Pricing collateralized derivatives with an arbitrary numeraire

Since the 2008 crisis collateralized derivatives have become commonplace in the market. There have been many papers in recent years on pricing collateralized derivatives but the topic has been surrounded by confusion with debate focusing on whether or not a risk‐free rate needs to be assumed. In addition, as pointed out by Bielecki and Rutkowski, several authors do not pay enough attention to the pricing measure they are working in when setting up their models. The contribution of this paper is to show the pricing formula for a collateralized derivative can be derived under the usual assumptions of an arbitrage‐free economy starting from any equivalent martingale measure and associated numeraire.     

Sustainable water storage by agricultural businesses: Strategic responses to institutional pressures

Management of water storage in agriculture is under increasing public scrutiny. In Australia, water is being stored unsustainably by agricultural businesses, putting communities downstream at risk. Yet, sustainable water storage management institutional policy mechanisms remain disjointed around the country. This study seeks to investigate the problem through application of Oliver's (1991) strategic response typology to a survey of 404 agribusiness managers in four different institutional environments. Findings highlight the importance of social aspects of water storage and sharing in agribusiness regions and industries, and suggest that increased manager connectedness could reduce resistance to water storage policy pressures. The results not only provide beneficial guidance for policymakers faced with potentially catastrophic flood and drought conditions exacerbated by poor water storage management practice, but also add support to those found by Clemens and Douglas (2005), indicating the robustness of this theoretical approach for solutions to modern problems faced by business, policymakers and society.     

Methods for evaluating mortality risk

An important aspect of decisions related to the long-range planning of large-scale systems, eg world energy supplies, is their possible environmental side-effects. These decisions, which potentially affect the public's health and safety, increasingly require a formal consideration of mortality risk. Several methods have been proposed for the evaluation of public programmes which probabilistically alter human mortality. This article reviews the relevant literature and the practical applications of these proposed methods. Particular emphasis is placed upon the explicit identification of the social objectives implied by their use.     

Needs-based health care funding: implications for resource distribution in Ontario

Capitation models have been suggested as an alternative to funding methods based on historical utilization patterns. Capitation funding distributes esources to regions or programs according to their population, adjusted for the age and gender composition and relative need. The most commonly used relative needs measure is the Standardized Mortality Ratio (SMR). This paper compares the distribution of resources in Ontario implied by a variety of capitation formula. Another aspect of this research is to design a mechanism that translates the SMR into a funding allocation index. We specify a non‐linear model to capture the relationship between current expenditures and the SMR while controlling for historical utilization factors. In contrast to previous work, in which a linear relationship between expenditures and need was assumed, our estimates suggest that the relationship may actually be highly non‐linear. This non‐linearity ncreases transfers to regions of relative need relative to a linear capitation program. JEL Classification: I0, H51 On a suggéré des modèles de financement per capita des soins de santé pour remplacer les méthodes de financement fondées sur les patterns historiques d'utilisation. Cette solution de rechange distribuerait les ressources aux régions et programmes selon la population (avec des ajustements pour tenir compte de la structure 'âges, de sexes, et de besoins relatifs). La mesure la plus commune des besoins relatifs est le taux de mortalité standardisé (TMS). Ce mémoire compare la répartition des ressources en Ontario qui découlerait de l'emploi d'une variété de formules. On tente aussi de construire un mécanisme qui traduise le TMS en un indice d'allocation des fonds. Les auteurs construisent un odèle non‐linéaire qui saisit la relation entre TMS et épenses courantes tout en normalisant pour tenir compte des facteurs historiques d'utilisation. Contrairement aux résultats des travaux antérieurs qui postulaient une relation linéaire entre épenses et besoins, les résultats de cette étude uggèrent que cette relation peut être fortement non‐linéaire, et que cette non‐linéarité tend à ccroître les transferts aux régions qui ont les besoins les plus grands.     

Market reaction to and valuation of IFRS reconciliation adjustments: first evidence from the UK

We investigate the market reaction to, and the value-relevance of, information contained in the mandatory transitional documents required by International Financial Reporting Standards 1 (2005). We find significant negative abnormal returns for firms reporting negative earnings reconciliation. Although the informational content of the positive earnings adjustments is value-relevant before disclosure, for negative earnings adjustments it is value-relevant only after disclosure. This finding is consistent with managers delaying the communication of bad news until IFRS compliance. A finer model shows that adjustments attributed to impairment of goodwill, share-based payments, and deferred taxes are incrementally value-relevant but that only the impairment of goodwill and deferred taxes reveal new information. Our results indicate that mandatory IFRS adoption alters investors’ beliefs about stock prices.