Comparing Theory With Reported Data for Reliability: Real Options Modeling of Actively Traded Philippine Universal Banks


This case study discusses research aspects relating to a Real Options Valuation Model that values the strategies to lend or to idle a loan portfolio in a chaotic system. Here, discussion focuses on three learning outcomes: (1) identifying how an aspect of business practice affects factors in a model, (2) evaluating inputs to a model to see how its factors work, and (3) comparing values generated by a model with those in annual reports for reliability. In this case study, discussion forwards a methodology for determining statistical reliability using readily available tools in open-source statistical software. This research examines data from annual reports for actively traded, Philippine Universal Banks during an 8-year window of observation, from 2008 to 2015. In testing for the reliability of the model that determines loan portfolio values, statistics from the intraclass correlation, Cramér–von Mises Test, and Mann–Whitney Test indicate that the model is a reliable tool for estimating loan portfolio values.

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