Value Of Default Research Articles

Determinants of hemoglobin level and time to default from Highly Active Antiretroviral Therapy (HAART) for adult clients living with HIV under treatment; a retrospective cohort study design

HIV/AIDS is one of the most devastating infectious diseases affecting humankind all over the world and its impact goes beyond public health problems. This study was conducted to investigate the joint predictors of hemoglobin level and time to default from treatment for adult clients living with HIV/AIDS under HAART at the University of Gondar Comprehensive and Specialized Hospital, North-west Ethiopia. The study was conducted using a retrospective cohort design from the medical records of 403 randomly selected adult clients living with HIV whose follow-ups were from September 2015 to March 2022. Hemoglobin level was projected using Sahli’s acid-hematin method. Hence, the hemoglobin tube was filled with N/10 hydrochloric acid up to 2 g % marking and the graduated tube was placed in Sahli’s hemoglobin meter. The blood samples were collected using the finger-pick method, considering 22 G disposable needles. The health staff did this. From a total of 403 adult patients living with HIV/AIDS included in the current study, about 44.2% defaulted from therapy. The overall mean and median estimated survival time of adult clients under study were 44.3 and 42 months respectively. The patient’s lymphocyte count (AHR = 0.7498, 95% CI: (0.7411: 0.7587), p-value < 0.01), The weight of adult patients living with HIV/AIDS (AHR = 0.9741, 95% CI: (0.9736: 0.9747), p-value = 0.012), sex of adult clients (AHR = 0.6019, 95% CI: (0.5979, 0.6059), p-value < 0.01), WHO stages III compared to Stage I (AHR = 1.4073, 95% CI: (1.3262, 1.5078), p-value < 0.01), poor adherence level (AHR = 0.2796, 95% CI: (0.2082, 0.3705) and p-value < 0.01), bedridden patients (AHR = 1.5346, 95% CI: (1.4199, 1.6495), p-value = 0.008), and opportunistic infections (AHR = 0.2237, 95% CI: (0.0248, 0.4740), p-value = 0.004) had significant effect on both hemoglobin level and time to default from treatment. Similarly, other co-morbidity conditions, disclosure status of the HIV disease, and tobacco and alcohol addiction had a significant effect on the variables of interest. The estimate of the association parameter in the slope value of Hgb level and time default was negative, indicating that the Hgb level increased as the hazard of defaulting from treatment decreased. A patient with abnormal BMI like underweight, overweight, or obese was negatively associated with the risk of anemia (lower hemoglobin level). As a recommendation, more attention should be given to those patients with abnormal BMI, patients with other co-morbidity conditions, patients with opportunistic infections, and low lymphocytes, and bedridden and ambulatory patients. Health-related education should be given to adult clients living with HIV/AIDS to be good adherents for medical treatment.

Endogenous Demand for Money and Default of a Creditor

We study a general equilibrium model of perfect competition with production and endogenous demand for fiat (or non-consumable) money (Shubik-Wilson, 1977), with workers, entrepreneurs, and a bank. Workers supply labor (Beker, 1971) and consume, entrepreneurs consume and organize production. There is no barter, and both agent types borrow money from a bank. The bank motivates borrowers to pay loans back with a punishment, which has an impact on demands for credits before a trade. The model has three markets: labor, goods, and credits. We study the results of the credit market with a numerical simulation in Maple. The model has 4 regimes, one of which corresponds to the classical money theory. Three other regimes have defaults as parts of an equilibrium. The special feature of our model is that it allows to study interactions of real (production and demand/supply of labor) markets with a nominal (credit) market, but also it can produce cases, when a value of default of borrowers exceeds total money supply from the bank, what become a reason for insolvency of the bank.

Fiat Money Oligopolistic Economy With Labor/Leisure Trade-Off and Equilibrium Default

We are constructing an imperfect competition general equilibrium model, with non-consumable money and labor market; our toolkit is an equilibrium default model of Shubik-Wilson (1978). Our result has an ‘equilibrium volatility’ simultaneously occurring at all three markets: labor, goods, and credit market, with a fixed money supply from a bank. A worker and an entrepreneur strategically and simultaneously trade at the three markets. Players are uncertain about each other’s actions, and do not have a convergence of common beliefs of common knowledge. It is impossible to calculate equilibrium mixed strategies exactly, but it is possible to identify some Pareto-efficient strategies and study induced prices, wages, interest rates, default, allocations and payoffs, which are all volatile, and their fluctuations are not independent. We present an equilibrium result, when a total value of default is bigger than total money supply.

A Revealed Preference Approach to Estimating Strategic Mortgage Default

Many borrowers make extra principal payments on their mortgages (curtailers). Some of these curtailers subsequently go through foreclosure and lose any benefits from their curtailments. Such curtailers reveal ex-ante non-strategic preferences towards default. We contrast the default sensitivity to leverage of curtailers vis-a-vis noncurtailers to isolate the strategic component of default. Our results show between 2008 and 2012 that the strategic component of default was less than 27% of overall default. We demonstrate robustness of the findings to measures of borrower liquidity, sample compositions, and legal settings that shift the value of strategic default.

Geographically Weighted Logistic Regression Applied to Credit Scoring Models

Abstract This study used real data from a Brazilian financial institution on transactions involving Consumer Direct Credit (CDC), granted to clients residing in the Distrito Federal (DF), to construct credit scoring models via Logistic Regression and Geographically Weighted Logistic Regression (GWLR) techniques. The aims were: to verify whether the factors that influence credit risk differ according to the borrower’s geographic location; to compare the set of models estimated via GWLR with the global model estimated via Logistic Regression, in terms of predictive power and financial losses for the institution; and to verify the viability of using the GWLR technique to develop credit scoring models. The metrics used to compare the models developed via the two techniques were the AICc informational criterion, the accuracy of the models, the percentage of false positives, the sum of the value of false positive debt, and the expected monetary value of portfolio default compared with the monetary value of defaults observed. The models estimated for each region in the DF were distinct in their variables and coefficients (parameters), with it being concluded that credit risk was influenced differently in each region in the study. The Logistic Regression and GWLR methodologies presented very close results, in terms of predictive power and financial losses for the institution, and the study demonstrated viability in using the GWLR technique to develop credit scoring models for the target population in the study.

Bank Capital and Dividend Externalities

Dividend payouts erode equity capital and affect the relative value of claims on a bank. Through this channel, when banks have contingent claims on each other, one bank’s capital policy affects the equity value and risk of default for other banks. When such externalities are strong, bank capital becomes a public good, whereby the private equilibrium features excessive dividends and inefficient recapitalization relative to the efficient policy that maximizes total banking sector equity. We relate these implications to the observed bank behaviour during the crisis of 2007–2009.

Default Risk on Islamic Banking in Indonesia

Stability of financial institutions is a crucial issue amid the economic crisis that hit the US and Europe. Islamic banking in Indonesia as financial institutions are also required to have good stability in order to maintain the stability of the national economy. The aim of this research is to determine the stability of Islamic banking in Indonesia, and understand the factors that affect the stability. Stability of Islamic banking will be measured using Merton model to estimate the Probability Default (PD). Panel data regression was used to estimate the factors that affect the stability of Islamic Banking. The object of this research is 10 Islamic banking in Indonesia that meet the specified criteria. From the analysis of the Merton model, the research found that the stability of Islamic banking in Indonesia is not good enough. This can be seen from the value of the probability default on Islamic banking which still above 0.5. However, based on the trend, the probability default of Islamic banking has decreased from year to year. Some of the variables that influence the stability of Islamic banking is asset and BI rate (SBI).

A Framework for Defining the Economic Feasibility of Cellulosic Biofuel Pathways

This paper incorporates pathway-specific financial assumptions into techno-economic analyses of cellulosic biofuel pathways under price uncertainty. Five cellulosic biofuel pathway scenarios are developed in a discounted cash flow rate of return spreadsheet to determine pathway-specific costs of debt. The cost of equity for the scenarios is calculated based on the financial characteristics of the US biorenewable industrial sector. A 20-year net present value (NPV) and probability of default for each scenario are stochastically calculated. Mean NPVs vary from a low of –$774 million to a high of –$135 million. Probabilities of default range from a high of 100% to a low of 80.5%. Sensitivity analyses find that the use of pathway-neutral financial assumptions overestimates NPV and underestimates probability of default.

A Study on the Value of Default (Option) of Purchase Contract

This paper start from the question that value of right which is arose from real asset trade. First, organizing option portfolio using this right, then we investigate the correlation about real assets and contracted prices. The results are as follows. When a market is in equilibrium, the call-option value which is owned by seller is greater than the put-option value which is owned by buyer. As a result, present value of contract price is lower than the true value of the asset. Furthermore, this phenomenon is getting deepen when volatility of real estate is greater, expiration date is longer and interest rate is higher.

Effect of loan value and collateral on value of mortgage default

This study explore the factors influencingmortgage loan default by using the data of mortgagedefault case from Jammu and Kashmir Bank. Toachieve the study objectives sixteen variables are taken.The variables are categorized into three dimensions asborrower’s profile, loan value contents and collateralsecurity. The tools used for analysis of data describingmortgage loan defaulter’s are chi-square, regression,ANOVA, and logistic regression through SPSS 18.0.The results indicate that the borrower’s gender,borrower’s age, borrower’s marital status, theborrower’s income, loan rate, loan type, loan amount,amount repaid, LTV, LTI, form of collateral security,Value of collateral security, purpose of loan andsecondary finance on collateral security are significantlypositively correlated with the defaulter’s outstandingloan amount. While as education qualification ofborrower is significantly negatively correlated withdefaulter’s outstanding loan amount. Logisticregression results indicate that income, secondaryfinance on collateral security and interest rate aremainly responsible for mortgage default.

Sovereign default risk and volatility

In a model of sovereign debt with endogenous default, we find a non-monotonic relationship between default risk and volatility, reflecting a trade-off between prudence and the insurance value of default. We show that this feature also holds in the data.

Evaluating Default Policy: The Business Cycle Matters

Legislation dealing with consumer default has consistently struggled with an important trade-off: more debt forgiveness directly benefits households but indirectly makes credit more expensive. Complicating the issue is that part of the risk households face is aggregate risk. This paper asks, How does aggregate risk affect the consequences of eliminating or restricting default? I find aggregate risk substantially reduces the welfare benefit of eliminating default, but its effect on restricting default depends crucially on the restrictions in place. In a calibrated general equilibrium life-cycle model, eliminating default results in an ex-ante welfare gain of 1.8% of lifetime consumption in steady state. Once the business cycle — the type of aggregate risk considered in this paper — is added, this gain drops to .5%. With or without aggregate risk, eliminating default greatly expands credit availability; however, when a protracted recession is possible, households use less credit unless they have a default option. While aggregate risk reduces the welfare gain of eliminating default this is not necessarily true for restricting default. A policy that pushes earnings-rich households into partial debt repayment (like a major 2005 reform) generates a gain of 2% with or without the business cycle. Moreover, with the policy instituted, eliminating default produces a welfare loss of .1%, which aggregate risk deepens to 1.5%. The reform improves credit markets while still preserving most of the insurance value of default. A different type of policy that restricts default to only be in recessions or expansions sharply reduces welfare relative to always allowing default (a loss of 1.4%) or never allowing it (a loss of 1.9%). The policy introduces uncertainty that makes credit expensive and keeps households from relying on the default option.

The value of mortgage prepayment and default options

AbstractWe use an implicit alternating direction numerical procedure to estimate the value of a fixed‐rate mortgage (FRM) with embedded default and prepayment options. The value of FRMs depends on interest rates, the house value, and mortgage maturity. Our numerical results suggest that the joint option value of prepayment and default is considerably high, even at loan origination. We extend the model to include prepayment penalties in FRM valuation. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:840–861, 2009

Allocation of Capital Between Assets and Liabilities

We propose a capital allocation method for insurance companies. The amount of capital is directly related to the default risk. The expected value of default can be distributed among the liabilities based on the rule of asset payoff at the time of default. We derive a capital allocation scheme from this allocation of the expected default. Assets, liabilities, and other risky items on the balance sheet are treated in a uniform framework. The insurer’s capital is allocated among all these risk contributors. The allocated capitals are given in closed-form formulas, which have straightforward interpretations and are easy to compute. Connections with other allocation methods are also discussed.

Allocation of Capital Between Assets and Liabilities

We propose a capital allocation method for insurance companies. The amount of capital is directly related to the default risk. The expected value of default can be distributed among the liabilities based on the rule of asset payoff at the time of default. We derive a capital allocation scheme from this allocation of the expected default. Assets, liabilities, and other risky items on the balance sheet are treated in a uniform framework. The insurer’s capital is allocated among all these risk contributors. The allocated capitals are given in closed-form formulas, which have straightforward interpretations and are easy to compute. Connections with other allocation methods are also discussed.

Corporate Walkout Decisions and the Value of Default

We present a continuous-time asset pricing model of the levered firm where shareholders select not only the timing but also the form of abandonment. Shareholders can walk out of the firm either by (i) defaulting on their debt obligations or (ii) selling their shares to alternative operators of the technologies, as in a corporation sale. The structural model relates shareholders' ex-post choice to both technological and financial factors. Considering that operators' technological supremacy is not universal, we obtain that whereas default necessarily involves an inefficient timing of ownership transfer, corporation sales do not. Then, the likelihood of default being chosen instead of a corporation sale increases with (i) the degree of leverage displayed by the firm and (ii) its technological supremacy. By ignoring corporation sales, existing defaultable bond pricing models have thus a tendency to exaggerate risk premia and underestimate the borrowing ability (debt capacity) of firms.

Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk

Shortcomings make credit VaR estimates an unsuitable basis for setting bank regulatory capital requirements. If, alternatively, banks are required to issue subordinated debt that has a minimum market value and maximum acceptable probability of default, banks must set their equity capital in a manner that limits both the probability of bank default and the expected loss on insured deposits, largely removing any safety net-related funding cost subsidy and the moral hazard incentives it creates. Required equity capital can be estimated using a modified credit-VaR framework, and supervisors can use external credit ratings to indirectly verify the accuracy of bank internal model estimates.

Scientific basis for establishing country CH4 emission estimates for rice-based agriculture: A Korea (south) case study

Methane emission inventory, based on several experimental results regarding the effect of water management, application of organic matter, cultural method, and rice type with field growth duration on methane emission factors was established for Korea specific conditions. Annual methane emission was estimated to be 410 Gg CH4in 1990 and 345 Gg CH4 in 1999. This annual emission estimated as a Korean specific modification is an average of 17.6 and 32.9%, lower than the OECD default value and maximum scaling of the IPCC default, respectively. This Korean modified average is 4.5 times higher than the minimum scaling of IPCC default.

Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk

Shortcomings make credit VaR estimates an unsuitable basis for setting bank regulatory capital requirements. If, alternatively, banks are required to issue subordinated debt that has a minimum market value and maximum acceptable probability of default, banks must set their equity capital in a manner that limits both the probability of bank default and the expected loss on insured deposits, largely removing any safety net-related funding cost subsidy and the moral hazard incentives it creates. Required equity capital can be estimated using a modified credit-VaR framework, and supervisors can use external credit ratings to indirectly verify the accuracy of bank internal model estimates.

Payment System Settlement and Bank Incentives

In this article, we consider the relative merits of net versus gross settlement of interbank payments. Net settlement economizes on the costs of holding non-interest-bearing reserves, but increases moral hazard problems. The “put option” value of default under net settlement can also distort banks' investment incentives. Absent these distortions, net settlement dominates gross, although the optimal net settlement scheme may involve a positive probability of default.