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Možnosti zrychlení odhadu hodnoty závazků ze životního pojištění / Analysis of several acceleration techniques for life insurance liability value determinationDrahokoupil, Matěj January 2021 (has links)
The aim of the diploma thesis is to apprise the reader with a basic life insur- ance projection method which is used for the valuation of insurance company's liabilities. The basic projection method can be extremely time consuming in practise so another two variance reduction methods and their combination are presented to obtain either more precise liabilities estimation, or to reduce the time required for the projection. The presented methods are antithetic variate method, control-variate method and their combination later called integrated control-variate method. The final outcome of the thesis is simulation experi- ment which evaluates the liabilities of the group of policies and comparison of the presented variance reduction methods. 1
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[pt] ENSAIOS SOBRE CONCESSÕES DE PROJETOS RODOVIÁRIOS: UMA ABORDAGEM PARA COMPREENDER, AVALIAR E DETERMINAR GARANTIAS GOVERNAMENTAIS EM PROJETOS DE CONCESSÃO RODOVIÁRIA / [en] ESSAYS ON ROAD PROJECTS CONCESSIONS: AN APPROACH TO COMPREHENDING, ASSESSING AND DETERMINING GOVERNMENT GUARANTEES ON ROAD CONCESSION PROJECTSRODRIGO LOPES SANT ANNA 31 August 2023 (has links)
[pt] As Parcerias Público-Privadas (PPPs) são utilizadas pelos governos para
desenvolver projetos rodoviários que demandam altos investimentos. Porém, a
incerteza sobre os níveis de tráfego futuros é a principal causa de falhas nos projetos
rodoviários, que podem ser mitigados através de garantias de tráfego do governo,
tornando-os mais atraentes para investidores privados. Essas garantias trazem um
ônus financeiro para o orçamento do governo que pode altamente impactar o déficit
e, portanto, o risco e as oportunidades do governo. Esta tese realizou três estudos
que abordam a importância das garantias em contratos de PPPs de rodovias através
da adequada estimação dessas garantias e seu impacto no risco do projeto por meio
da Teoria das Opções Reais. O primeiro analisa os níveis de garantia de tráfego nos
projetos, limitando a exposição do governo e mantendo os benefícios para o
investidor privado. O segundo estudo aborda os potenciais passivos contingentes
do governo causados pelas garantias de tráfego e, para isso, analisa o caso do projeto
do sistema Ponte Salvador-Itaparica, discutindo-se os relatórios governamentais
publicamente disponíveis do projeto com nossos resultados. O último estudo
desenha um mecanismo de garantia de tráfego adequado para contratos de Projetos
Rodoviários, sendo proposto um modelo para determinar o nível ótimo de garantia
de tráfego que crie condições favoráveis para o desenvolvimento dos projetos. Esta
Tese contribui para uma melhor compreensão dos mecanismos de garantia para os
parceiros privados e a importância de precificar adequadamente os passivos
contingentes do governo em projetos rodoviários, revelando que um mecanismo de
garantia bem projetado pode minimizar os passivos contingentes do governo e
fornecer garantias adequadas aos parceiros privados. Além disso, também fornece
uma metodologia que auxilia os formuladores de políticas na elaboração de PPPs
em projetos rodoviários e na compreensão dos custos fiscais envolvidos. / [en] Public-Private Partnerships (PPPs) are used by governments to develop road
projects that, generally, require high investments. However, uncertainty about
future traffic levels represents the main cause of road project failures, which can be
mitigated through government traffic guarantees and make them more attractive to
private investors. These guarantees place a financial burden on the government s
budget that can significantly influence the deficit and, thus, the government s risk
and opportunities. This thesis carried out three different studies that address the
importance of guarantees in road public-private partnership contracts by properly
estimating these guarantees and their impact on project risk through Real Options
Theory (ROT). The first analyzes the government traffic guarantee levels in the
projects, limiting government exposure, and maintaining the benefits for the private
investor. Then, the second studies focus on the potential government s contingent
liabilities caused by traffic guarantees and, for this, is analyzed the case of the
Salvador–Itaparica Bridge system project and discusses the publicly available
government reports on the project with our results. The last study cares about
designing an adequate traffic guarantee mechanism for PPP contracts in Road
Projects and, for this, we propose a model to determine the traffic guarantee s
optimal level that creates favorable conditions for the development of the projects.
This Thesis contributes to a better understanding of guarantee mechanisms for
private partners and the importance of adequately pricing the contingent
government liabilities in infrastructure projects, revealing that a properly designed
guarantee mechanism can minimize the government s contingent liabilities and
provides adequate guarantees to the private partners. Moreover, also provides a
methodology that assists policymakers in designing infrastructure PPP projects and
understanding the contingent claims and fiscal costs involved.
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Детерминанты прибыли банков с разной структурой собственности : магистерская диссертация / Determinants of profits of banks with different ownership structureВорошнина, Д. В., Voroshnina, D. V. January 2018 (has links)
В работе были определены детерминанты, формирующие прибыль банков разных форм собственности, степени их воздействия на прибыль, получаемую банками, а также определены специфические особенности деятельности государственных банков. / The paper identifies the determinants that form the profit of banks of different ownership forms, the degree of their impact on the profit received by banks, as well as the definition of specific features in the activities of state banks.
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COncepts and costs for the maintenance of productive capacity: a study of the measurement and reporting of soil qualityO'Brien, Patricia Ann, patricia.o'brien@rmit.edu.au January 1999 (has links)
This thesis studies the role accounting plays in the monitoring and reporting of soil quality in one sector of the agricultural industry, broadacre farming. A survey was conducted with broadacre farmers in the Loddon Catchment, Victoria, Australia. The primary aim was to determine the effectiveness accounting plays in providing information to decision makers relative to the productive capacity in soil quality and not just on profits. The capital asset in this study was defined as soil quality. Soils and soil quality in particular, are major elements in determining land value. The concern is decisions are being made by potential buyers and other decision makers, particularly policy makers, with regards to soil quality on the basis of incomplete and often misleading information. It is proposed that a major reason is due to the fact that different participants in the agricultural and accounting industries require and use different information. The accounting systems used by farmers are those that have been developed for the manufacturing sector which may not be appropriate for managing long-term, complex resources such as soil. The farmers themselves did not find formal accounting reports useful for decision making because these reports are based on uniform standards and market prices. The topic of soil quality and land degradation is viewed from two perspectives. In one perspective, the proprietary view; the accounting emphasis is on the ownership of assets and the change, both in income and capital, in these assets over time. In this case the accounting equation is seen as assets - liabilities = equities. The proprietor takes all the risk. A more recent perspective in accounting, the entity view, emphasises the assets whether financed from equity or debt and where the accounting equation is seen as assets = equities. The emphasis changes to the income flow from these assets and more interest is shown in current market prices as a reflection of the future value of these assets Profit is not necessarily a good indicator of what farmers are doing for their capital asset. There needs to be greater emphasis on costs undertaken for the conservation of soil. Those costs should be considered an investment and put into the balance sheet and not the profit and loss statement. The major finding of study demonstrates that decision making groups have different
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Developing a statement of financial position model for the South African household sectorScheepers, Dimarie 14 July 2014 (has links)
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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The asset composition of high net worth individuals in the Southern Gauteng area of South AfricaJoubert, Kobus 11 1900 (has links)
In South Africa, less than 10% of individuals are financially independent after retirement, with an increasing number becoming dependent on social grants from government – hence the importance of analysing the asset composition of high net worth individuals who have achieved financial independence.
To achieve the aim of this study, it was first necessary to define net worth and to develop a theoretical framework of the assets and liabilities included in the measurement of an individual’s net worth and how these assets and liabilities should be valued. A definition of high net worth individuals was then formulated. Secondly, the factors influencing the asset composition of high net worth individuals, as well as selected demographic factors that influence net worth, were investigated. Finally, following a quantitative approach, data collected from the liquidation and distribution accounts of deceased individuals were analysed according to the developed framework.
The results of this study suggest that are indeed differences in the contribution of the different asset types when measured using the mean, relative contribution and importance of the asset class in comparison with total assets. Further analysis revealed that the richest individuals included in the survey invested more in shares than the other groups for whom immovable property was the primary asset. Based on the analysis of selected demographic factors, the findings indicated that for many of the dependent variables, the asset used most by respondents in that group was not the same asset that made the highest contribution to the net worth of the individuals in the group. / Business Management / M. Com. (Accounting)
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Developing a statement of financial position model for the South African household sectorScheepers, Dimarie 14 July 2014 (has links)
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. Com. (Accounting Science)
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Går det att prediktera konkurs i svenska aktiebolag? : En kvantitativ studie om hur finansiella nyckeltal kan användas vid konkursprediktion / Is it possible to predict bankruptcy in swedish limited companies? : A quantitative study regarding the usefullness of financial ratios as bankruptcy predictorsPersson, Daniel, Ahlström, Johannes January 2015 (has links)
Från 1900-talets början har banker och låneinstitut använt nyckeltal som hjälpmedel vid bedömning och kvantifiering av kreditrisk. För dagens investerare är den ekonomiska miljön mer komplicerad än för bara 40 år sedan då teknologin och datoriseringen öppnade upp världens marknader mot varandra. Bedömning av kreditrisk idag kräver effektiv analys av kvantitativa data och modeller som med god träffsäkerhet kan förutse risker. Under 1900-talets andra hälft skedde en snabb utveckling av de verktyg som används för konkursprediktion, från enkla univariata modeller till komplexa data mining-modeller med tusentals observationer. Denna studie undersöker om det är möjligt att prediktera att svenska företag kommer att gå i konkurs och vilka variabler som innehåller relevant information för detta. Metoderna som används är diskriminantanalys, logistisk regression och överlevnadsanalys på 50 aktiva och 50 företag försatta i konkurs. Resultaten visar på en träffsäkerhet mellan 67,5 % och 75 % beroende på vald statistisk metod. Oavsett vald statistisk metod är det möjligt att klassificera företag som konkursmässiga två år innan konkursens inträffande med hjälp av finansiella nyckeltal av typerna lönsamhetsmått och solvensmått. Samhällskostnader reduceras av bättre konkursprediktion med hjälp av finansiella nyckeltal vilka bidrar till ökad förmåga för företag att tillämpa ekonomistyrning med relevanta nyckeltal i form av lager, balanserad vinst, nettoresultat och rörelseresultat. / From the early 1900s, banks and lending institutions have used financial ratios as an aid in the assessment and quantification of credit risk. For today's investors the economic environment is far more complicated than 40 years ago when the technology and computerization opened up the world's markets. Credit risk assessment today requires effective analysis of quantitative data and models that can predict risks with good accuracy. During the second half of the 20th century there was a rapid development of the tools used for bankruptcy prediction. We moved from simple univariate models to complex data mining models with thousands of observations. This study investigates if it’s possible to predict bankruptcy in Swedish limited companies and which variables contain information relevant for this cause. The methods used in the study are discriminant analysis, logistic regression and survival analysis on 50 active and 50 failed companies. The results indicate accuracy between 67.5 % and 75 % depending on the choice of statistical method. Regardless of the selected statistical method used, it’s possible to classify companies as bankrupt two years before the bankruptcy occurs using financial ratios which measures profitability and solvency. Societal costs are reduced by better bankruptcy prediction using financial ratios which contribute to increasing the ability of companies to apply financial management with relevant key ratios in the form of stock , retained earnings , net income and operating income.
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Sustainability-environmental risks and legal liabilities of South African banks / Johannes Hendrik CoetzeeCoetzee, Johannes Hendrik January 2013 (has links)
In the environmental context banks face direct, indirect and reputational risks from their
internal operations and their external business activities. The current specific focus on
the protection of the environment makes it essential for banks and their directors to be
aware and stay on top of potential risks and liabilities. This is especially so because
banks’ directors can be criminally prosecuted for environmental crimes. The application
and effect of the Prevention of Organised Crime Act 121 of 1998 (POCA) on persons
convicted of an environmental crime or crimes has been identified as a possible new or
added risk for banks and their directors. Banks in addition to their normal environmental
risk and liabilities also need to contend with the possibility of lender liability. Existing
legislation pertinent to lender liability does not expressly or specifically deal with lender
liability. Absence of judgements on lender liability further exacerbates the risks and the
uncertainty for banks in South Africa. Therefore, banks remain subject to legal
uncertainty and associated risks. The issue of lender liability specifically with regard to
the implication of “the person in control” requires clarification. Hence, it is recommended
that legislation relevant to lender liability (National Environmental Management Act 107
of 1998; National Water Act 36 of 1998 and the National Environmental Management:
Waste Act 59 of 2008) be revised to specifically accommodate and protect lenders
(lending banks) in certain distinct circumstances.
The role of banks is that of an intermediary between borrowers and lenders of money.
Therefore, it influences the direction and pace of economic development and by default
steers and promotes either sustainable or non-sustainable development. Currently,
mainstream banks are in effect financing a brown economy and hence subscribe to a
weak form of sustainability. It would seem that mainstream banks are more concerned
with managing the impact that environmental risk may have on bank lending than the
impact of bank lending on the environment. The evolving nature of sustainability (from
weak to strong and from a brown to green economy) demands a fundamental policy
change for banks. It is expected that mainstream banks will be put under even greater
pressure than before to make the transition from weak to strong sustainability. Hence,
banks’ current environmental risk management systems will not be sufficient to cater for
new environmental risks and liabilities that the move to stronger sustainability (in the
form of the green economy) will present. Banks should adopt the stronger version of sustainability; formulate environmental
principles that the bank will adhere to; incorporate these environmental principles into all
aspects of its lending cycle, develop an environmental risk management system that
should include as a minimum the identification of all the applicable legislation pertaining
to the specific financing or lending of capital, risk identification, assessment of the
specific risk, implementation of risk control measures, mitigation of the risk, risk
monitoring and auditing. / LLM (Environmental Law and Governance), North-West University, Potchefstroom Campus, 2014
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Sustainability-environmental risks and legal liabilities of South African banks / Johannes Hendrik CoetzeeCoetzee, Johannes Hendrik January 2013 (has links)
In the environmental context banks face direct, indirect and reputational risks from their
internal operations and their external business activities. The current specific focus on
the protection of the environment makes it essential for banks and their directors to be
aware and stay on top of potential risks and liabilities. This is especially so because
banks’ directors can be criminally prosecuted for environmental crimes. The application
and effect of the Prevention of Organised Crime Act 121 of 1998 (POCA) on persons
convicted of an environmental crime or crimes has been identified as a possible new or
added risk for banks and their directors. Banks in addition to their normal environmental
risk and liabilities also need to contend with the possibility of lender liability. Existing
legislation pertinent to lender liability does not expressly or specifically deal with lender
liability. Absence of judgements on lender liability further exacerbates the risks and the
uncertainty for banks in South Africa. Therefore, banks remain subject to legal
uncertainty and associated risks. The issue of lender liability specifically with regard to
the implication of “the person in control” requires clarification. Hence, it is recommended
that legislation relevant to lender liability (National Environmental Management Act 107
of 1998; National Water Act 36 of 1998 and the National Environmental Management:
Waste Act 59 of 2008) be revised to specifically accommodate and protect lenders
(lending banks) in certain distinct circumstances.
The role of banks is that of an intermediary between borrowers and lenders of money.
Therefore, it influences the direction and pace of economic development and by default
steers and promotes either sustainable or non-sustainable development. Currently,
mainstream banks are in effect financing a brown economy and hence subscribe to a
weak form of sustainability. It would seem that mainstream banks are more concerned
with managing the impact that environmental risk may have on bank lending than the
impact of bank lending on the environment. The evolving nature of sustainability (from
weak to strong and from a brown to green economy) demands a fundamental policy
change for banks. It is expected that mainstream banks will be put under even greater
pressure than before to make the transition from weak to strong sustainability. Hence,
banks’ current environmental risk management systems will not be sufficient to cater for
new environmental risks and liabilities that the move to stronger sustainability (in the
form of the green economy) will present. Banks should adopt the stronger version of sustainability; formulate environmental
principles that the bank will adhere to; incorporate these environmental principles into all
aspects of its lending cycle, develop an environmental risk management system that
should include as a minimum the identification of all the applicable legislation pertaining
to the specific financing or lending of capital, risk identification, assessment of the
specific risk, implementation of risk control measures, mitigation of the risk, risk
monitoring and auditing. / LLM (Environmental Law and Governance), North-West University, Potchefstroom Campus, 2014
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