Commodity procurement as contingent claims: Capturing risk and real options in flour milling

Agribusiness ◽  
2020 ◽  
Author(s):  
William W. Wilson ◽  
Jesse Klebe
Keyword(s):  
Real Options ◽  
Contingent Claims ◽  
Flour Milling

scholarly journals Real Options, Connecting Theory to Data: Modeling Actively Traded Philippine Universal Banks

2019 ◽  
Author(s):  
Jackson Tan ◽  
Fernando L. Trinidad
Keyword(s):  
Real Options ◽  
Information Asymmetry ◽  
Risk Mitigation ◽  
Banking System ◽  
Contingent Claims ◽  
Annual Reports ◽  
Loan Portfolio ◽  
Lending Institutions ◽  
Lending Behavior

This case study discusses research aspects relating to a Real Options model that values the strategies to lend or to idle a loan portfolio in a chaotic system. Here, discussion focuses on associating events with changes in data, and advocates the basis of data interpretations upon practices and events in the real world. The study examined data from annual reports for actively traded Philippine Universal Banks during an eight-year window of observation, from 2008 to 2015. A Real Options model was developed and forwarded to examine the lending behavior of these formal lending institutions as affected by income inflows, contingent claims, time, volatility, growth rates, a discount rate, and information asymmetry. This study expressed that actively traded Philippine Universal Banks should create more micro lending and risk mitigation facilities to encourage a more inclusive banking system.

scholarly journals Real Options, Connecting Theory to Data: Modeling Actively Traded Philippine Universal Banks

2019 ◽  
Author(s):  
Jackson Tan ◽  
Fernando L. Trinidad
Keyword(s):  
Real Options ◽  
Information Asymmetry ◽  
Risk Mitigation ◽  
Banking System ◽  
Contingent Claims ◽  
Annual Reports ◽  
Loan Portfolio ◽  
Lending Institutions ◽  
Lending Behavior

This case study discusses research aspects relating to a Real Options model that values the strategies to lend or to idle a loan portfolio in a chaotic system. Here, discussion focuses on associating events with changes in data, and advocates the basis of data interpretations upon practices and events in the real world. The study examined data from annual reports for actively traded Philippine Universal Banks during an eight-year window of observation, from 2008 to 2015. A Real Options model was developed and forwarded to examine the lending behavior of these formal lending institutions as affected by income inflows, contingent claims, time, volatility, growth rates, a discount rate, and information asymmetry. This study expressed that actively traded Philippine Universal Banks should create more micro lending and risk mitigation facilities to encourage a more inclusive banking system.

THE VALUE OF FIGHTING IRREVERSIBLE DEMISE BY SOFTENING THE IRREVERSIBLE COST

2006 ◽  
Vol 09 (04) ◽  
pp. 503-516 ◽  
Author(s):  
PAUL MAGIS ◽  
ALESSANDRO SBUELZ
Keyword(s):  
Real Options ◽  
Technology Innovation ◽  
Contingent Claims ◽  
Claims Analysis ◽  
Double Barrier ◽  
The Real ◽  
Contingent Claims Analysis

We study a novel issue in the real-options-based technology innovation literature by means of double barrier contingent claims analysis. We show how much a firm with the monopoly over a project is willing to spend in investment technology innovation that softens the irreversible cost of accessing the project before its irreversible demise. The answer depends on the project's characteristics and on the effectiveness demanded from technology innovation.

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