A comparative analysis is presented in the paper of asymptotic efficiencies derived on the basis of the Kaplan-Meier and the maximum likelihood methods which are widely used for censored data problems. A random variable is considered which is distributed according to the truncated normal distribution and is right-censored by another random variable distributed according to one of the following distributions: truncated normal, exponential and uniform one. It is demonstrated that under the correct assumption on the parametric family of distributions the maximum likelihood method yields higher asymptotic efficiency than the Kaplan-Meier method. This advantage of the maximum likelihood method becomes more significant for higher censoring percentage of the observed data sample and for the survival function close to 0 and 1. Besides it is obtained that the relative asymptotic efficiency of both methods under consideration is depended on the type of censored distribution. All the calculations are produced in computer mathematical environment Wolfram Mathematica.
Nowadays investors are facing changing conditions of global financial markets and should evaluate risks correctly. The most crucial factor is market risk that defines financial stability and investment results of professional participants at financial market and its clients. One of the characteristics of American stocks are higher volatility during financial report announcements. Common VaR methodology doesn’t take this into consideration as it lowers volatility during such periods and lowers it in other cases. Thereby a more flexible HVD-VaR model is proposed that allows risk estimation for each period separately. This can be possible due to the fact that announcement days are predefined. The proposed methodology is effective for a half of S&P500 stocks, so it’s useful for several financial instruments AS a result a more precise risk estimation method is proposed that considers extreme price movements caused by earnings announcement.
The article is devoted to the study of factors affecting the financial stability of banks. The study is based on a database covering the period from July 2008 to January 2017. In the course of the work, the specification of the logistic regression model, including nine explanatory variables, was evaluated. The model correctly predicts license revocation in 91% of cases. On the basis of the selected specification, it was possible to determine which factors have the strongest impact on the probability that the Bank will have the license revoked.
The crisis of 2007-2009 has shown that the evaluating credit risk is a crucial task in the financial market. This paper presents a methodology to assess credit risk for the companies of the Russian steel industry. The model is based on principals usually used by rating agents. The methodology shows what key qualitative and quantitative risk characteristics are likely to affect rating outcomes. It includes three groups of factors: business profile, market development and financial characteristics .The results reveal that this methodology is able to measure credit risk of the companies and analyze positive and negative sides of their activity.
The paper presents modified Galors’ model designed to investigation of land inequality influence on the emergence of state educational system. Non-renewable natural resources are considered instead of land. It is show that a main hurdle for human capital accumulation and transition to economic growth is the concentration of natural resources ownership and its amount.
This article analyzes the differentiation of conditions of formation of budget revenues of the Pension Fund of the Russian Federation due to the socio-economic characteristics of regions that influence the formation of the tax base. Rank correlation coefficients were calculated in terms of GRP per capita of subjects of the Russian Federation to assess the structural changes of regions on their mutual position of the period of 1995-2013. Studied in the territorial aspect of the relationship of wages by economic activity, sex, age and education. A direct relationship between the level of wages and economic activity, employment in the regions. As a recommendation to increase the self-sufficiency of territories offered to increase innovative activities and the realization of competitive advantages of the region.
In the article the most significant milestones in the development of accounting thought in Italy are considered in terms of the formation of the modern concept of management accounting (MA). The core content of the Italian accounting school authors since the early Renaissance to the mid-twentieth century is compared with modern interpretations of the subject area and methodology of MA. In the theories and attitudes of theorists and practitioners highlighted the key elements relevant to MA objectives, functions, approaches. It is shown that the holistic nature of Italian theories leads to the interpretation of accounting as the general managerial science.