As interest rates on Government Bonds have decreased, some analysts and consultants in Europe and in the US are using what they call “Normalized Risk-Free rate”. We show several inconsistencies and errors in the use of “Normalized Risk-Free rate”. Section 5 is a short case that may be used in class. It contains 26 interesting comments.
{"title":"'Normalized' Risk-Free Rate: Fiction or Science Fiction?","authors":"Pablo Fernández","doi":"10.2139/ssrn.3708863","DOIUrl":"https://doi.org/10.2139/ssrn.3708863","url":null,"abstract":"As interest rates on Government Bonds have decreased, some analysts and consultants in Europe and in the US are using what they call “Normalized Risk-Free rate”. \u0000 \u0000We show several inconsistencies and errors in the use of “Normalized Risk-Free rate”. \u0000Section 5 is a short case that may be used in class. It contains 26 interesting comments.","PeriodicalId":208149,"journal":{"name":"Finance Educator: Courses","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130521569","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In February 2013, John Carroll and Alexander Whittemore, both managing directors at Summit Partners (Summit), are considering an investment in RoboSoft, LLC (RoboSoft), a provider of data-center automation, business intelligence, and security software solutions, primarily for the IBM i operating system. Summit had previously invested in RoboSoft, and did well when it exited the company in 2007. Over the ensuing years, Summit had followed RoboSoft and was considering a second investment in the company when it was put up for sale again in late 2012. This time, Summit planned to invest $103.6 million from its growth equity fund and $43.9 million from its subordinated debt fund to buy out the company. This case is designed to introduce students to mezzanine investments. Because the deal involves both an equity and a subordinated debt investment, students can compare the investment considerations and return expectations of both types of investors. The case contains the actual deal team's investment memorandum summarizing the merits of the RoboSoft investment. The students are asked to qualitatively evaluate the potential benefits and risks of the investment from the perspective of a debt investor and an equity investor, and to quantitatively calculate the internal rate of returns (IRRs) and cash-on-cash returns (CoCs) of Summit's equity and subordinated debt fund investments. This case is appropriate for classes that survey private equity investments, or for corporate financing classes that wish to compare the risk and return of equity and debt investments. It is assumed that students have taken valuation courses and understand residual equity cash flow valuation methods. There are Excel files—one for students, one for instructors—to support analysis of this case. Excerpt UVA-F-1845 Rev. Apr. 16, 2020 Summit Partners and RoboSoft, LLC: Mezzanine Debt Investment In late February 2013, John Carroll and Alexander Whittemore, both managing directors of Summit Partners (Summit), were finishing a memorandum to the investment committee (IC) summarizing the merits of an investment in RoboSoft, LLC (RoboSoft) (Exhibit 1). The company was a provider of data-center automation, business intelligence, and security software solutions, primarily for the IBM i operating system (IBM i). As they discussed the situation, Carroll and Whittemore were reminded just how old this technology was. The precursor of the IBM i, the System 34/36/38, was developed in the 1970s, followed by the AS/400 in 1988—all before the internet, PCs, and cell phones became common household items. Although IBM continued to update the series, new operating systems had entered the market (e.g., Unix, Linux, and Windows) and began to erode its market position. The same issue had been a concern when Summit originally invested in RoboSoft in 2005. That investment, however, had worked out well and generated a 5x times; return for Summit's growth equity fund when the business was sold to
{"title":"Summit Partners and RoboSoft, LLC: Mezzanine Debt Investment","authors":"Susan J. Chaplinsky, Alexander D. Whittemore","doi":"10.2139/ssrn.3698993","DOIUrl":"https://doi.org/10.2139/ssrn.3698993","url":null,"abstract":"In February 2013, John Carroll and Alexander Whittemore, both managing directors at Summit Partners (Summit), are considering an investment in RoboSoft, LLC (RoboSoft), a provider of data-center automation, business intelligence, and security software solutions, primarily for the IBM i operating system. Summit had previously invested in RoboSoft, and did well when it exited the company in 2007. Over the ensuing years, Summit had followed RoboSoft and was considering a second investment in the company when it was put up for sale again in late 2012. This time, Summit planned to invest $103.6 million from its growth equity fund and $43.9 million from its subordinated debt fund to buy out the company. This case is designed to introduce students to mezzanine investments. Because the deal involves both an equity and a subordinated debt investment, students can compare the investment considerations and return expectations of both types of investors. The case contains the actual deal team's investment memorandum summarizing the merits of the RoboSoft investment. The students are asked to qualitatively evaluate the potential benefits and risks of the investment from the perspective of a debt investor and an equity investor, and to quantitatively calculate the internal rate of returns (IRRs) and cash-on-cash returns (CoCs) of Summit's equity and subordinated debt fund investments. This case is appropriate for classes that survey private equity investments, or for corporate financing classes that wish to compare the risk and return of equity and debt investments. It is assumed that students have taken valuation courses and understand residual equity cash flow valuation methods. There are Excel files—one for students, one for instructors—to support analysis of this case. \u0000 \u0000Excerpt \u0000 \u0000UVA-F-1845 \u0000 \u0000Rev. Apr. 16, 2020 \u0000 \u0000Summit Partners and RoboSoft, LLC: Mezzanine Debt Investment \u0000 \u0000In late February 2013, John Carroll and Alexander Whittemore, both managing directors of Summit Partners (Summit), were finishing a memorandum to the investment committee (IC) summarizing the merits of an investment in RoboSoft, LLC (RoboSoft) (Exhibit 1). The company was a provider of data-center automation, business intelligence, and security software solutions, primarily for the IBM i operating system (IBM i). As they discussed the situation, Carroll and Whittemore were reminded just how old this technology was. The precursor of the IBM i, the System 34/36/38, was developed in the 1970s, followed by the AS/400 in 1988—all before the internet, PCs, and cell phones became common household items. Although IBM continued to update the series, new operating systems had entered the market (e.g., Unix, Linux, and Windows) and began to erode its market position. The same issue had been a concern when Summit originally invested in RoboSoft in 2005. That investment, however, had worked out well and generated a 5x times; return for Summit's growth equity fund when the business was sold to","PeriodicalId":208149,"journal":{"name":"Finance Educator: Courses","volume":"478 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134079477","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Dwi Ari Setyowati, Suharto S. E., Harry Indratjahyo
This study aims to: 1) To test and analyze the influence of Non-Performance Loans (NPLs) and Operating Costs Operating Income (BOPO) on Return On Equity (ROE) at PT Bank Sahabat Sampoerna, 2) To test and analyze the influence of Non-Performance Loans ( NPL) and Operational Costs Operating Income (BOPO) on the Earning Per Share (EPS) of PT Bank Sahabat Sampoerna, 3) To test and analyze the effect of Return On Equity (ROE) on the Earning Per Share (EPS)n of PT Bank Sahabat Sampoerna, 4) To test and analyze Non-Performance Loans (NPL) ), on the Earning Per Share (EPS) through PT Bank Sahabat Sampoerna's Return On Equity (ROE) variable and 5) To test and analyze the Operating Cost of Operating Income (BOPO) on the Earning Per Share (EPS)n through PT Bank Sahabat Sampoerna's Return On Equity (ROE). This study uses secondary data, namely data obtained from the annual report of Bank Sahabat Sampoerna from 2015 - 2018. PT Bank Sahabat Sampoerna with a research sample of 48. The sampling technique uses random sampling techniques. The data analysis method uses descriptive analysis and path analysis. The results showed that: 1) there was the influence of Non-Performance Loans (NPL) and Operational Income Operating Costs (BOPO) on Return On Equity (ROE) at PT Bank Sahabat Sampoerna, 2) there wasn't an influence of Non-Performance Loans (NPL) and Operating Costs Operational (BOPO) on PT Bank Sahabat Sampoerna's Earning Per Share (EPS), 3) Return on Equity (ROE) not influence on PT Bank Sahabat Sampoerna's Earning Per Share, 4) No Non-Performance Loan (NPL) effect, on the Earning Per Share through the Return On Equity variable (ROE) of PT Bank Sahabat Sampoerna and 5) there is no effect of Operational Income Operating Costs (BOPO) on the Earning Per Share (EPS)n through the Return on Equity (ROE) of PT Bank Sahabat Sampoerna.
本研究旨在:1)测试和分析违约贷款的影响(不良贷款)和运营成本运营收入(BOPO)股本回报率(ROE) PT银行Sahabat三宝麟,2)测试和分析违约贷款的影响(不良贷款)和运营成本运营收入(BOPO)每股收益(EPS)的PT银行Sahabat三宝麟,3)测试和分析的影响股本回报率(ROE)每股收益(EPS) n PT银行Sahabat三宝麟,4)通过PT Bank Sahabat Sampoerna的净资产收益率(ROE)变量测试和分析不良贷款(NPL)对每股收益(EPS)的影响。5)通过PT Bank Sahabat Sampoerna的净资产收益率(ROE)测试和分析营业收入的运营成本(BOPO)对每股收益(EPS)的影响。本研究使用的二手数据，即2015 - 2018年Bank Sahabat Sampoerna年度报告数据。PT Bank Sahabat Sampoerna的研究样本为48。抽样技术采用随机抽样技术。数据分析方法采用描述性分析和路径分析。结果表明:1)不良贷款(NPL)和营业收入运营成本(BOPO)对PT Bank Sahabat Sampoerna的净资产收益率(ROE)有影响，2)不良贷款(NPL)和营业成本运营成本(BOPO)对PT Bank Sahabat Sampoerna的每股收益(EPS)没有影响，3)净资产收益率(ROE)对PT Bank Sahabat Sampoerna的每股收益没有影响，4)没有不良贷款(NPL)效应。对于PT Bank Sahabat Sampoerna的净资产收益率变量(ROE)的每股收益和5)运营收入运营成本(BOPO)对PT Bank Sahabat Sampoerna通过净资产收益率(ROE)的每股收益(EPS)没有影响。
{"title":"The Effect of Non-Performa Loan and Operational Cost of Operational Income on Earning per Share Through Return On in Pt. Bank Sahabat Sampoerna","authors":"Dwi Ari Setyowati, Suharto S. E., Harry Indratjahyo","doi":"10.47742/IJBSSR.V1N2P2","DOIUrl":"https://doi.org/10.47742/IJBSSR.V1N2P2","url":null,"abstract":"This study aims to: 1) To test and analyze the influence of Non-Performance Loans (NPLs) and Operating Costs Operating Income (BOPO) on Return On Equity (ROE) at PT Bank Sahabat Sampoerna, 2) To test and analyze the influence of Non-Performance Loans ( NPL) and Operational Costs Operating Income (BOPO) on the Earning Per Share (EPS) of PT Bank Sahabat Sampoerna, 3) To test and analyze the effect of Return On Equity (ROE) on the Earning Per Share (EPS)n of PT Bank Sahabat Sampoerna, 4) To test and analyze Non-Performance Loans (NPL) ), on the Earning Per Share (EPS) through PT Bank Sahabat Sampoerna's Return On Equity (ROE) variable and 5) To test and analyze the Operating Cost of Operating Income (BOPO) on the Earning Per Share (EPS)n through PT Bank Sahabat Sampoerna's Return On Equity (ROE).\u0000This study uses secondary data, namely data obtained from the annual report of Bank Sahabat Sampoerna from 2015 - 2018. PT Bank Sahabat Sampoerna with a research sample of 48. The sampling technique uses random sampling techniques. The data analysis method uses descriptive analysis and path analysis.\u0000The results showed that: 1) there was the influence of Non-Performance Loans (NPL) and Operational Income Operating Costs (BOPO) on Return On Equity (ROE) at PT Bank Sahabat Sampoerna, 2) there wasn't an influence of Non-Performance Loans (NPL) and Operating Costs Operational (BOPO) on PT Bank Sahabat Sampoerna's Earning Per Share (EPS), 3) Return on Equity (ROE) not influence on PT Bank Sahabat Sampoerna's Earning Per Share, 4) No Non-Performance Loan (NPL) effect, on the Earning Per Share through the Return On Equity variable (ROE) of PT Bank Sahabat Sampoerna and 5) there is no effect of Operational Income Operating Costs (BOPO) on the Earning Per Share (EPS)n through the Return on Equity (ROE) of PT Bank Sahabat Sampoerna.","PeriodicalId":208149,"journal":{"name":"Finance Educator: Courses","volume":"48 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130335409","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The word "statistics" was used to express the process of counting things. Statistics were used to express the enumeration of the state's resources in terms of population and resources such as counting the population with the aim of determining the value of taxes. Statistics is defined as the science concerned with the methods and methods of collecting and analyzing data.
{"title":"Introduction to Statistics","authors":"Nourhan Gasser","doi":"10.2139/ssrn.3692847","DOIUrl":"https://doi.org/10.2139/ssrn.3692847","url":null,"abstract":"The word \"statistics\" was used to express the process of counting things. Statistics were used to express the enumeration of the state's resources in terms of population and resources such as counting the population with the aim of determining the value of taxes. Statistics is defined as the science concerned with the methods and methods of collecting and analyzing data.","PeriodicalId":208149,"journal":{"name":"Finance Educator: Courses","volume":"63 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126434274","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
According to Enron cases, it was the biggest scandal ever made in the U.S. history. A company that huge finally collapses within one night. All those problems occur during the responsibilities of two biggest scams, Jeff Skilling and Andy Fastows. No one knows that these two persons are a very bad person. No one thought so until the day Enron falls to the ground.
{"title":"Reviewing Enron Scandal","authors":"Badruldeen Mohd Ali","doi":"10.2139/ssrn.3697549","DOIUrl":"https://doi.org/10.2139/ssrn.3697549","url":null,"abstract":"According to Enron cases, it was the biggest scandal ever made in the U.S. history. A company that huge finally collapses within one night. All those problems occur during the responsibilities of two biggest scams, Jeff Skilling and Andy Fastows. No one knows that these two persons are a very bad person. No one thought so until the day Enron falls to the ground.","PeriodicalId":208149,"journal":{"name":"Finance Educator: Courses","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129994007","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Market lore recounts a host of fabled asset price bubbles: the Dutch tulip bubble of the 1630s, the South Sea and Mississippi bubbles of 1720, the dot-com bubble of the late 1990s, and the global real estate bubble of the mid-2000s. One survey reported the occurrence of some 60 bubbles since the 17th century. Despite their apparent prevalence, asset price bubbles are a challenging theoretical and empirical concept. The aims of this note are to: explore the concept of an asset price bubble; consider some tell-tale signs of a bubble from the standpoints of economic theory, empirical research, and market lore; survey evidence about the existence of bubbles; summarize theories about the causes of bubbles—especially the apparent irrationality of bubbles and the behavior of rational sophisticated investors in buying into them; and finally, highlight some of the regulatory dilemmas that bubbles present. Although the existence of the occasional asset price bubble may seem obvious to the casual observer, this note explains why bubbles are hard to identify and challenging to trade upon. Excerpt UVA-F-1919 Nov. 7, 2019 Asset Price Bubbles Market lore recounts a host of fabled asset price bubbles: the Dutch tulip bubble of the 1630s, the South Sea and Mississippi bubbles of 1720, the dot-com bubble of the late 1990s, and the global real estate bubble of the mid-2000s. One survey reported the occurrence of some 60 bubbles since the 17th century. Despite their apparent prevalence, asset price bubbles are a challenging theoretical and empirical concept. The aims of this note are to: Explore the concept of an asset price bubble. Consider some tell-tale signs of a bubble from the standpoints of economic theory, empirical research, and market lore. . . .
{"title":"Asset Price Bubbles","authors":"R. Bruner, Michael J. Schill","doi":"10.2139/ssrn.3682587","DOIUrl":"https://doi.org/10.2139/ssrn.3682587","url":null,"abstract":"Market lore recounts a host of fabled asset price bubbles: the Dutch tulip bubble of the 1630s, the South Sea and Mississippi bubbles of 1720, the dot-com bubble of the late 1990s, and the global real estate bubble of the mid-2000s. One survey reported the occurrence of some 60 bubbles since the 17th century. Despite their apparent prevalence, asset price bubbles are a challenging theoretical and empirical concept. The aims of this note are to: explore the concept of an asset price bubble; consider some tell-tale signs of a bubble from the standpoints of economic theory, empirical research, and market lore; survey evidence about the existence of bubbles; summarize theories about the causes of bubbles—especially the apparent irrationality of bubbles and the behavior of rational sophisticated investors in buying into them; and finally, highlight some of the regulatory dilemmas that bubbles present. Although the existence of the occasional asset price bubble may seem obvious to the casual observer, this note explains why bubbles are hard to identify and challenging to trade upon. \u0000 \u0000Excerpt \u0000 \u0000UVA-F-1919 \u0000 \u0000Nov. 7, 2019 \u0000 \u0000Asset Price Bubbles \u0000 \u0000Market lore recounts a host of fabled asset price bubbles: the Dutch tulip bubble of the 1630s, the South Sea and Mississippi bubbles of 1720, the dot-com bubble of the late 1990s, and the global real estate bubble of the mid-2000s. One survey reported the occurrence of some 60 bubbles since the 17th century. Despite their apparent prevalence, asset price bubbles are a challenging theoretical and empirical concept. The aims of this note are to: \u0000 \u0000Explore the concept of an asset price bubble. \u0000 \u0000Consider some tell-tale signs of a bubble from the standpoints of economic theory, empirical research, and market lore. \u0000 \u0000. . .","PeriodicalId":208149,"journal":{"name":"Finance Educator: Courses","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128972249","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-09-01DOI: 10.5709/ce.1897-9254.413
Hussein Jalil Mohsin, S. A. Ahmed, D. Štreimikienė
Financial performance is the measure of an organization’s productivity and effectiveness. It is used as an indicator of an organization’s ability to use available resources in generating returns and profits for its stakeholders. Determinants of financial performance include employee productivity, leadership in the organization and resource use. An organization’s financial performance defines its continuity. Stability in an organization is dependent on its financial accounting and management. In the world today, an organization’s corporate success is influenced by factors that are often out of its control. The external environment of an organization entails a variety of factors whose existence influences its performance and behaviors. The action of these factors directly or indirectly affects organizations. Organizations have to conform to these external factors for their survival. Organizations are environment-dependent and environment serving. An organization is impacted by the environment in which they operate and its success is solely dependent on its ability to adapt to its environment. Changes in external environment factors have a significant impact on the organization’s survival and success. The purpose of this research was to assess the effect of external factors on an organization’s cash flow. The aim of the study was to obtain data on these external factors and analyze them with the view of finding out their relationship with financial performance of organizations. Linear regression analysis was to find the correlation between the external factors and organization’s financial performance.
{"title":"Evaluating the Financial Performance by Considering the Effect of External Factors on Organization Cash Flow","authors":"Hussein Jalil Mohsin, S. A. Ahmed, D. Štreimikienė","doi":"10.5709/ce.1897-9254.413","DOIUrl":"https://doi.org/10.5709/ce.1897-9254.413","url":null,"abstract":"Financial performance is the measure of an organization’s productivity and effectiveness. It is used as an indicator of an organization’s ability to use available resources in generating returns and profits for its stakeholders. Determinants of financial performance include employee productivity, leadership in the organization and resource use. An organization’s financial performance defines its continuity. Stability in an organization is dependent on its financial accounting and management. In the world today, an organization’s corporate success is influenced by factors that are often out of its control. The external environment of an organization entails a variety of factors whose existence influences its performance and behaviors. The action of these factors directly or indirectly affects organizations. Organizations have to conform to these external factors for their survival. Organizations are environment-dependent and environment serving. An organization is impacted by the environment in which they operate and its success is solely dependent on its ability to adapt to its environment. Changes in external environment factors have a significant impact on the organization’s survival and success. The purpose of this research was to assess the effect of external factors on an organization’s cash flow. The aim of the study was to obtain data on these external factors and analyze them with the view of finding out their relationship with financial performance of organizations. Linear regression analysis was to find the correlation between the external factors and organization’s financial performance.","PeriodicalId":208149,"journal":{"name":"Finance Educator: Courses","volume":"101 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120949996","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Securities borrowing and lending are critical to proper functioning of securities markets. To alleviate securities owners’ exposure to borrower default risk, overcollateralization and indemnification are provided by the borrower and the lending agent respectively. Haircuts as the level of overcollateralization and the cost of indemnification are naturally interrelated: the higher haircut is, the lower cost shall become. This article presents a method of quantifying their relationship. Borrower dependent haircuts satisfying the lender’s credit risk appetite are computed for US Treasuries and main equities by applying a repo haircut model to bilateral securities lending transactions. Indemnification is designed to fulfill a triple-A risk appetite when the transaction haircut fails to deliver. The cost of indemnification consists of a risk charge, a capital charge, and a funding charge, each corresponding to the expected loss, the economic capital, and the redundant fund needed to arrive at the triple-A haircut.
{"title":"Securities Lending Haircuts and Indemnification Pricing","authors":"W. Lou","doi":"10.2139/ssrn.3682930","DOIUrl":"https://doi.org/10.2139/ssrn.3682930","url":null,"abstract":"Securities borrowing and lending are critical to proper functioning of securities markets. To alleviate securities owners’ exposure to borrower default risk, overcollateralization and indemnification are provided by the borrower and the lending agent respectively. Haircuts as the level of overcollateralization and the cost of indemnification are naturally interrelated: the higher haircut is, the lower cost shall become. This article presents a method of quantifying their relationship. Borrower dependent haircuts satisfying the lender’s credit risk appetite are computed for US Treasuries and main equities by applying a repo haircut model to bilateral securities lending transactions. Indemnification is designed to fulfill a triple-A risk appetite when the transaction haircut fails to deliver. The cost of indemnification consists of a risk charge, a capital charge, and a funding charge, each corresponding to the expected loss, the economic capital, and the redundant fund needed to arrive at the triple-A haircut.","PeriodicalId":208149,"journal":{"name":"Finance Educator: Courses","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122053438","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The publish-or-perish principle has become a fact of academic life in gaining a position or being promoted. Evidence is mounting that benefits of this pressure is being countered by the downsides, notably by means of scientific misconduct or forms of goal displacement by scientists. In this paper we evaluate whether perceived work pressure (publishing, acquisition funds, teaching, administration) is associated with different attitudes towards science and the workplace among economists working at Dutch universities. Based on latent class analysis one can detect a clear divide among economists. Approximately two thirds of the economists perceives that this pressure has more downsides than upsides and one third only perceives only upsides and no downsides. Work pressure does not seem to drive this divide as both classes do not differ in terms of work pressure. Whether one is an optimist or a skeptic of the publish-or-perish principle is more tied to one’s position in the hierarchy. Full professors see far more than other faculty members the positive sides of the publish-or-perish principle.
{"title":"How the Publish-or-Perish Principle Divides a Science: The Case of Academic Economists","authors":"H. van Dalen","doi":"10.2139/ssrn.3677741","DOIUrl":"https://doi.org/10.2139/ssrn.3677741","url":null,"abstract":"The publish-or-perish principle has become a fact of academic life in gaining a position or being promoted. Evidence is mounting that benefits of this pressure is being countered by the downsides, notably by means of scientific misconduct or forms of goal displacement by scientists. In this paper we evaluate whether perceived work pressure (publishing, acquisition funds, teaching, administration) is associated with different attitudes towards science and the workplace among economists working at Dutch universities. Based on latent class analysis one can detect a clear divide among economists. Approximately two thirds of the economists perceives that this pressure has more downsides than upsides and one third only perceives only upsides and no downsides. Work pressure does not seem to drive this divide as both classes do not differ in terms of work pressure. Whether one is an optimist or a skeptic of the publish-or-perish principle is more tied to one’s position in the hierarchy. Full professors see far more than other faculty members the positive sides of the publish-or-perish principle.","PeriodicalId":208149,"journal":{"name":"Finance Educator: Courses","volume":"304 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114526919","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
It is common to come across SAS or Stata manuals while working on academic empirical finance research. Nonetheless, given the popularity of open-source programming languages such as R, there are fewer resources in R covering popular databases such as CRSP and COMPUSTAT. The aim of this article is to bridge the gap and illustrate how to leverage R in working with both datasets. As an application, I illustrate how to form size-value portfolios with respect to Fama and French (1993) and study the sensitivity of the results with respect to different inputs. Ultimately, the purpose of the article is to advocate reproducible finance research and to contribute to the recent idea of "Open Source Cross-Sectional Asset Pricing'', proposed by Chen and Zimmermann (2020).
{"title":"Working with CRSP/COMPUSTAT in R: Reproducible Empirical Asset Pricing","authors":"M. Simaan","doi":"10.2139/ssrn.3676675","DOIUrl":"https://doi.org/10.2139/ssrn.3676675","url":null,"abstract":"It is common to come across SAS or Stata manuals while working on academic empirical finance research. Nonetheless, given the popularity of open-source programming languages such as R, there are fewer resources in R covering popular databases such as CRSP and COMPUSTAT. The aim of this article is to bridge the gap and illustrate how to leverage R in working with both datasets. As an application, I illustrate how to form size-value portfolios with respect to Fama and French (1993) and study the sensitivity of the results with respect to different inputs. Ultimately, the purpose of the article is to advocate reproducible finance research and to contribute to the recent idea of \"Open Source Cross-Sectional Asset Pricing'', proposed by Chen and Zimmermann (2020).","PeriodicalId":208149,"journal":{"name":"Finance Educator: Courses","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126354043","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
京公网安备 11010802042870号
京ICP备2023020795号-1
扫码关注我们
求助内容：
应助结果提醒方式：