One of the most important issues relating to the economic activity of an enterprise is a reliable valuation of assets. It is also one of the key elements in the condition of bankruptcy risk. The aim of this paper is t...One of the most important issues relating to the economic activity of an enterprise is a reliable valuation of assets. It is also one of the key elements in the condition of bankruptcy risk. The aim of this paper is to present the results of the author＇s empirical research concerning the usefulness of the estimates in the valuation of fixed assets held by the enterprises facing bankruptcy. The empirical research was carried out on a group of 100 companies on which courts declared bankruptcy in 2011 in Poland. The study sample constitutes 14% of the population and is a significant representation of the phenomenon. For comparisons of the carrying amounts and the estimated values, the assets recognized in the balance sheet under ＂property, plant, and equipment （PPE）＂ were selected. During the first stage of the research, the significance of PPE in bankruptcy proceedings was confirmed by comparing the share of their value within the estate with the costs of the proceedings recorded as a percentage of the value of the debtor＇s estate. In the next stage of the research, comparisons between the carrying amounts and the estimated values were made. Simple regression models were constructed. The research results confirm that in the case of a substantial doubt about an entity＇s ability to continue as a going concern, the informative value of financial statements is limited and the estimates of the fixed assets value are of fundamental importance.展开更多
This paper uses a Value at Risk （VaR） approach to evaluate a country financial vulnerability, by analyzing the risk exposure of its Central Bank, as if their assets are subject to market risk. The Brazilian currency...This paper uses a Value at Risk （VaR） approach to evaluate a country financial vulnerability, by analyzing the risk exposure of its Central Bank, as if their assets are subject to market risk. The Brazilian currency exchange swaps contracts （USS/Brazilian Reais） are submitted to a delta-normal VaR method, in order to evaluate the market risk of each swaps series, by modeling the variance of the daily returns, from August 1999 to January 2003. All daily returns series exhibited heteroscedasticity in the conditional variance and sudden changes in the unconditional variance. The points of changes of the unconditional variance were determined through the Iterative Cumulative Sum of Squares （ICSS） algorithm, and the conditional variance was modeled with Markov-Switching-Generalized Autoregressive Conditional Heteroscedasticity （SWGARCH） in order to capture heteroscedasticity and regime change. The results lead to two main conclusions： First, a VaR model must incorporate heteroscedasticity and regime switching in order to describe the variance of the tested series, submitted to brisk changes of economic and political scenarios. Second, a volatility-based VaR do not necessarily generate forward-looking indicators, but rather coincident indicators of possible financial vulnerabilities. The future research will evolve towards evaluating the effects of the Basel III recommendations as if they could be applied to this crisis period.展开更多
文摘One of the most important issues relating to the economic activity of an enterprise is a reliable valuation of assets. It is also one of the key elements in the condition of bankruptcy risk. The aim of this paper is to present the results of the author＇s empirical research concerning the usefulness of the estimates in the valuation of fixed assets held by the enterprises facing bankruptcy. The empirical research was carried out on a group of 100 companies on which courts declared bankruptcy in 2011 in Poland. The study sample constitutes 14% of the population and is a significant representation of the phenomenon. For comparisons of the carrying amounts and the estimated values, the assets recognized in the balance sheet under ＂property, plant, and equipment （PPE）＂ were selected. During the first stage of the research, the significance of PPE in bankruptcy proceedings was confirmed by comparing the share of their value within the estate with the costs of the proceedings recorded as a percentage of the value of the debtor＇s estate. In the next stage of the research, comparisons between the carrying amounts and the estimated values were made. Simple regression models were constructed. The research results confirm that in the case of a substantial doubt about an entity＇s ability to continue as a going concern, the informative value of financial statements is limited and the estimates of the fixed assets value are of fundamental importance.
文摘This paper uses a Value at Risk （VaR） approach to evaluate a country financial vulnerability, by analyzing the risk exposure of its Central Bank, as if their assets are subject to market risk. The Brazilian currency exchange swaps contracts （USS/Brazilian Reais） are submitted to a delta-normal VaR method, in order to evaluate the market risk of each swaps series, by modeling the variance of the daily returns, from August 1999 to January 2003. All daily returns series exhibited heteroscedasticity in the conditional variance and sudden changes in the unconditional variance. The points of changes of the unconditional variance were determined through the Iterative Cumulative Sum of Squares （ICSS） algorithm, and the conditional variance was modeled with Markov-Switching-Generalized Autoregressive Conditional Heteroscedasticity （SWGARCH） in order to capture heteroscedasticity and regime change. The results lead to two main conclusions： First, a VaR model must incorporate heteroscedasticity and regime switching in order to describe the variance of the tested series, submitted to brisk changes of economic and political scenarios. Second, a volatility-based VaR do not necessarily generate forward-looking indicators, but rather coincident indicators of possible financial vulnerabilities. The future research will evolve towards evaluating the effects of the Basel III recommendations as if they could be applied to this crisis period.
