Italian commercial bank. Finally we discuss the problem of the liquidity risk assessment and we propose a new liquidity risk measure, tailored on the issue of funding liquidity, which is based on the CFaR methodology presented in the previous chapter. We called this new measure FLaR (Funding Liquidity at Risk) and through its medium-term time perspective it is meant to complement the role performed by the LaR (Liquidity at Risk) instrument in a short-term temporal perspective. We close the chapter presenting some future possible developments in the application of the brick vector framework to the liquidity risk assessment issue. Finally we conclude our thesis reviewing its content in relation to its goal to try to bridge the gap between the accounting field and other research areas of the economic science as well as the world of economic theory with that of economic practice.
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Steen, Robert Samuel. « An asynchronously coupled continental ice sheet/energy balance/climate model ». Thesis, 1996. http://hdl.handle.net/1911/17056.
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The climate system exhibits behavior on a wide range of time and spatial scales. Computer models that simulate climate must be faithful to these matters of scale in order to achieve meaningful results. This study involves the consolidation of two models: a model that simulates the seasonal fluctuations of the atmosphere and ocean with a time constant of one day and a continental ice sheet model designed to simulate the behavior of ice sheets over tens of thousands of years. These models are asynchronously coupled in both time and space because computational requirements limit the minimum grid size and time step size. Experiments are presented which examine the long time constant of the continental ice sheet and the fast approach to quasi-equilibrium of the seasonal model. Simulations of present day conditions from the combined model are compared with climate observations and simulations of other climate models.
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Lin, Kuan-Ting, et 林冠廷. « Empirical Study of Financial Distress Prediction Model─Considering Off-Balance Sheet Factor ». Thesis, 2018. http://ndltd.ncl.edu.tw/handle/enz6pu.
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碩士國立臺灣大學
國際企業學研究所
106
This paper uses the data of listed companies or over-the-counter companies in Taiwan’s textile industry from year 2011 to year 2017 to build financial distress prediction model, and tries to examine whether adding the off-balance sheet factor into the prediction model can improve the prediction ability or not. This paper set two kinds of factor to evaluate off-balance sheet risk: “derivative contracts ratio” (DER), which is a quantitative variable, and “use derivatives or not” (HED), which is a qualitative variable or dummy variable, to build three different kinds of model. After that, this paper uses the data from year 2011 to year 2016 to perform the in-sample test, and use the data in year 2017 to perform the out-of-sample test: Model I: finance variables ＋ corporate governance variables ＋ macroeconomics variables Model II: finance variables ＋ corporate governance variables ＋ macroeconomics variables ＋ DER Model III: finance variables ＋ corporate governance variables ＋ macroeconomics variables ＋ HED According to the empirical study, although Model I has 99% prediction accuracy of in-sample test, and 98% prediction accuracy of out-of-sample test, Model II and Model III, which consider the off-balance sheet risk, cannot improve the prediction ability anymore. So we can infer that off-balance sheet risk factor is not the key point to improve the prediction ability of financial distress prediction model of Taiwan’s textile industry.
20
Chen, Tsung-Jen, et 陳琮仁. « Taiwan's Financial Assets-Liabilities Balance Sheet and Economic Activity ─ The SVAR Model Analysis ». Thesis, 2011. http://ndltd.ncl.edu.tw/handle/00566438295358298055.
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碩士世新大學
財務金融學研究所(含碩專班)
99
This study examines Taiwan's Financial Assets-Liabilities Balance Sheet of central bank. First of all, compared the details of Financial Assets-Liabilities Balance Sheet and observed the trend of time. Then, jointed net assets of household and nonprofit institutions and net assets of private enterprises as variables, and used VAR model to examine whether channel effect of Financial Assets-Liabilities Balance Sheet. Finally, we demonstrated SVAR model to analyze the relationship between proxy variables and economic activities. The samples are analyzed for the period of 1982 to 2009. This research uses seasonal data and 112 samples. From the results show that social structure changed will affect the weight at details of assets and mostly in aging society. When VAR model jointed the Financial Assets-Liabilities Balance Sheet as variables, the range of impact effect is adjusted and shows that channel effect is existed. Increased net assets of household and nonprofit institutions also have positive effect to rise in economic activities. However, increased net assets of private enterprises do not rise in economic activities and even though is negative information.
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GIRARDI, Dario. « A balance sheet model and its applications in budgeting simulations and credit risk ». Doctoral thesis, 2012. http://hdl.handle.net/11562/396535.
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In questa tesi viene presentato un nuovo modello matematico-contabile che non solo rappresenta meglio l'impresa e le sue dinamiche ma ci permette anche di integrarlo con altri frameworks già presenti nella letteratura finanziaria ed economica, ad esempio con i modelli strutturali di rischio di credito. Al fine di sviluppare questo approccio, nel primo capitolo, faremo un' approfondita rassegna della letteratura contabile vicina al nostro modello analizzando poi i principali modelli strutturali di rischio di credito.
Nel secondo capitolo, partendo dal Bilancio Contabile, che come noto costituisce il maggior sistema informativo di una impresa, sia a livello interno sia a livello esterno, mostreremo un primo modello quantitativo che utilizzando i dati contabili permetta di rappresentarne la dinamica, nonché di implementare la simulazione connessa a tale dinamica. In particolare questa applicazione si basa sull’idea di rappresentare la dinamica del Bilancio Contabile attraverso una serie di equazioni alle differenze, supponendo a priori la possibilità di una assiomatizzazione matematica delle procedure contabili.
Nel terzo capitolo di questo lavoro si andrà ad analizzare la variante a parametri costanti del modello precedentemente introdotto. Sempre partendo dall'idea di poter rappresentare gli stati patrimoniali come sistemi di equazioni alle differenze, riscriveremo in maniera costante il modello precedentemente presentato trovandone una soluzione in forma chiusa ed evidenziando l'esistenza di un interessante legame tra i due casi. Sarà infatti possibile dimostrare l'esistenza di una serie di parametri medi in grado di replicare i risultati del modello variabile. Al fine di ottenere questi particolari parametri, dovremo sfruttare sia le caratteristiche della partita doppia intrinsecamente presenti nella struttura del modello, sia il concetto di media di Chisini in senso funzionale. Utilizzando infine un software matematico, andremo a fare delle prime considerazioni sulle capacità informative di questi valori medi, mostrando una prima analisi di sensitività ed altre applicazioni numeriche.
Nel quarto capitolo andremo a presentare un modello strutturale di rischio di credito che tiene conto sia dei default causati da un valore dell'attivo inferiore al passivo sia di quelli causati per la mancanza di liquidità. Possiamo inoltre affermare, dal fatto che i valori dei default boundaries vengono ricavati dalle dinamiche contabili, che questo può considerarsi il primo modello strutturale integrato con un analisi del bilancio contabile. Matematicamente parlando, si introduce una opzione call il cui payoff considera sia il valore del equity sia il valore della liquidità, in questo modo il payoff diviene una basket option che considera tre sottostanti parzialmente correlati: il valore dell'attivo, del passivo e della liquidità. Questo approccio, basato sull’approccio di Merton, tenta di superare i limiti dei modelli strutturali evidenziati dalle analisi empiriche di Davydenko (2005) (2010).In this thesis we create a new mathematical accounting model that will give us not only a better comprehension of the firm and its dynamics, but also the possibility to fit in with financial and economic models already presented in economic literature, for example structural credit risk models. In order to develop a similar framework in the first chapter we review both the accounting literature involved with our purposes and a part of the financial literature concerns with credit risk models. In the second chapter starting from the balance sheet, known to be the most important source of information for a company, both at the internal and external level, we show an initial quantitative model which uses accounting data to represent the dynamics of the company and to create a simulation associated with those dynamics. Specifically, this application is based on the idea of representing the dynamics of a balance sheet via a series of difference equations, with the a priori assumption that accounting procedures can be mathematically axiomatized. In the third chapter we consider a version of the dynamic budgeting model previously introduced where parameters are constant. We investigate the implications of the constant parameters assumption on the liquidity process, which in our framework has a precise meaning and can be expressed in closed form. What is more, using the notion of average in the sense of Chisini and exploiting the properties of the double entry bookkeeping, we find the set of constant parameters that matches the results of the general model at each financial statement. A series of numerical exercises together with a sensitivity analysis illustrate the potentiality of our approach. In the last chapter we introduce a new structural model. It seems to be the first model linking the Credit Risk literature with the Financial Statement analysis in the sense that we deduce the default boundary levels based on book value quantities. It will be accomplished by extending the original Merton approach for credit risk to the presence of a cash shortage constraint. Mathematically speaking, we introduce in the call payoff defining the value of the Equity the presence of the liquidity shortage, in such a way that the payoff becomes a basket option on partially correlated assets, namely the asset value of the firm, the (stochastic) liquidity process and the (stochastic) debt process. Our approach is flexible enough to allow the computation of the relevant credit features like default probability and related benchmarks. This new approach is in line with the empirical results (see e.g. Davydenko 2005 and 2010).
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Teixeira, Diana Vanessa da Silva. « Off-Balance sheet items in European Banking : A panel data econometric model on risk and liquidity ». Master's thesis, 2013. https://repositorio-aberto.up.pt/handle/10216/69845.
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Teixeira, Diana Vanessa da Silva. « Off-Balance sheet items in European Banking : A panel data econometric model on risk and liquidity ». Dissertação, 2013. https://repositorio-aberto.up.pt/handle/10216/69845.
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俞秀美. « A study of financial distress model--by incorporating the off-balance sheet liabilities : guarantee and stock pledged by directors ». Thesis, 2000. http://ndltd.ncl.edu.tw/handle/07969786360974689277.
Texte intégralRésumé :
碩士中原大學
會計學系
88
According to previous research, basic financial ratio is the index of judging business financial status. During Asia financial crisis, in addition to environment, structure of problem business is also the main reason of business crisis. Manipulation of off-balance is the critical focus. Some businesses utilized the method of cross-holding equity to hide the fact of treasury stock and used that of endorsement to avoid record liability. If manipulation of off-balance exists, maybe the financial ratio of business can’t express the real situation of business. The purpose of this research is as follows: (1)Could financial crisis model based on basic financial ratio judge financial situation of the company effectively? (2)Could financial crisis model involved in debts of off-balance increase right hit rate? This research discovers some phenomena as follows: (1)Previous three years of happening Asia financial crisis, hit rate of financial crisis model based on basic financial ratio is 86.11%、80.56%、77.78% separately. (2)Above model involved in debts of off-balance, hit rate of financial crisis model increases into 94.44%、83.33%、80.56% separately, but manipulation coefficient is not significant.
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Leedy, David Humbert. « An experimental investigation of a fighter aircraft model at high angles of attack ». Thesis, 1988. http://hdl.handle.net/10945/23224.
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Approved for public release; distribution is unlimitedA low speed wind tunnel investigation was conducted to examine the aerodynamic characteristics of the flowfield around a three percent scale YF-17 lightweight fighter prototype model at high angles of attack using flow visualization and force and moment measurements. Smoke filaments, injected into the wind tunnel test section, were illuminated by a laser sheet to highlight flow phenomena about the model. Force and moment measurements were made using a precision six-component strain gage balance. The investigation marked the first attempt at qualitative flow analysis using the laser sheet flow visualization system recently installed in the Naval Postgraduate School low speed wind tunnel facility. The investigation was undertaken to specifically identify flow phenomena and/or regions of interest that may have bearing on the design and performance of supermaneuverable aircraft. The data indicate a good correlation between the observed flow phenomena and force and moment measurements at various angles of attack, thus establishing the credibility of such experimental investigations for high angle of attack aerodynamic research.
http://archive.org/details/experimentalinve00leed
Lieutenant Commander, United States Navy
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Beer, Barend Christoffel de. « Developing the financial balance sheet and accumulation account model for South Africa : implementing recommendation 8 of the G20 DGI-2 ». Master's thesis, 2017. http://hdl.handle.net/10362/25012.
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Project Work presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Information Analysis and ManagementThe recent global financial crisis highlighted the significant degree of interconnection and integration of economies and identified several gaps in the existing suite of national and international financial statistics. From this realisation emerged the G20 Data Gaps Initiative (G20DGI) - a set of 20 recommendations on the enhancement of economic and financial statistics. These recommendations were developed in two phases – the first being G20DGI-1 and the second G20DGI-2, with the second set building on and replacing the first set. Recommendation 8 of G20DGI-2 identifies the development of the Balance Sheet Approach (BSA) for integrated sector accounts. In South Africa’s case, no integrated financial balance sheet and accumulation accounts (FBSAA) exist. This study presents a proposition to a complete model for the construction of the South African FBSAA model within a positivist paradigm making use of quantitative research utilising computation techniques. This is done being mindful of international requirements and guidelines pertaining to data sourcing and output, whilst also being cognisant of the South African specificities relating to time, resource and knowledge constraints. One of the main benefits of the FBSAA model is its ability to provide a holistic view of the financial dimension of the different sectors in a national economy as well as their international linkages. In addition, it also provides the basis to analyze risks and vulnerabilities in financial systems in an integrated manner.
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« Reconstruction of the 1979-2005 Greenland ice sheet surface mass balance using satellite data and the regional climate model MAR ». Université catholique de Louvain, 2006. http://edoc.bib.ucl.ac.be:81/ETD-db/collection/available/BelnUcetd-08162006-183525/.
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HUNG, SHENG-YUAN, et 洪聖淵. « The Impact of Off-balance Sheet Activities on Taiwan''s Banks Performance : An application of ARCH-M Model ». Thesis, 2012. http://ndltd.ncl.edu.tw/handle/51373833942899799981.
Texte intégralRésumé :
碩士國立中山大學
財務管理學系研究所
100
This paper investigates the influence of the shares of non-interest income and the diversification, which result from off-balance sheet activities, on the performance of banking in Taiwan. I also use ARCH-M model in this study. The sample period is from January 2000 to December 2011. I find that all sample banks and private banks do not benefit from off-balance sheet activities, but government banks benefit from off-balance sheet activities. In this paper, I also use CUSUM test to find the structural breakpoint and discuss the situation in accordance with it. The result shows that the structural breakpoint is at July 2002, which closes to the founded time of lots of financial holding companies. After the structural breakpoint, the positive impact of shares of non-interest income and diversification on the performance disappear.
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Scheepers, Dimarie. « Developing a statement of financial position model for the South African household sector ». Thesis, 2014. http://hdl.handle.net/10500/13635.
Texte intégralRésumé :
The South African Reserve Bank presents an annual balance sheet for the South African household sector constructed from macro-economic data estimates. Broad asset and liability classes are presented which can be disaggregated with the use of micro-level data obtained directly from households. At the time of the study, however, micro-level data on the different asset and liability classes accumulated by households was not available.
The main objective of the study was to disaggregate and measure the asset and liability
base of South African households in metropolitan and non-metropolitan areas using micro-level
data. The study used a mixed methodological approach, consisting of both qualitative and quantitative data and was conducted in three phases. In the first phase, a comprehensive literature review was conducted on the recognition and measurement of household assets and liabilities. Economic theories that explain asset and liability accumulation were reviewed and international surveys on household net wealth measurement scrutinised. A heuristic model of a financial position section for the South African household sector was developed.
In the second and qualitative phase, online and face-to-face focus group deliberations were conducted with experts in the field of household finance to ensure that the newly developed
financial position section would robustly recognise and measure all possible household asset
and liability classes.
In the third and quantitative phase, the financial position section was included in an omnibus
survey and data was collected from a representative sample of 2 606 households in South
Africa. The weighted data was segmented in terms of metropolitan and non-metropolitan
areas and presented as statements of financial position based on the classification,
recognition and measurement principles of “The Conceptual Framework for Financial
Reporting 2010”. Composition analyses presented a secondary objective, namely to explore
the effect of identified independent demographic variables on asset and liability
accumulation.
Multivariate analysis of variance (MANOVA) identified meaningful interaction effects for
(1) age, income and area; (2) income and age; (3) education, income and age; and
(4) education and income on asset accumulation and an age and income interaction effect
on liability accumulation. The study contributes to the body of knowledge on the
contemporaneous effect of age, income, education and area of residence on household
asset and liability accumulation and provides information on South African household net wealth not yet available. The disaggregated asset and liability base will assist policy makers
both at micro- and macro-economic level with the overview and management of South African household net wealth.Business Management
D. Accounting Science
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Dvořák, Martin. « Monetární transmisní mechanizmus : pohled do černé skříňky ». Master's thesis, 2014. http://www.nusl.cz/ntk/nusl-338190.
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The recent economic and financial turmoil has led central banks around the world to heavily utilize unconventional monetary policy measures. Unconventional in this sense means a deflection from traditional central bank policy measures, i.e. interest rate innovations. Although these measures were widely discussed, the uniformed, coherent and comprehensive framework of such measures is still missing. The aim of this thesis is to establish the framework for possible classification of such policies together with transmission channels to the real economy. The empirical part examines the impacts of unconventional policies on real data using vector autoregression and vector error correction models. This analysis is based on monthly data period between 1999 and 2013, which is strongly affected by implementation of the unconventional policies in its second half. The last section examines the possible future of these policies as a normal instrument of central banks and describes their main challenges and shortcomings. JEL classification: C32, E40, E44, E50, E52, E58, E60 Keywords: Unconventional monetary policy, Interest rate, Decoupling principle, Balance sheet policy stratification, Quantitative easing, Channels of transmission, Vector Autoregression, Vector error correction model Author's e-mail:...
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Combrink, Hermanus Adriaan. « Selected factors significantly influencing net equity value in the South African household's statement of financial position ». Diss., 2015. http://hdl.handle.net/10500/20239.
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It is twenty-one years since South Africa’s democracy and the majority of South African households can still be classified as poor, despite the various interventions by Government to reduce poverty and inequality. The measurement used to determine the financial status of a household at a given point in time is its net equity in accordance with its Statement of Financial Position, calculated as its assets owned less liabilities owed. This study aimed to identify the selected significant factors that affect a South African household’s net equity value.
In order to achieve the aim of this study, a heuristic model consisting of two components was developed. The first component considered which assets and liabilities should be included in determining a household’s net equity and how these assets and liabilities should be valued. The second component identified the selected factors that influence a household’s net equity. The heuristic model was applied to the empirical data using three phases. Firstly, the net equity value was calculated for each household. This was followed by an analysis of the selected factors that significantly influence household net equity. The last phase was performed to determine the effect of the identified selected factors in explaining the difference between households that have above average net equity values and those having below average values.
The results of the study indicated that 11 selected factors significantly influence the net equity value in the South African household’s Statement of Financial Position. Seven of those factors significantly explain between 28,3 percent and 38,1 percent of the differences in the net equity value of a household when comparing the households with above average net equity value with those with below average values. This is useful information for policy makers in identifying the selected factors that will most significantly increase the net equity value of a household with a net equity value below the South African average.Centre for Accounting Studies
M. Com. (Accounting Science)
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Шлома, І. Ю. « Звітність підприємств : склад, методика складання та напрямки вдосконалення (на прикладі Виробничого підрозділу «Одеська об’єднана дирекція залізничних перевезень» Регіональної філії «Одеська залізниця» АТ «Укрзалізниця») ». Thesis, 2019. http://dspace.oneu.edu.ua/jspui/handle/123456789/11131.
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У роботі розглядаються теоретичні аспекти економічної сутності та призначення фінансової звітності на підприємствах. Надано коротку організаційно-економічну характеристику підприємства. Розкрито методику формування та подання фінансової звітності на підприємстві. Проаналізовано економічний стан підприємства та досліджено аудит показників фінансової звітності. Запропоновано рекомендації щодо вдосконалення складання фінансової звітності та підвищення ефективності діяльності підприємстваThe work deals with the theoretical aspects of the economic essence and purpose of financial reporting at enterprises. The brief organizational and economic characteristics of the enterprise are given. The method of formation and presentation of financial statements at the enterprise has disclosed. The economic condition of the enterprise has analyzed and the audit of financial statements has investigated. The recommendations on improvement of preparation of the financial statements and increase of efficiency of activity of the enterprise have offered