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Value Approach (value + approach)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	63%

Kinds of Value Approach

extreme value approach

Selected Abstracts

A Generalized Extreme Value Approach to Financial Risk Measurement

JOURNAL OF MONEY, CREDIT AND BANKING, Issue 7 2007
TURAN G. BALI
financial risk management; value at risk; extreme value theory; skewed fat-tailed distributions This paper develops an unconditional and conditional extreme value approach to calculating value at risk (VaR), and shows that the maximum likely loss of financial institutions can be more accurately estimated using the statistical theory of extremes. The new approach is based on the distribution of extreme returns instead of the distribution of all returns and provides good predictions of catastrophic market risks. Both the in-sample and out-of-sample performance results indicate that the Box,Cox generalized extreme value distribution introduced in the paper performs surprisingly well in capturing both the rate of occurrence and the extent of extreme events in financial markets. The new approach yields more precise VaR estimates than the normal and skewed t distributions. [source]

Risk of catastrophic terrorism: an extreme value approach

JOURNAL OF APPLIED ECONOMETRICS, Issue 4 2009
Hamid Mohtadi
This paper models the stochastic behavior of large-scale terrorism using extreme value methods. We utilize a unique dataset composed of roughly 26,000 observations. These data provide a rich description of domestic and international terrorism between 1968 and 2006. Currently, a credible worst-case scenario would involve losses of about 5000 to 10,000 lives. Also, the return time for events of such magnitude is shortening every year. Today, the primary threat is from conventional weapons, rather than from chemical, biological and/or radionuclear weapons. However, pronounced tails in the distribution of these incidents suggest that this threat cannot be dismissed. Copyright © 2009 John Wiley & Sons, Ltd. [source]

A Generalized Extreme Value Approach to Financial Risk Measurement

A new class of models for bivariate joint tails

JOURNAL OF THE ROYAL STATISTICAL SOCIETY: SERIES B (STATISTICAL METHODOLOGY), Issue 1 2009
Alexandra Ramos
Summary., A fundamental issue in applied multivariate extreme value analysis is modelling dependence within joint tail regions. The primary focus of this work is to extend the classical pseudopolar treatment of multivariate extremes to develop an asymptotically motivated representation of extremal dependence that also encompasses asymptotic independence. Starting with the usual mild bivariate regular variation assumptions that underpin the coefficient of tail dependence as a measure of extremal dependence, our main result is a characterization of the limiting structure of the joint survivor function in terms of an essentially arbitrary non-negative measure that must satisfy some mild constraints. We then construct parametric models from this new class and study in detail one example that accommodates asymptotic dependence, asymptotic independence and asymmetry within a straightforward parsimonious parameterization. We provide a fast simulation algorithm for this example and detail likelihood-based inference including tests for asymptotic dependence and symmetry which are useful for submodel selection. We illustrate this model by application to both simulated and real data. In contrast with the classical multivariate extreme value approach, which concentrates on the limiting distribution of normalized componentwise maxima, our framework focuses directly on the structure of the limiting joint survivor function and provides significant extensions of both the theoretical and the practical tools that are available for joint tail modelling. [source]

The Limits to Public Value, or Rescuing Responsible Government from the Platonic Guardians

AUSTRALIAN JOURNAL OF PUBLIC ADMINISTRATION, Issue 4 2007
R.A.W. Rhodes
In various guises, public value has become extraordinarily popular in recent years. We challenge the relevance and usefulness of the approach in Westminster systems with their dominant hierarchies of control, strong roles for ministers, and tight authorising regimes underpinned by disciplined two-party systems. We start by spelling out the core assumptions behind the public value approach. We identify two key confusions; about public value as theory, and in defining ,public managers'. We identify five linked core assumptions in public value: the benign view of large-scale organisations; the primacy of management; the relevance of private sector experience; the downgrading of party politics; and public servants as Platonic guardians. We then focus on the last two assumptions because they are the least applicable in Westminster systems. We defend the ,primacy of party politics' and we criticise the notion that public managers should play the role of Platonic guardians deciding the public interest. The final section of the article presents a ,ladder of public value' by which to gauge the utility of the approach for public managers in Westminster systems. [source]

Shareholders versus stakeholders: corporate mission statements and investor returns

BUSINESS ETHICS: A EUROPEAN REVIEW, Issue 4 2002
Mohammed Omran
This paper seeks to discover whether companies that adopt a stakeholder approach, and thereby demonstrate a wider remit of corporate responsibility, provide inferior returns to those that embrace the shareholder value approach. To classify approaches, mission statements were analysed, the final sample comprising 32 shareholder oriented companies and 48 stakeholder oriented companies. To assess performance both accounting,based and market,based measures were used. A number of moderating variables were taken into account: systematic (beta) risk, gearing (long,term debt to total long,term finance), tax ratios, and firm size. ANOVA and Kruskall,Wallis tests revealed that mission orientation did not affect performance, whether in terms of stock returns or excess returns. Neither were accounting returns on equity different overall, although shareholder oriented companies experienced wider variations in this measure. A number of multiple regressions were also performed. However, the mission dummy was not found to be a significant variable. [source]

Value-based environmental management.

CORPORATE SOCIAL RESPONSIBILITY AND ENVIRONMENTAL MANAGEMENT, Issue 1 2005
From environmental shareholder value to environmental option value
Abstract Whether and how environmental management can create enterprise value is intensively debated. There are a number of concepts that aim to link environmental management and enterprise value. These concepts are usually based on net present value approaches such as Rappaport's (1986) shareholder value model. What is usually overlooked is that environmental management based on net present value concepts risks making companies (eco-)efficient but vulnerable to environmental and social shocks. This article introduces the environmental option value concept as a compliment to concepts such as environmental shareholder value. As this article shows, creating environmental option value creates flexibility that allows companies to be shielded from the detrimental effects of possible future environmental and social shocks. In combination the two approaches can help environmental management to contribute to creating long-term enterprise value. Copyright © 2005 John Wiley & Sons, Ltd and ERP Environment. [source]

Smoothing Mechanisms in Defined Benefit Pension Accounting Standards: A Simulation Study,

ACCOUNTING PERSPECTIVES, Issue 2 2009
Cameron Morrill
ABSTRACT The accounting for defined benefit (DB) pension plans is complex and varies significantly across jurisdictions despite recent international convergence efforts. Pension costs are significant, and many worry that unfavorable accounting treatment could lead companies to terminate DB plans, a result that would have important social implications. A key difference in accounting standards relates to whether and how the effects of fluctuations in market and demographic variables on reported pension cost are "smoothed". Critics argue that smoothing mechanisms lead to incomprehensible accounting information and induce managers to make dysfunctional decisions. Furthermore, the effectiveness of these mechanisms may vary. We use simulated data to test the volatility, representational faithfulness, and predictive ability of pension accounting numbers under Canadian, British, and international standards (IFRS). We find that smoothed pension expense is less volatile, more predictive of future expense, and more closely associated with contemporaneous funding than is "unsmoothed" pension expense. The corridor method and market-related value approaches allowed under Canadian GAAP have virtually no smoothing effect incremental to the amortization of actuarial gains and losses. The pension accrual or deferred asset is highly correlated with the pension plan deficit/surplus. Our findings complement existing, primarily archival, pension accounting research and could provide guidance to standard-setters. [source]

The development of risk criteria for high severity low frequency events,

PROCESS SAFETY PROGRESS, Issue 1 2009
Fred Henselwood
Abstract Quantitative risk assessments (QRAs) are used within the field of process safety to decide the allocation of resources and risk reduction investments. Typically risk assessments involve the evaluation of probabilistic measures that estimate the average expected value for the situation being considered across a range of potential outcomes. The resulting expected value is then used to determine if a situation represents an acceptable or unacceptable risk based on a threshold value allotted to the risk. This approach often gives guidance that is at odds with the thoughts and behaviors of some stakeholders as illustrated by the "but what if it does happen?" type of question. This inconsistency results from the inherent limitation associated with expected value approaches in that the methodology is based on whether or not a mean assessed risk represents an acceptable risk while overlooking the possibility that a single scenario could represent an intolerable event. This article looks at an adjustment to traditional QRAs so as to assess both the acceptability of risk and the tolerability of the associated consequences relative to risk criteria. These adjustments have been found to better represent stakeholder perceptions of risk, more closely relate risk tolerance to corporate values and resources, and to better justify the use of various risk transfer strategies. © 2008 American Institute of Chemical Engineers Process Saf Prog, 2009 [source]

International Comparisons on Stock Market Short-termism: How Different is the UK Experience?

THE MANCHESTER SCHOOL, Issue 2000
Angela J. Black
Using data from five major stock markets and a vector autoregression estimation procedure underpinned by the traditional intertemporal capital asset pricing model, initial evidence suggests that the UK investing community is particularly prejudiced in terms of short-termist behaviour. The observed UK myopic outlook, however, may be more apparent than real. We hypothesize that UK investors are highly sensitive to uncertainty over future cash flows,a feature which is not being captured by traditional theoretical models. Motivated by the ,option value' approach, the evidence shows that uncertainty about UK economic conditions, as proxied by the spread between mortgage rates and base rates, can go some way in explaining the reported UK anomaly. [source]

Maximizing resource recovery from waste streams

ENVIRONMENTAL PROGRESS & SUSTAINABLE ENERGY, Issue 4 2003
Tim Grant
Resource conservation and waste management have become two sides of the same argument. According to the Institutefor Local Self Reliance in the US., the recycling revolution begun in the l960s was a reaction "to the levels of waste in our economy and the pollution and suffering these habits cause worldwide" [1,2]. However, the recycling targetsetting of the early 1990s was focused on diversion from landfill, and it has taken another 10 years for the focus to shift back to the resource values approach, driven largely by the application of Life Cycle Assessment to the waste management system. This paper examines materials in the waste stream to determine the "value proposition" in each material group, and to examine options for efficient resource use and recovery. Specifically, it discusses waste management issues associated with clean fill, food waste, timber waste, concrete and bricks, green waste, paper and board, metals, plastics, and glass. [source]