C1 - Econometric and Statistical Methods and Methodology: GeneralReturn

The aim of the research is to show differences between characteristics of insolvency proceedings of traditional and virtual enterprises. This paper focuses on results of insolvency proceedings in the case of enterprises which do not have a traditional headquarter. Instead of the traditional headquarter these enterprises are registered at virtual addresses for a purpose of business register. Among the professional public this institute enables discussions about lower transparency and even functioning of grey-area. First the paper analyzes results for enterprises with virtual address and second these results are compared with traditional enterprises. Research questions are based on probability of insolvency proposal, kind of bankruptcy (with default and without default) and level of creditors' satisfaction. The used data are extracted from business as well as insolvency register. The gained results show that there are significant differences between the insolvency proceedings of traditional and virtual enterprises which have in this case higher probability of insolvency, lower level of creditor's satisfaction and therefore many cases finish without default due to enterprises' property emptiness.

In general, there exist many ways to detect the fair value of financial derivatives. However, each of them is suitable for different purposes. For example, when the payoff function is not very simple or the underlying process is too complex, the approach of Monte Carlo simulation can be useful. Unfortunately, the plain Monte Carlo simulation needs a very high number of independent paths to get reliable results. It is the reason why an improvement of the plain approach should be applied to decrease the number of paths required in order to get reliable results. In this paper we study more closely several such approaches and examine their potential of increasing the efficiency. To be more exact, we apply the antithetic variates method and stratified sampling approaches, including their combinations in order to get the fair price of a plain vanilla call. We consider three distinct underlying processes: geometric Brownian motion, variance gamma model and normal inverse Gaussian model. We also verify the confidence interval for the option price. We did not find any improvements of examined methods for complex processes considering the definition via two or more independent random numbers. However, if the required accuracy is very high, it might be useful to apply the stratification to the distribution function of the complex process.