Valuation Problem Research Articles

ПРОБЛЕМЫ ОБРАЩЕНИЯ ВЗЫСКАНИЯ НА ЗАЛОЖЕННЫЕ ИСКЛЮЧИТЕЛЬНЫЕ ПРАВА ДОЛЖНИКА ПРИ ПРОЦЕДУРЕ БАНКРОТСТВА В РА И РФ

The article studies the mechanism of foreclosure on such an intangible asset of the debtor as objects of exclusive rights. The features of the realization of the rights to exclusive rights in the bankruptcy of the debtor, the procedure for foreclosure, ways to include such a right in the bankruptcy estate are considered. The article also discusses the problems of valuation of such property

ECONOMIC VALUATION OF FOREST ECOSYSTEM SERVICES IN THE NATIONAL PARK “BURABAY” USING CONTINGENT VALUATION METHOD

The article considers Contingent Valuation Method (CVM) which is used to estimate economic values for all kinds of ecosystem and environmental services. The contingent valuation method involves directly asking people, in a survey, how much they would be willing to pay for specific environmental services. This method was applied for visitors of the State National Nature Park “Burabay” where 350 respondents were asked. In some cases, people are asked for the amount of compensation they would be willing to accept to give up specific environmental services. Five steps of application of CVM were used: to define the valuation problem; to make preliminary decisions about the survey itself, including whether it will be conducted by mail, phone or in person, how large the sample size will be, who will be surveyed, and other related questions; the actual survey design; the actual survey implementation; to compile, analyze and report the results.

Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model

<p style='text-indent:20px;'>In this paper, we investigate the valuation problem of equity-linked death benefits with a threshold expense structure. Specifically, a regime-switching Lévy process is used to describe the underlying asset price process, which is monitored periodically. The fees are assumed to be continuously deducted at some constant rate from the policyholder's account between the current and next monitoring times, if the account value is smaller than a pre-specified level at the current observation time point. Under the modified threshold expense structure, some explicit valuation expressions for life-contingent call options are derived by the Fourier cosine series expansion method. Numerical results demonstrate the accuracy and efficiency of our method.</p>

MONETARY VALUATION OF AGRICULTURAL LANDS IN THE CONTEXT OF FORMING ECONOMIC RELATIONS IN THE AGRICULTURAL SECTOR OF UKRAINE

Introduction. The basis of the assessment of the market value of agricultural land is the theory of land rent or excess income generated during the use of land for obtaining the agricultural products. In turn, this income is determined not only by the natural conditions and quality of the land, but also by the prices of the products produced. It is also determined by the quantity, demand and supply of agricultural products in the sales markets, the level of wages and other costs in agricultural production, as well as the prevailing rate of interest on capital and the established rate of profit in agriculture. Methods. To solve the set research tasks, a complex of general scientific research methods was used: abstract and logical (when forming principles, theoretical generalizations and conclusions); monographic (study of scientific works on the regularities of the formation and development of land relations, research on the processes of formation, formation and development of land relations in Ukraine); hypotheses (determining the characteristics of land as a commodity and the specifics of the process of formation of the land market in Ukraine); statistical, method of synthesis and economic analysis, calculation (research of effectiveness and organization of land use in the agricultural sector); specification and formalization (development of approaches for determining the price of agricultural land plots). The results. A scientific approach to the reproduction of land resources in agricultural enterprises is proposed, which is based on a complex of organizational and economic tools of socially responsible management of activities, in particular: calculation of land tax and rent based on the adjustment of the value of agricultural land, creation of a corresponding special fund, motivation of agricultural producers to apply organic fertilizers, which will help increase the fertility of agricultural lands. Discussion. In the post-war period, the problem of monetary valuation of agricultural lands will significantly worsen, which will be caused by the revival of agricultural production in the corporate sector of the agrarian economy. In connection with this, there is a need to use the cost method of price formation, and as the main article, in our opinion; the costs will be related to the reclamation and demining of agricultural land. Keywords: monetary assessment, agricultural land, method, fertility, price.

Peculiarities of applying methods based on decision trees in the problems of real estate valuation

The increasing flow of available market information, the development of methods of machine learning, artificial intelligence and the limited capabilities of traditional methods of real estate valuation are leading to a significant increase of researchers’ interest in real estate valuation by applying methods based on decision trees. At the same time, the distribution of real estate prices is well approximated by a lognormal distribution. Therefore, traditional methods overestimate the predicted values in the region below the average of the available data set and underestimate the predicted values in the region above the average. This article shows the reasons for these features and proposes an adaptive random forest algorithm which corrects the results of the basic algorithm prediction by revising the bias of these predicted values. The results were tested on the real estate offer prices in St. Petersburg.

Model and numerical methods for pricing renewable energy certificate derivatives

Assuming that the price of the renewable energy certificate (REC) is known, we formulate the valuation problem of a European REC derivative in terms of a linear PDE model where the underlying stochastic factors are the accumulated green certificates sold by an authorized producer and the natural logarithm of the renewable generation rate. Next, a result of existence of solution is obtained for this PDE problem. In order to solve numerically the PDE problem, we propose two different methods: a semi-Lagrangian scheme in time combined with finite differences discretizations in the spatial-like variables, or alternative Lagrange–Galerkin methods. The application to the pricing of European options and futures on renewable energy certificates is addressed. Finally, we show illustrative results about the performance of the models and numerical methods that have been implemented.

VALUATION OF MACHINERY AND EQUIPMENT WITH RANDOMLY DEGRADED OPERATING CHARACTERISTICS

Traditionally used methods of machinery and equipment valuation do not take into account the probabilistic nature of the process of their operation. Meanwhile, stochastic models of degradation of technical systems are widely used to solve various problems of the theory of reliability. This article refers to the direction of research in which the models of technical systems degradation used in the reliability theory are applied to the problems of machinery and equipment valuation. The objects of our research are equipment items subject to degradation and random failures. The subject of research is the service life of equipment and their market value. We define the (pre-tax) benefits from the use of equipment as the market value of the work they perform minus operating costs. The market value of equipment is determined by the sum of discounted benefits from its future use. The process of equipment degradation (deterioration of its technical and economic characteristics) is described by a Poisson random process of failures, and for each failure, the performance of the equipment is multiplied by a random coefficient. Operating costs are divided into a variable part depending on the amount of work performed by the equipment and a fixed part. We accept that equipment that has begun to bring negative benefits is decommissioned. The constructed model makes it possible to obtain explicit expressions for the market value of a unit of work performed by equipment, the average value and the coefficient of variation of its service life, and also to find the dependence of the equipment market value on its performance. In some cases, appraiser only knows the age of the equipment being assessed and has no information about its performance. However, equipment of the same age may have different performance. In this situation, he can only estimate the average market value of equipment of a given age.We got an integro-differential equation to calculate this average value. It turned out that in this model it can be expressed as a function of the relative age of the value (the ratio of its age to the average service life) and the coefficient of variation of the service life. The results obtained are presented as graphs that can be directly used to estimate the market value of used machinery and equipment.

Real estate valuation using machine learning techniques

In this work, the methods of artificial intelligence are analyzed in order to perform a more accurate value prediction of the apartments sold in Vilnius city and district. The work uses publicly available information about apartments put for sale on Aruodas.lt, which is collected in an automated way. The information that is collected consists of a text – description of the apartment for sale, photos – photos placed in the ad, and general information provided in the ad – price, location, apartment size, various features of the apartment and more. A constant problem in real estate valuation is the overvaluation of low-value objects and/or underestimation of high-value objects. When dealing with regression problems, we often have data on most average objects, but never enough of cheap and luxurious ones. For this reason, estimating the value of most properties is easier than cheap or expensive. However, as the methods of artificial intelligence evolve and information becomes more and more available, our ability to better value this type of housing increases. It is hoped that the information contained in the photos and text will allow for a better forecast of the value of housing by better valuing both cheap and expensive apartments. In the first part of the work, a review of the literature is performed where other authors have examined the possibilities of using artificial intelligence to predict the value of housing. The second part describes the research methods that will be applied in the work and presents the information gathering strategy. In the third part, a study is conducted, during which feature engineering is performed first, followed by model training and optimization. Finally, the results of the best model with 13.74 MAPE and 33,307 RMSE are presented along with the conclusions of the work.

The problem of valuation of state-owned real estate in the Republic of Moldova

This study examines the issues that arise at the stage of implementation of the enforcement acts on the capitalization of public property in the public domain, especially those faced by real estate appraisers. Conceptual and defining legislative errors are exemplified and analyzed. The authors proposed some solutions in order to harmonize the legislative aspects with the executive ones related to the public patrimony, in particular the correlation of the provisions of the regulation regarding the capitalization of the state-owned lands with the regulations of the evaluation activity in the Republic of Moldova.

Essence and content of anti-crisis management in Russia

The author of the publication reveals the problem of liquidity management and asset valuation during a crisis. These aspects are of particular importance, since their goal is similar: to determine the investment attractiveness of a business and its solvency (both for third-party investors and for self-audit). First of all, the author pays attention to the peculiarities of liquidity management. He emphasizes that a wide range of methods is used to form the liquidity metric. In addition, the author notes that in a crisis situation, attention is also paid to issues related to the implementation of effective working capital management, the purpose of which is to calculate the structure and volume of current assets, the sources from which they are covered, and their relationship relative to each other. According to the theoretical developments of domestic authors in the field of financial management, there are many options for influencing the level of risks. The article provides a list of the main methods widely used in practice in Russia. Further, the author discusses the importance of creating an effective mechanism for anti-crisis management, as well as the high requirements for liquidity management. He reinforces his thoughts with the example of the bankruptcy of Transaero. After that, the author pays attention to the issue of asset management in a crisis period. They identified several effective methods used in the event of a crisis. It is emphasized that asset management takes into account the potential for changes in their market value. In some sectors, the market value of assets can depreciate extremely intensively, while in others, on the contrary, it can increase. According to the author, anti-crisis policy in an unstable economic environment can be reoriented to the use of more rational asset formation tools in the current conditions.

Land Plots Evaluation for Agriculture and Green Energy Projects: How to Overcome the Conflict Using Mathematics

Seventeen sustainable development goals were formulated to create a harmonious world order for the benefit of different nations and peoples. At the same time, economic practice provides a lot of examples of conflicts of an economic nature between individual sustainable development goals. One of these conflicts is the need for environmental imperatives and economic growth when a massive assessment of land used for crop production and green energy projects is needed. The present paper considers a non-traditional approach to the mass evaluation of land plots on the condition that geographic information systems provide the main source of information, such as the case of land allocation for green energy facilities and evaluation of agricultural plots. The novelty of the proposed approach firstly means the development of a comparative approach, which receives much less attention in the valuation literature than cost and income approaches, as it can give an adequate picture of the current state of the market. The model includes the study of the entire dataset, the selection of model distributions and the construction of estimates based on model distributions. The methodology of multivariate lognormal distribution of factors and prices of analogues is used. The peculiarity of the market evaluation of land plots in such cases is, as a rule, the absence of rank predictors and sufficient number of continuous predictors, which provides a base for the application of a novel approach. The method of express testing of hypotheses about joint normality of logarithms of values of pricing factors and prices is proposed. The market value is estimated as an estimate of the modal value of conditional lognormal price distribution. Secondly, the problem of market valuation is solved in case of the almost complete absence of information about price-forming factors in the areas being assessed, and thirdly, the factors are determined based on geoinformation databases (distance to the nearest large city, regional center, federal highway, large rivers, lakes, and solid waste landfills), which allow for market assessment in the absence of information on pricing factors for land plots, except for the offer price and the plot area. The research was necessitated by the claim to determine on a specific date the cadastral value of agricultural land for the purposes of taxation, corresponding to the market value, in the almost complete absence of information on pricing factors in the assessed areas. The value of land reflects a complex combination of factors, so the use of the proposed mathematical toolkit allows for building a consistent model for the evaluation of land where improvements are absent or have no value in terms of land acquisition purposes.

More is exponentially less: marginal utility in critical care research

BACKGROUND: Randomized clinical trials (RCT) in critical care mostly return negative results. The research community discusses strategies to improve RCTs design. METHODS: This paper presents a theoretical framework based on marginal utility to treat the problems of hypothesis generation and treatment effects valuation and presents recently published high-quality studies as instances where such a framework predicts irrelevant findings. RESULTS: Blindness to marginal utility, i.e., inobservance of the marginal utility of the proposed intervention, is common in critical care RCTs. CONCLUSION: Critical care RCTs are usually blind to marginal utility and are, therefore, prone to produce irrelevant findings.

Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk

We present an efficient valuation approach for guaranteed minimum maturity benefits (GMMBs) embedded in variable annuity (VA) contracts in a regime-switching jump diffusion model. We allow early surrender of the VA contract and impose surrender charges, which are important in practice to discourage early termination/lapse of the contract. We consider both continuously-monitored and discretely-monitored surrender behaviors before maturity, and utilize an intensity-based framework. Based on the continuous-time Markov chain (CTMC) approximation combined with the Fourier cosine series expansion method, we find that the valuation problem can be solved under a regime-switching jump diffusion framework. Both error analysis and numerical experiments demonstrate the accuracy and efficiency of the proposed method.

Pricing renewable energy certificates with a Crank–Nicolson Lagrange–Galerkin numerical method

The valuation problem of renewable energy certificates can be formulated in terms of a nonlinear PDE model where the underlying stochastic factors are the accumulated green certificates sold by an authorized producer and the natural logarithm of the renewable generation rate. In the present paper, the nonlinear convective term is treated with the Bermúdez–Moreno duality method for maximal monotone operators as in Baamonde-Seoane et al. (2021). The main novelty of this article comes from the proposed techniques for the numerical solution of the resulting linear problem. In this case, we propose a Lagrange–Galerkin method which mainly consists of Crank–Nicolson characteristics for time discretization combined with finite elements for the discretization in the accumulated green certificates and the natural logarithm of the renewable generation rate directions. Finally, several numerical examples are presented to illustrate the good performance of the method and model, and its comparison with other numerical schemes employed to solve the same problem.

The features of mathematical modeling of cadastral land evaluation in settlements

This article describes current problems in the cadastral valuation of land in settlements and provides suggestions for improving the methodology of cadastral valuation through mathematical modeling. In addition to high-rise buildings, the modern large cities also contain private sector (individual residential buildings), and it is proposed to conduct a cadastral valuation of such lands taking into account the indicator of the prestige of the territories. Considering the experience of foreign countries, the authors made the analysis of mathematical modeling for the cadastral valuation of individual residential buildings. The valuation criteria for such lands are explained in the paper by example of Krasnoyarsk. The concept of "prestige of the territory" and the dependence of real estate prices from territory prestige have been established in this work as well.

Property valuation problems and market context – evidence from Kenya

ABSTRACT Property valuation problems such as valuation inaccuracies/variations, client influence, and the use of heuristics persist despite efforts by professional bodies and researchers to improve the practice of valuation worldwide. While some studies attribute the above problems to limited information, most studies link these problems to valuer misconduct. Previous studies in developing countries mirror those of developed nations despite the different property market environments in the two nations; they place little emphasis on market-related problems. Further, there is limited evidence on why valuation problems persist in developing countries. The main objective of this study is to establish why valuation problems in Kenya persist despite efforts to minimise them. The study utilised a quantitative research design involving a survey and experiment of registered and practicing valuers in Kenya. Findings indicate that the above valuation problems persist because of the nature of the valuation environment in Kenya, characterised by limited information. This is typical of many other developing countries. The study makes a critical contribution to knowledge as it builds on the existing literature by providing additional empirical support on why valuation problems persist while introducing appropriate measures to address them.

Valuation of a DB underpin hybrid pension under a regime-switching Lévy model

This paper studies the valuation problem of the defined benefit (DB) underpin guarantee. We consider that the salary process follows a geometric Brownian motion, and the stochastic price index process of the funds in the defined contribution (DC) account is modeled by a regime-switching Lévy process. Under this framework, the explicit valuation formula of the DB underpin option is derived by the Fourier cosine series expansion (COS) method, and the corresponding error analysis is provided. Numerous simulation experiments are performed to illustrate the accuracy and efficiency of the proposed method. In addition, the convergence of this method and its sensitivity with respect to various model paraments are analyzed.

House Price Valuation Model Based on Geographically Neural Network Weighted Regression: The Case Study of Shenzhen, China

Confronted with the spatial heterogeneity of the real estate market, some traditional research has utilized geographically weighted regression (GWR) to estimate house prices. However, its predictive power still has some room to improve, and its kernel function is limited in some simple forms. Therefore, we propose a novel house price valuation model, which is combined with geographically neural network weighted regression (GNNWR) to improve the accuracy of real estate appraisal with the help of neural networks. Based on the Shenzhen house price dataset, this work conspicuously captures the variable spatial regression relationships at different regions of different variables, which GWR has difficulty realizing. Moreover, we focus on the performance of GNNWR, verify its robustness and superiority, and refine the experiment process with 10-fold cross-validation. In contrast with the ordinary least squares (OLS) model, our model achieves an improvement of about 50% on most of the metrics. Compared with the best GWR model, our thorough experiments reveal that our model improves the mean absolute error (MAE) by 13.5% and attains a decrease of the mean absolute percentage error (MAPE) by 13.0% in the evaluation on the validation dataset. It is a practical and powerful way to assess house prices, and we believe our model could be applied to other valuation problems concerning geographical data to promote the prediction accuracy of socioeconomic phenomena.

Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models

Variable annuities with complex surrender features are nowadays increasingly popular for managing longevity risks. The study of their accurate pricing and sensitivity analysis is one of the main actuarial research topics. This paper studies the valuation problem of variable annuity contracts with guaranteed minimum maturity benefits on a set of predetermined discrete tenor dates under regime-switching Lévy models. Extending from existing vanilla payoffs, we consider the guaranteed minimum maturity benefits with lookback and geometric average features. We customise the dynamic programming principle to solve the corresponding optimal stopping problem, relying on some semi-analytical valuation formulae resulting from an acute Fourier cosine series expansion. Finally, numerical illustrations are provided to show the accuracy and efficiency of the proposed method. We also demonstrate the use of our proposed method in a range of sensitivity analysis exercises, which shed light on the pricing and risk management of complex variable annuity products.

Credits: Problems of identification, valuation, reclassification and impact on ratios and cash flows

Receivables recognised in the balance sheet may be commercial, financial or tax, or they may represent a group of receivables of a different character, which are generically referred to as sundry receivables.There are different identification rules and valuation criteria for each of these types of receivables with peculiarities and general aspects. Each of these receivables must be reclassified differently depending on the nature of the receivable. In this article, all these aspects will be analysed, delving into the issue of receivables from the point of view of determining the ratios that contain them and the cash flows that must be determined considering these items.