CEEAplA Working Paper Series 2008
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Browsing CEEAplA Working Paper Series 2008 by Author "Couto, Gualter"
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- Basel II : operational risk measurement in the portuguese Banking sector and an evaluation of the quantitive impactsPublication . Couto, Gualter; Bulhões, KevinThe present work is aimed at understanding the general notion and origin of the New Basel Accord, which intends to attain international bank stability, emphasizing the convergence between regulatory capital and economic capital, applying its risk sensitive methodologies. This work focuses on one of the principal novelties of Basel II – operational risk and its respective methodologies for calculating minimum capital requirements. The New Capital Accord encourages financial institutions to gradually evolve from basic to sophisticated methodologies. Institutions using more sophisticated methods will be rewarded by deductions on the capital allocated for the calculation of the capital ratio. The methodologies associated to operational risk will be applied to a group of national banking institutions. These methodologies are referred to in Pillar I of the New Capital Accord: (i) basic indicator approach, (ii) the standardized approach and (iii) the alternative standardized approach. The purpose of this practical application is to evaluate and quantify the impact due to the introduction of Basel II.
- O estado da arte na convergência contabilística internacionalPublication . Cordeiro, Ruben; Couto, GualterO fenómeno da globalização tem forçado determinadas ciências a estudar novos paradigmas. Também na contabilidade assiste-se a alterações profundas no âmbito da preparação e divulgação da informação financeira, uma vez que os interessados por esta actuam globalmente. Desta forma, há uma necessidade evidente em conciliar ou unificar normas e práticas contabilísticas em países ou regiões, que possam favorecer a comparabilidade da informação, a economia de tempo na preparação e divulgação financeira e a maior consistência dos factores económicos, legais e sociais. Há muitos interessados na criação de sistemas contabilísticos globais, quer por via da harmonização quer pela normalização contabilística. Pese embora o desejo colectivo de convergir, existem diversos factores exógenos ou endógenos, muitos deles históricos, que condicionam e formam cada sistema contabilístico, dando origem à actual diversidade contabilística internacional. Esta diferença conceptual e os respectivos factores condicionadores representam um obstáculo, embora indirecto, à livre convergência contabilística internacional. Por outro lado, os opositores actuam de formas contrária à redução da diversidade contabilística. São considerados elementos obstáculos directos ao processo de convergência contabilística internacional.
- Expected time to invest in a new locationPublication . Couto, Gualter; Nunes, Cláudia; Silva, BrunoIn this paper we study the expected time to invest in a new location. In particular we derive expected values of the optimal timing regarding the decision of relocation of a company. We address two classes of scenarios. In the first one we assume that new (and potentially more efficient) spots become available according to a non-homogeneous Poisson process, whereas in the second we assume a conditional Poisson process. For both scenarios we derive mathematical expressions for the expected value of the firm in specific situations, where the intensity function is some particular function. We end up the paper presenting numerical illustrations of the derived results.
- Future entrepreneur’s profilePublication . Silva, Francisco; Couto, Gualter; Coelho, HugoGiven that entrepreneurship plays a key role in the development of a country’s economy, governments should stimulate entrepreneurial orientation, particularly among youngsters in their formative years; schools must play a pertinent role in the promotion and support of these capacities. Indeed, the European Commission advises that schools foster such skills. In this context, we apply a frame to screen school populations in the Azores Islands, Portugal, for prospects of entrepreneurship and to study the profiles of those who noticeably show entrepreneurial orientations. Knowing the ideal combination of personality traits that foretell young entrepreneurs, schools can develop the syllabuses that are best aimed at promoting entrepreneurship and increasing the capacities of those who prove to be entrepreneurially oriented. This work leads to the following main findings: first, that one quarter of all senior students in high school in the Azores Islands bears prospects for entrepreneurship and, second, this same group shows a well-defined psychological profile that may vary depending on one’s willingness to expend effort.
- High speed rail transport valuationPublication . Pimentel, Pedro; Azevedo-Pereira, José; Couto, GualterThe present paper investigates the optimal timing of investment for a high speed rail (HSR) project, in an uncertain environment, using a real options analysis (ROA) framework. It develops a continuous time framework with stochastic demand that allows for the determination of the optimal timing of investment and the value of the option to defer in the overall valuation of the project. The modelling approach used is based on the differential utility provided to railway users by the HSR service.
- High speed rail transport valuation and policy decisionsPublication . Pimentel, Pedro; Azevedo-Pereira, José; Couto, GualterThe present paper investigates the process of decision making regarding the optimal timing to invest in the high speed rail (HSR) project, under uncertainty, using the real options analysis (ROA) framework. It’s developed a continuous time framework that allows a solution to the problem concerning the optimal timing to invest and to value the impact of the option to defer in the overall valuation of the project, with multiple uncertainty factors. Besides considering a stochastic demand, the effect of uncertainty in the investment’s expenditure and over the benefit per user is incorporated in a model with three stochastic variables. The modelling approach used is based on the differential utility provided to railway users by the HSR service.
- Real Options Valuation : an application to the portuguese real estate marketPublication . Oliveira, Carla; Couto, Gualter; Pimentel, PedroThe contribution of real options analysis on the valuation of Portuguese undeveloped building sites is significant on the decision making regarding the apartment-buildings construction. Using the options model developed by Quigg (1993), and including the necessary readjustments for the Portuguese market, it was found that the scale price elasticity parameter and construction expenditures’ elasticity of scale parameter had a strong impact on building sites’ values. The empirical analysis revealed that the option to defer adds value to undeveloped building sites’ valuations. This fact cannot be ignored when deciding upon an investment’s implementation.
- Some general results about the optimal timing of relocationPublication . Azevedo-Pereira, José; Couto, Gualter; Nunes, CláudiaIn this paper we derive general results concerning the optimal switching level in the problem of the optimal relocation policy for a firm that faces two types of uncertainty: one about the moments in which new (and more efficient) sites will become available; and the other regarding the degree of efficiency improvement inherent to each one of these new, yet to be known, potential location places. In particular, we note that the optimal switching level depends on the distribution of the degree of efficiency improvement only through an expected value. Impacts on the final results driven by the characteristics of the firm’s original location site, the market environment and the way in which risk is modelled are studied numerically. The overall results are in line with economic intuition.