Évaluation: l’indépendance à l’épreuve de la relation entre mandants et mandataires

L’article suivant rend compte des résultats d’un atelier tenu à l’occasion du congrès 2015 de la SEVAL. L’atelier portait sur l’indépendance des évaluateurs et des évaluatrices du point de vue de leur relation avec les commanditaires de l’évaluation. Sur la base d’un exemple de mandat concret présenté par deux intervenants – l’évaluatrice ainsi que le conseiller d’État mandant de l’évaluation en question – les différents garde-fous contractuels, communicationnels et procéduraux aptes à garantir une pleine indépendance de l’évaluation ont été discutés. Il en est ressorti que quatre dimensions étaient cruciales pour le succès de la démarche : les conditions-cadres de l’évaluation, la récolte des données, les relations avec les évalués, ainsi que la phase de restitution des résultats.

Empirical Analysis of Credit Risk Regime Switching and Temporal Conditional Default Correlation in Credit Default Swap Valuation: The Market liquidity effect

In this paper, we extend the debate concerning Credit Default Swap valuation to include time varying correlation and co-variances. Traditional multi-variate techniques treat the correlations between covariates as constant over time; however, this view is not supported by the data. Secondly, since financial data does not follow a normal distribution because of its heavy tails, modeling the data using a Generalized Linear model (GLM) incorporating copulas emerge as a more robust technique over traditional approaches. This paper also includes an empirical analysis of the regime switching dynamics of credit risk in the presence of liquidity by following the general practice of assuming that credit and market risk follow a Markov process. The study was based on Credit Default Swap data obtained from Bloomberg that spanned the period January 1st 2004 to August 08th 2006. The empirical examination of the regime switching tendencies provided quantitative support to the anecdotal view that liquidity decreases as credit quality deteriorates. The analysis also examined the joint probability distribution of the credit risk determinants across credit quality through the use of a copula function which disaggregates the behavior embedded in the marginal gamma distributions, so as to isolate the level of dependence which is captured in the copula function. The results suggest that the time varying joint correlation matrix performed far superior as compared to the constant correlation matrix; the centerpiece of linear regression models.

US Corporate Default Swap Valuation: The Market Liquidity Hypothesis and Autonomous Credit Risk

This paper develops a reduced form three-factor model which includes a liquidity proxy of market conditions which is then used to provide implicit prices. The model prices are then compared with observed market prices of credit default swaps to determine if swap rates adequately reflect market risks. The findings of the analysis illustrate the importance of liquidity in the valuation process. Moreover, market liquidity, a measure of investors. willingness to commit resources in the credit default swap (CDS) market, was also found to improve the valuation of investors. autonomous credit risk. Thus a failure to include a liquidity proxy could underestimate the implied autonomous credit risk. Autonomous credit risk is defined as the fractional credit risk which does not vary with changes in market risk and liquidity conditions.

Analysis of the LIFO inventory valuation method during the onset of IFRS

I propose that the Last in, First out (LIFO) inventory valuation method needs to be reevaluated. I will evaluate the impact of the LIFO method on earnings of publically traded companies with a LIFO reserve over the past 10 years. I will begin my proposal with the history of how the LIFO method became an acceptable valuation method and discuss the significance of LIFO within the accounting profession Next I will provide a description of LIFO, the First in, First out (FIFO), and the weighted average inventory valuation methods and explore the differences among each. More specifically, I will explore the arguments for and against the use of the LIFO method and the potential shift towards financial standards that do not allow LIFO (a standard adopted and influenced by the International Financial Accounting Standards Board). Data will be collected from Compustat for publicly traded companies (with a LIFO Reserve) for the past 10 years. I will document which firms use LIFO, analyze trends relating to LIFO usage and LIFO reserves (the difference in the cost of inventory between using LIFO and FIFO), and evaluate the effect on earnings. The purpose of this research is to evaluate the accuracy of LIFO in portraying earnings and to see how much tax has gone uncollected over the years because of the use of LIFO. Moreover, I will provide an opinion as to whether U.S. GAAP should adopt a standard similar to IFRS and ban the LIFO method.

Valuation of a new entrant in an oligopolistic market, including its option to abandon: A real-life case

The purpose of this paper is to increase current empirical evidence on the relevance of real options for explaining firm investment decisions in oligopolistic markets. We study an actual investment case in the Spanish mobile telephony industry, the entrant in the market of a new operator, Yoigo. We analyze the option to abandon in order to show the relevance of the possibility of selling the company in an oligopolistic market where competitors are not allowed free entrance. The NPV (net present value) of the new entrant is calculated as a starting point. Then, based on the general approach proposed by Copeland and Antikarov (2001), a binomial tree is used to model managerial flexibility in discrete time periods, and value the option to abandon. The strike price of the option is calculated based on incremental EBITDA margins due to selling customers or merging with a competitor.

Sustainable Planning And Land Valuation, New Forms Of Suburban Growth In Areas Of The Spanish Mediterranean Coast

The present study analyzes residential models in coastal areas with large influxes of tourism, the sustainability of their planning and its repercussion on urban values. The project seeks to establish a methodology for territorial valuation through the analysis of externalities that have influenced urban growth and its impact on the formation of residential real estate values. This will make it possible to create a map for qualitative land valuation, resulting from a combination of environmental, landscape, social and productive valuations. This in turn will establish a reference value for each of the areas in question, as well as their spatial interrelations. These values become guidelines for the study of different territorial scenarios, which help improve the sustainable territorial planning process. This is a rating scale for urban planning. The results allow us to establish how the specific characteristics of the coast are valued and how they can be incorporated into sustainable development policies.

Évaluation de l’aléa et du risque sismique en Haïti dirigée vers la conception parasismique

Après le séisme qui eut lieu en Haïti le 12 janvier 2010, dont l’épicentre a été localisé non loin de la capitale, Port-au-Prince (25 km en direction sud-est), d’une magnitude Mw 7.0 et à une profondeur de 13 km, le pays s’est retrouvé dans une situation catastrophique et d’extrême pauvreté, avec des graves carences en matière de santé, nutrition, éducation et logement. Les effets du tremblement de terre ont été dévastateurs pour la population : on compte plus de 300.000 morts, presque autant de blessés et 1,3 millions de sans-abri logès dans des campements « provisoires ». Quant aux conséquences matérielles, le séisme a totalement détruit près de 100.000 maisons et endommagé près de 200.000 (source : USGS). Ce tremblement de terre a été le plus fort enregistré dans la zone depuis 1770. De plus le séisme fut perceptible dans des pays voisins comme Cuba, la Jamaïque et la République Dominicaine, où il a provoqué l’alarme et des évacuations préventives. La reconstruction du pays reste un sujet prioritaire pour la coopération internationale. Le présent projet, SISMO-HAITÍ, a été développé dans le but d’apporter la connaissance et l’information nécessaires afin de faciliter la prise de mesures préventives face au risque sismique existant, afin d’éviter qu’un éventuel futur séisme ne déclenche une nouvelle catastrophe. Dans le cas d’Haïti, aucune institution n’était chargée d’assurer une surveillance sismique, mais un contact direct a été établi avec l’Observatoire National de l’Environnement et de la Vulnérabilité (ONEV) en Haïti à travers son directeur Dwinel Belizaire Ing. M. Sc., qui est précisément celui qui a sollicité l’aide qui a motivé la présente proposition. Le but ultime de ce projet est l’étude des mesures d’atténuation du risque élevé qui demeure, contribuant ainsi au développement durable de la région. Dans cette optique, la menace sismique en Haïti a été évaluée, constituant la base sur laquelle on prétend élaborer des critères de conception parasismique pour la reconstruction du pays qui pourront être inclus dans la première version de la norme antisismique, ainsi que le risque sismique à Port-au-Prince, dont les résultats serviront de base pour élaborer les plans d’urgence face à ce risque naturel. Les objectifs spécifiques atteints sont : • Évaluation de l'aléa sismique en Haïti. On en obtient des cartes de différents paramètres de mouvement pour différentes probabilités de dépassement (ce qui suppose connaître la probabilité associée aux mouvements dus à des tremblements futurs). • Évaluation de l'effet local à Port-au-Prince et élaboration d'une carte de microzonage de la ville. • Étude de la vulnérabilité sismique locale à Port-au-Prince. • Estimation du risque sismique à Port-au-Prince. • Mesures d'atténuation du risque et de conception parasismique. Ce rapport résume les activités et les résultats obtenus a cours de l'année 2011 lors de la mise en œuvre de ce projet. Le groupe de travail est une équipe multidisciplinaire composée de chercheurs de différents établissements universitaires et de recherche (Université Polytechnique de Madrid-UPM-, Conseil Supérieur de la Recherche Scientifique (CSIC) ; U. Complutense de Madrid-UCM-, U-UA-Alicante, Almeria-UAL-U., U. Autonome de Saint-Domingue, UASD et Université de Porto Rico Mayagüez--UPRM) experts dans les diverses matières impliquées dans le projet: géologie, sismologie, génie parasismique, architecture et gestion de l'information géographique. Tous les membres de cette équipe ont travaillé ensemble tout au long de l'année, en réalisant des réunions, des ateliers de travail, des vidéoconférences, en plus d'une visite à Port-au-Prince en Juillet 2011 afin de procéder à la première collecte de données.

Valuation: Developer support for by-references to by-value type conversion.

Modern object oriented languages like C# and JAVA enable developers to build complex application in less time. These languages are based on selecting heap allocated pass-by-reference objects for user defined data structures. This simplifies programming by automatically managing memory allocation and deallocation in conjunction with automated garbage collection. This simplification of programming comes at the cost of performance. Using pass-by-reference objects instead of lighter weight pass-by value structs can have memory impact in some cases. These costs can be critical when these application runs on limited resource environments such as mobile devices and cloud computing systems. We explore the problem by using the simple and uniform memory model to improve the performance. In this work we address this problem by providing an automated and sounds static conversion analysis which identifies if a by reference type can be safely converted to a by value type where the conversion may result in performance improvements. This works focus on C# programs. Our approach is based on a combination of syntactic and semantic checks to identify classes that are safe to convert. We evaluate the effectiveness of our work in identifying convertible types and impact of this transformation. The result shows that the transformation of reference type to value type can have substantial performance impact in practice. In our case studies we optimize the performance in Barnes-Hut program which shows total memory allocation decreased by 93% and execution time also reduced by 15%.

A Valuation of SAREB, the Spanish “Bad Bank”, Upside Using the Real Options Methodology

This paper develops a model to analyze the upside potential of profitability of the SAREB (“Asset Management Company for Assets Arising from Bank Restructuring”), the Spanish “Bad Bank”. The model is based in the Real Options methodology, that is especially adequate due to the convergence of two elements, (i) depreciated assets with a high upside potential, and (ii) a highly volatile market as it has shown to be the real estate Spanish market. Our results suggest that the SAREB has a higher than expected profitability potentialthat would be dedicated to increase the return to its shareholders, mainly private banks. Consequently we also show that after the financial crisis are emerging two types of banks in Spain, in one hand the losers who are transferring their real estate assets at a deep discount, and in the other hand the winners, capturing the upside potential of those assets as shareholders of SAREB, and consequently consolidating their strength in the Spanish Real Estate Industry. It is worth to mention that Governments should make an effort in properly redistribute the wealth generated by the real Estate industry.

Hybrid wind-diesel power plant valuation and optimization using real option theory and dynamic programming

El sistema de energía eólica-diesel híbrido tiene un gran potencial en la prestación de suministro de energía a comunidades remotas. En comparación con los sistemas tradicionales de diesel, las plantas de energía híbridas ofrecen grandes ventajas tales como el suministro de capacidad de energía extra para "microgrids", reducción de los contaminantes y emisiones de gases de efecto invernadero, y la cobertura del riesgo de aumento inesperado del precio del combustible. El principal objetivo de la presente tesis es proporcionar nuevos conocimientos para la evaluación y optimización de los sistemas de energía híbrido eólico-diesel considerando las incertidumbres. Dado que la energía eólica es una variable estocástica, ésta no puede ser controlada ni predecirse con exactitud. La naturaleza incierta del viento como fuente de energía produce serios problemas tanto para la operación como para la evaluación del valor del sistema de energía eólica-diesel híbrido. Por un lado, la regulación de la potencia inyectada desde las turbinas de viento es una difícil tarea cuando opera el sistema híbrido. Por otro lado, el bene.cio económico de un sistema eólico-diesel híbrido se logra directamente a través de la energía entregada a la red de alimentación de la energía eólica. Consecuentemente, la incertidumbre de los recursos eólicos incrementa la dificultad de estimar los beneficios globales en la etapa de planificación. La principal preocupación del modelo tradicional determinista es no tener en cuenta la incertidumbre futura a la hora de tomar la decisión de operación. Con lo cual, no se prevé las acciones operativas flexibles en respuesta a los escenarios futuros. El análisis del rendimiento y simulación por ordenador en el Proyecto Eólico San Cristóbal demuestra que la incertidumbre sobre la energía eólica, las estrategias de control, almacenamiento de energía, y la curva de potencia de aerogeneradores tienen un impacto significativo sobre el rendimiento del sistema. En la presente tesis, se analiza la relación entre la teoría de valoración de opciones y el proceso de toma de decisiones. La opción real se desarrolla con un modelo y se presenta a través de ejemplos prácticos para evaluar el valor de los sistemas de energía eólica-diesel híbridos. Los resultados muestran que las opciones operacionales pueden aportar un valor adicional para el sistema de energía híbrida, cuando esta flexibilidad operativa se utiliza correctamente. Este marco se puede aplicar en la optimización de la operación a corto plazo teniendo en cuenta la naturaleza dependiente de la trayectoria de la política óptima de despacho, dadas las plausibles futuras realizaciones de la producción de energía eólica. En comparación con los métodos de valoración y optimización existentes, el resultado del caso de estudio numérico muestra que la política de operación resultante del modelo de optimización propuesto presenta una notable actuación en la reducción del con- sumo total de combustible del sistema eólico-diesel. Con el .n de tomar decisiones óptimas, los operadores de plantas de energía y los gestores de éstas no deben centrarse sólo en el resultado directo de cada acción operativa, tampoco deberían tomar decisiones deterministas. La forma correcta es gestionar dinámicamente el sistema de energía teniendo en cuenta el valor futuro condicionado en cada opción frente a la incertidumbre. ABSTRACT Hybrid wind-diesel power systems have a great potential in providing energy supply to remote communities. Compared with the traditional diesel systems, hybrid power plants are providing many advantages such as providing extra energy capacity to the micro-grid, reducing pollution and greenhouse-gas emissions, and hedging the risk of unexpected fuel price increases. This dissertation aims at providing novel insights for assessing and optimizing hybrid wind-diesel power systems considering the related uncertainties. Since wind power can neither be controlled nor accurately predicted, the energy harvested from a wind turbine may be considered a stochastic variable. This uncertain nature of wind energy source results in serious problems for both the operation and value assessment of the hybrid wind-diesel power system. On the one hand, regulating the uncertain power injected from wind turbines is a difficult task when operating the hybrid system. On the other hand, the economic profit of a hybrid wind-diesel system is achieved directly through the energy delivered to the power grid from the wind energy. Therefore, the uncertainty of wind resources has increased the difficulty in estimating the total benefits in the planning stage. The main concern of the traditional deterministic model is that it does not consider the future uncertainty when making the dispatch decision. Thus, it does not provide flexible operational actions in response to the uncertain future scenarios. Performance analysis and computer simulation on the San Cristobal Wind Project demonstrate that the wind power uncertainty, control strategies, energy storage, and the wind turbine power curve have a significant impact on the performance of the system. In this dissertation, the relationship between option pricing theory and decision making process is discussed. A real option model is developed and presented through practical examples for assessing the value of hybrid wind-diesel power systems. Results show that operational options can provide additional value to the hybrid power system when this operational flexibility is correctly utilized. This framework can be applied in optimizing short term dispatch decisions considering the path-dependent nature of the optimal dispatch policy, given the plausible future realizations of the wind power production. Comparing with the existing valuation and optimization methods, result from numerical example shows that the dispatch policy resulting from the proposed optimization model exhibits a remarkable performance in minimizing the total fuel consumption of the wind-diesel system. In order to make optimal decisions, power plant operators and managers should not just focus on the direct outcome of each operational action; neither should they make deterministic decisions. The correct way is to dynamically manage the power system by taking into consideration the conditional future value in each option in response to the uncertainty.

No. 13 Statement of Col. purchases since last valuation--amount of Interest on all purchase monies within the last 10 years, & annual rent of all other rented real Estate belonging to College, [1799]

One octavo-sized leaf containing a short handwritten list of accounting figures.

11. Valuation, [1799]

One octavo-sized leaf containing an untitled handwritten list of types of property and land (e.g. dwelling houses, building, acres of tillage) and related valuations, presumably in the town of Cambridge.