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Value Uncertainty (value + uncertainty)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting75%

Selected Abstracts

Incorporating Collateral Value Uncertainty in Loss Given Default Estimates and Loan-to-value Ratios

EUROPEAN FINANCIAL MANAGEMENT, Issue 3 2003
Esa Jokivuolle
Abstract We present a model of risky debt in which collateral value is correlated with the possibility of default. The model is then used to study the expected loss given default, primarily as a function of collateral. The results obtained could prove useful for estimating losses given default in many popular models of credit risk which assume them constant. We also examine the problem of determining sufficient collateral to secure a loan to a desired extent. In addition to bank practitioners, regulators might find our analysis useful in reviewing banks' lending standards relative to current collateral values. In particular, the current proposals for The New (Basel) Capital Accord involve options for the use of banks' own loss given default estimates which might benefit from the analysis in this paper. [source]

Underpricing and Ex Post Value Uncertainty

FINANCIAL MANAGEMENT, Issue 2 2009
Sonia Falconieri
As documented by a vast empirical literature, initial public offerings (IPOs) are characterized by underpricing. A number of papers have shown that underpricing is directly related to the amount of ex ante uncertainty concerning the IPOs valuation. Recent theoretical papers propose that not all value uncertainty is resolved prior to the start of trading, but rather continues to be resolved in the beginning of the after market. We term this type of uncertainty as ex post value uncertainty and develop proxies for it. We find strong support for the existence of ex post value uncertainty and find that including a proxy for it more than doubles the explanatory power of previous models. [source]

Value-centric framework and pareto optimality for design and acquisition of communication satellites

INTERNATIONAL JOURNAL OF SATELLITE COMMUNICATIONS AND NETWORKING, Issue 6 2009
Joy Brathwaite
Abstract Investments in space systems are substantial, indivisible, and irreversible, characteristics of high-risk investments. Traditional approaches to system design, acquisition, and risk mitigation are derived from a cost-centric mindset, and as such they incorporate little information about the value of the spacecraft to its stakeholders. These traditional approaches are appropriate in stable environments. However, the current technical and economic conditions are distinctly uncertain and rapidly changing. Consequently, these traditional approaches have to be revisited and adapted to the current context. We propose that in uncertain environments, decision-making with respect to design and acquisition choices should be value-based. We develop a value-centric framework, analytical tools, and an illustrative numerical example for communication satellites. Our two proposed metrics for decision-making are the system's expected value and value uncertainty. Expected value is calculated as the expected NPV of the satellite. The cash inflow is calculated as a function of the satellite loading, its transponder pricing, and market demand. The cash outflows are the various costs for owning and operating the satellite. Value uncertainty emerges due to uncertainties in the various cash flow streams, in particular because of market conditions. We propagate market uncertainty through Monte Carlo simulation, and translate it into value uncertainty for the satellite. The end result is a portfolio of Pareto-optimal satellite design alternatives. By using value and value uncertainty as decision metrics in the down-selection process, decision-makers draw on more information about the system in its environment, and in making value-based design and acquisition choices, they ultimately make more informed and better choices. Copyright © 2009 John Wiley & Sons, Ltd. [source]

Governing Entrepreneurial Opportunity Recognition in MNEs: Aligning Interests and Cognition Under Uncertainty*

JOURNAL OF MANAGEMENT STUDIES, Issue 7 2007
Volker Mahnke
abstract Entrepreneurial activities contribute to the innovativeness and performance of subsidiaries and their parent multinational enterprises (MNEs). Though a strong multinational presence can spur the discovery and exploitation of entrepreneurial opportunities, it also creates uncertainty that complicates the alignment of cognition and interest in the governance of MNEs' multi-level entrepreneurial activities. We integrate economic and behavioural approaches to identify communicative, behavioural, and value uncertainties encountered in the MNEs' opportunity recognition phase. In addition, we discuss key contingencies that influence solutions to these uncertainties through delegation of authority, provision of incentives, promotion rules, and use of clan structures. [source]

Underpricing and Ex Post Value Uncertainty

FINANCIAL MANAGEMENT, Issue 2 2009
Sonia Falconieri
As documented by a vast empirical literature, initial public offerings (IPOs) are characterized by underpricing. A number of papers have shown that underpricing is directly related to the amount of ex ante uncertainty concerning the IPOs valuation. Recent theoretical papers propose that not all value uncertainty is resolved prior to the start of trading, but rather continues to be resolved in the beginning of the after market. We term this type of uncertainty as ex post value uncertainty and develop proxies for it. We find strong support for the existence of ex post value uncertainty and find that including a proxy for it more than doubles the explanatory power of previous models. [source]

Value-centric framework and pareto optimality for design and acquisition of communication satellites

INTERNATIONAL JOURNAL OF SATELLITE COMMUNICATIONS AND NETWORKING, Issue 6 2009
Joy Brathwaite
Abstract Investments in space systems are substantial, indivisible, and irreversible, characteristics of high-risk investments. Traditional approaches to system design, acquisition, and risk mitigation are derived from a cost-centric mindset, and as such they incorporate little information about the value of the spacecraft to its stakeholders. These traditional approaches are appropriate in stable environments. However, the current technical and economic conditions are distinctly uncertain and rapidly changing. Consequently, these traditional approaches have to be revisited and adapted to the current context. We propose that in uncertain environments, decision-making with respect to design and acquisition choices should be value-based. We develop a value-centric framework, analytical tools, and an illustrative numerical example for communication satellites. Our two proposed metrics for decision-making are the system's expected value and value uncertainty. Expected value is calculated as the expected NPV of the satellite. The cash inflow is calculated as a function of the satellite loading, its transponder pricing, and market demand. The cash outflows are the various costs for owning and operating the satellite. Value uncertainty emerges due to uncertainties in the various cash flow streams, in particular because of market conditions. We propagate market uncertainty through Monte Carlo simulation, and translate it into value uncertainty for the satellite. The end result is a portfolio of Pareto-optimal satellite design alternatives. By using value and value uncertainty as decision metrics in the down-selection process, decision-makers draw on more information about the system in its environment, and in making value-based design and acquisition choices, they ultimately make more informed and better choices. Copyright © 2009 John Wiley & Sons, Ltd. [source]

Price Premium and Foreclosure Risk

REAL ESTATE ECONOMICS, Issue 2 2006
Seow Eng Ong
Many previous studies identify loan, property, borrower and environmental factors that impact the probability of foreclosure. Implicit in these studies is the assumption that the property was purchased at fair value. We question this assumption based on several empirical findings regarding property value uncertainty. In contrast to previous research, we explicitly quantify the price premium from a hedonic pricing model. Using a comprehensive database of real estate transactions in Singapore during 1989,2000, we document a price premium associated with properties that are subsequently foreclosed based on actual sales transactions. In addition, we find that the premium paid at purchase significantly increases the probability of foreclosure. These results are robust and continue to hold after controlling for other property-specific factors, time-varying macroeconomic conditions, alternative model specifications and definitions of price premium. [source]