1HZVWDQGDUGIRU6SHHG7ULDO$QDO\VLV ,62.HQ7$.$*,
3URIHVVRU'HSDUWPHQWRI2FHDQ7HFKQRORJ\3ROLF\DQG(QYLURQPHQW
7KH8QLYHUVLW\RI7RN\R-XO\,QWHUQDWLRQDO:RUNVKRSRQ6KLS7HFKQRORJLHV
5HODWHGWR(QHUJ\(IILFLHQF\'HVLJQ,QGH[ ((', 7RN\R%ULHI UHYLHZ RI ((', UHJXODWLRQ ((',YDOXH)RUDOOVKLSVRIJURVVWRQQDJHDQGDERYHWKDWHQJDJHLQLQWHUQDWLRQDOYR\DJHVDQG
ZKRVHEXLOGLQJFRQWUDFWLVSODFHGRQRUDIWHU-DQXDU\WKHDWWDLQHG((',VKDOOEH
FDOFXODWHGDQGVKDOOEHDVIROORZV 0$532/$11(;9,5HJXODWLRQ  &2 HPLVVLRQ
6SHHG î &DSDFLW\X îaîFDSDFLW\C



((',

5HTXLUHG((',$WWDLQHG((',1*
2.

&DSDFLW\ ':6SHHG LQWKHDWWDLQHG((',LVVKLS¶VVSHHGLQWKHLGHDOFRQGLWLRQDVVXPLQJWKHZHDWKHULV
FDOPZLWKQRZLQGQRFXUUHQWDQGQRZDYHVDQGWKHVLWHLVDWWKHGHHSZDWHURIVWDQGDUG
WHPSHUDWXUHGHQVLW\ X LVUHGXFWLRQIDFWRUGHSHQGLQJRQSKDVHUHODWLYHWRWKH((',UHIHUHQFHOLQHDQGa DQGc DUHSDUDPHWHUVIRU
GHWHUPLQDWLRQRIUHIHUHQFHOLQH


%ULHI UHYLHZ RI ((', UHJXODWLRQ 9HULILFDWLRQ'HVLJQ6WDJH
3UH9HULILFDWLRQ

6KLS¶VVSHHGSUHGLFWHGIURPPRGHOWHVWUHVXOWV

6HD7ULDO6WDJH)LQDO9HULILFDWLRQ

6KLS¶VVSHHGFRQILUPHGE\VSHHGWULDO DW VHD,Q JHQHUDO LW FDQ¶W EH H[SHFWHG WR FRQGXFW
VSHHG WULDO XQGHU QR ZLQG QR ZDYH QR
FXUUHQW FRQGLWLRQDWWKHVLWHRIVWDQGDUGZDWHUWHPSHUDWXUHGHQVLW\

:LQG
:DYH
&XUUHQW³6SHHG WULDO DQDO\VLV SURFHGXUH´IRU
HYDOXDWLRQDQGFRUUHFWLRQRIVSHHGWULDOGDWD
LV UHTXLUHGLQRUGHUWRHOLPLQDWHWKHHIIHFWRIHQYLURQPHQWDOFRQGLWLRQGXULQJVHDWULDO&RQFHSWRI,62
³,62´LVWKHQG HGLWLRQ UHYLVHG
HGLWLRQRI,62 RILQWHUQDWLRQDOVWDQGDUGIRU6SHHG7ULDO$QDO\VLVSXEOLVKHGRQ$SULO

㼀㼔㼕㼟㻌㼟㼠㼍㼚㼐㼍㼞㼐㻌㼏㼛㼢㼑㼞㼟㻌㼠㼞㼕㼍㼘㻌㼜㼞㼑㼜㼍㼞㼍㼠㼕㼛㼚㻘㻌㼏㼛㼚㼐㼡㼏㼠㻌㼍㼚㼐㻌㼠㼔㼑㻌㼍㼚㼍㼘㼥㼟㼕㼟㻌㼛㼒㻌㼟㼜㼑㼑㼐㻌㼠㼞㼕㼍㼘㻌㼐㼍㼠㼍㻚

7KLVVWDQGDUGLVPRUHDGYDQFHGIDLUDQG
WUDQVSDUHQWPHWKRGWKDQDQ\RWKHUDQDO\VLVPHWKRGRIVSHHGWULDO

7KLVVWDQGDUGKDVEHHQGHYHORSHGZLWK WKHIXOOFRRSHUDWLRQRI,77&DQG67$JURXS

7KLVVWDQGDUGLVH[SHFWHGWREHUHYLVHGWKUHH
\HDUVODWHU

+LVWRU\IURP0(3& WRVW YRWLQJ
1RUZD\UHTXHVWHGWRUHYLVHWKH,62DQDO\VLVPHWKRG$SULO,020(3& -DSDQDQG,77& ,QWHUQDWLRQDO7RZLQJ7DQN&RQIHUHQFH SURSRVHGWRUHYLHZWKHDQDO\VLVPHWKRGDQGVSHFLDOLVWFRPPLWWHHRI,77&
VWDUWHGWKHLUVWXG\ 'HFHPEHU ,020(3& 0D\ DVVLJQHGWZRLQWHUQDWLRQDOPHWKRGVIRU
*XLGHOLQHVRQVXUYH\DQGFHUWLILFDWHRIWKH((',¾ ITTC Recommended Procedure 7.5-04-01-01.2 (which isconsidered as preferable.)¾ ISO 15016:2002,WKDVEHHQSRLQWHGRXWWKDWWKHUHDUHVRPHSUREOHPVRIERWK,77&
5HFRPPHQGHG3URFHGXUH HJFRQWDLQLQJEODFNER[DQG
LQDFFXUDWHUHVXOWV DQG ,62 HJWRRFRPSOLFDWHGDQG
DPELJXRXVUHVXOWV &XUUHQW FRUUHFWLRQ LQ ,62 &XUUHQW VSHHGV DW PHDQ WLPHV DUH
FDOFXODWHG XVLQJ VKLS¶V VSHHG
9&

&XUUHQW VSHHG

9&

 $ FXUUHQW FXUYH LV
GHWHUPLQHG PDQXDOO\ XVLQJDOO FXUUHQW VSHHGV DW PHDQ
WLPHV

9&
9&
9&

9&

7LPH

 &XUUHQW VSHHG RQ WKH FXUUHQW FXUYH DWHDFK WLPH 9&L ZKLFK LV WR EH XVHG IRUFXUUHQW FRUUHFWLRQ DUH FDOFXODWHG

7KHSURFHVVLQZKLFKFXUUHQWFXUYHLVILWWHGPDQXDOO\LQYROYHVDUELWUDULQHVVDQGDPELJXLW\0HDQ RI PHDQV PHWKRGE\67$&XUUHQW HIIHFW LV DXWRPDWLFDOO\ HOLPLQDWHG ZLWK WKH IROORZLQJ IRUPXOD IRUHDFKSRZHUVHWWLQJDV PHQWLRQHG EHORZܸ‫ ͳܩ‬൅ ͵ܸ‫ ʹܩ‬൅ ͵ܸ‫ ͵ܩ‬൅ ܸ‫ܩ‬Ͷൌ ܸܵͺ ,QWKLVPHWKRGFXUUHQW VSHHG LV DVVXPHG WR YDU\SDUDEROLFDOO\RYHUWLPHZLWKLQFRPSDUDWLYHO\VKRUWWLPHHJWLPHWDNHQIRUPHDVXUHPHQWGXULQJRQHSRZHUVHWWLQJ&XUUHQW VSHHG

ܸ‫ ܥ‬ൌ ܸ‫ܥ‬ǡʹ ‫ ʹ ݐ‬െ ܸ‫ܥ‬ǡͳ ‫ ݐ‬൅ ܸ‫ܥ‬ǡͲ VKLS¶V VSHHGV RYHU JURXQG DWRQHSRZHUVHWWLQJDUH H[SUHVVHG DV IROORZVXVLQJIRUPXOD  ܸ‫ ͳܩ‬ൌ ܸܵ ൅ ൛ܸ‫ܥ‬ǡʹ ሺ‫ ݐ‬൅ ͵ο‫ݐ‬ሻʹ െ ܸ‫ܥ‬ǡͳ ሺ‫ ݐ‬൅ ͵ο‫ݐ‬ሻ ൅ ܸ‫ܥ‬ǡͲ ൟ

9&
9&
9&

ǻW

ܸ‫ ʹܩ‬ൌ ܸܵ െ ൛ܸ‫ܥ‬ǡʹ ሺ‫ ݐ‬൅ ο‫ݐ‬ሻʹ െ ܸ‫ܥ‬ǡͳ ሺ‫ ݐ‬൅ ο‫ݐ‬ሻ ൅ ܸ‫ܥ‬ǡͲ ൟܸ‫ ͵ܩ‬ൌ ܸܵ ൅ ൛ܸ‫ܥ‬ǡʹ ሺ‫ ݐ‬െ ο‫ݐ‬ሻʹ െ ܸ‫ܥ‬ǡͳ ሺ‫ ݐ‬െ ο‫ݐ‬ሻ ൅ ܸ‫ܥ‬ǡͲ ൟ

9&
ǻW

ܸ‫ܩ‬Ͷ ൌ ܸܵ െ ൛ܸ‫ܥ‬ǡʹ ሺ‫ ݐ‬െ ͵ο‫ݐ‬ሻʹ െ ܸ‫ܥ‬ǡͳ ሺ‫ ݐ‬െ ͵ο‫ݐ‬ሻ ൅ ܸ‫ܥ‬ǡͲ ൟ

 %\ VXEVWLWXWLQJ WKH DERYH  IRUPXODH IRUIRUPXOD   DOO WHUPV RI FXUUHQW DUH
HOLPLQDWHG DQG RQO\ 96 UHPDLQV

ǻW

7LPH

7KHUHLVDSRVVLELOLW\WKDWWKHDFFXUDF\LVUHGXFHGZKHQWKHWULDOQHHGVORQJWLPHLQWHUYDOVLQFHWKHFXUUHQWFXUYHFDQ¶WEHDSSUR[LPDWHGE\DSDUDEROLFIXQFWLRQLIWKHSHULRGRIWULDOLVORQJ&XUUHQW FRUUHFWLRQ LQ %65$ PHWKRG

3RZHU $VSHHGSRZHU FXUYH LV FRQVLGHUHGWREHDSSUR[LPDWHO\DPHDQOLQHRIVHSDUDWHFXUYHV
IRUPHGE\WKHYDOXHVLQWKHFXUUHQWFRQGLWLRQ &XUUHQW VSHHG DW HDFK UXQ ZKLFK LV DVVXPHGWR
EHHTXDO WR WKH KRUL]RQWDOVHSDUDWLRQRIWKH
YDOXHVIURPWKHPHDQOLQHLV REWDLQHG
 7KH REWDLQHG FXUUHQW VSHHGV DUH SORWWHG DJDLQVWWLPH DQG D IDLU FXUYH LV ILWWHG PDQXDOO\ 63FXUYH LV UHYLVHG VR WKDW KRUL]RQWDOVHSDUDWLRQRIYDOXHVIURPUHYLVHGFXUYH
DUHHTXDO WRWKHREWDLQHGFXUUHQWVSHHGV
DVPXFKDVSRVVLEOH
 7KHDERYHSURFHVVHV DUHUHSHDWHGXQWLOFRQYHUJHG

&XUUHQW VSHHG

6SHHG

 &XUUHQW VSHHG RQ WKH
FXUUHQW FXUYH DW HDFK UXQ
9&L LV UHDG
9&
9&

9&

9&
9&

9&

7LPH

7KHSURFHVVLQZKLFKFXUUHQWFXUYHLVILWWHGPDQXDOO\LQYROYHVDUELWUDULQHVVDQGDPELJXLW\,WHUDWLYHPHWKRGLQ,62',6

6SHHG

 7KH REWDLQHG FXUUHQW VSHHGV DUH SORWWHG DJDLQVWWLPH DQG D IDLU FXUYH LV ILWWHG DXWRPDWLFDOO\ XVLQJIXQFWLRQ &XUUHQW VSHHGV RQ WKH
FXUUHQW FXUYH DW HDFKUXQ
9&L DUH FDOFXODWHG
9& 63FXUYH LV UHYLVHG VR WKDW KRUL]RQWDOVHSDUDWLRQRIYDOXHVIURPUHYLVHGFXUYH
DUHHTXDO WRWKHREWDLQHGFXUUHQW
VSHHGVDVPXFKDVSRVVLEOH
 7KHDERYHSURFHVVHV DUHUHSHDWHGXQWLO63FXUYHFRQYHUJHG IL[HG &XUUHQW VSHHG

3RZHU,WHUDWLYH PHWKRG LV EDVHG RQ WKH FXUUHQW FRUUHFWLRQ PHWKRG LQ %65$ VWDQGDUG PHWKRG
 $ VSHHGSRZHU FXUYH LV GHWHUPLQHG WHPSRUDOO\FRQVLGHULQJWKHYDOXHVLQWKHFXUUHQWFRQGLWLRQ &XUUHQW VSHHG DW HDFK UXQ ZKLFK LV DVVXPHGWR
EHHTXDO WR WKH KRUL]RQWDOVHSDUDWLRQRIWKH
YDOXHVIURPWKHPHDQOLQHLV REWDLQHG

9&

9&

9&
9&

9&

7LPH

9DOLGDWLRQVWXG\RIWKLVQHZO\GHYHORSHGPHWKRGZDVUHTXHVWHG+LVWRU\IURP0(3& WRVW YRWLQJ

6LQFH-XO\,62KDVVWDUWHGWKHUHYLVLRQRI,62E\WKHH[SHUWVLQFOXGLQJ,77&PHPEHUV DQG67$*URXS $QLQWHUQDWLRQDOJURXSRIRZQHUVVKLS\DUGVUHVHDUFKLQVWLWXWHVFODVVLILFDWLRQVRFLHWLHVDQGXQLYHUVLWLHVVWXG\LQJDQG
LPSURYLQJVHDWULDOSURFHGXUHVDQG6HD7ULDO$QDO\VHV 67$,02ZHOFRPHGWKHFROODERUDWLYHHIIRUWVPDGHE\,62DQG,77&WR
KDUPRQL]HWKHLUVWDQGDUGVDQGXUJHG,62WRVXEPLWWKHUHYLVHG
,62E\HDUO\EXWWKHUHVXOWRIWKHVW YRWLQJZDVŵGLVDSSURYHGŶ $SULO 

7KHWK$6()-HMX

1RYHPEHU

VW YRWLQJUHVXOWFRPPHQWVZHUHJDWKHUHGIURPWKHPHPEHUFRXQWULHV7HFKQLFDOFRPPHQWV FRPPHQWV VKRXOGEH
VROYHGIRUQH[WQG YRWLQJ

7KHVH WHFKQLFDOFRPPHQWVZHUHQDUURZHGGRZQWRRQO\VL[LWHPV
9DOLGDWLRQRI³,WHUDWLYH´PHWKRG
5XQQXPEHURIVLVWHUVKLSV6WDQGDUG*PRGXOHVIRUVKDIWWRUTXHPHWHU
3RZHUVHWWLQJUDQJH
3UHSDUDWLRQDQGFRQGXFWLQJWKHVSHHGWULDO
8VLQJWKH&)'IRUZLQGDQGZDYHFRUUHFWLRQ

9DOLGDWLRQVWXG\RIFXUUHQWFRUUHFWLRQE\,77& )DEULFDWHGVSHHGWULDOGDWDEDVHGRQWDQNWHVWZLWKVRPHDVVXPHGFXUUHQWSURILOHVDQGDGGHGUHVLVWDQFHDUHXVHG
6WDUWLQJWLPHDQGWLPHLQWHUYDOVDUHYDULHGWRFDOFXODWH,IWKHFRUUHFWLRQPHWKRGLVDFFXUDWHWKHUHVXOWVVKRXOGEHRQWKH
HVWLPDWHGVSHHGSRZHUFXUYHEDVHGRQWKHWDQNWHVWUHVXOWV
7DQNWHVWGDWD$VVXPHG'5

7UXH9V3G&RPSDULVRQRI
VSHHGSRZHUFXUYH$QDO\]HG9V3G$VVXPHGFXUUHQWSURILOH

6HWVWDUWWLPH 
LQWHUYDORIUXQV&RPSXWHEDFNZDUGV)DEULFDWHGVSHHGWULDOGDWD
6LQJOHUXQ³PHDVXUHPHQWV´RI
9V3GQP'5WLPHKLVWRU\$QDO\VHZLWK,WHUDWLYHPHWKRG 
0HDQRI0HDQVPHWKRG'LUHFW 3RZHU 0HWKRG'LUHFW3RZHU0HWKRG '30 LVDGRSWHGIRUSRZHUFRUUHFWLRQ3RZHULQFUHDVHGXHWRHQYLURQPHQWDOFRQGLWLRQVLVHOLPLQDWHGGLUHFWO\ZLWKWKH
IROORZLQJIRUPXOD
P'LG'PP'PV  ǻP
§ K
·
'RV6
 P'PV ¨¨  'PV ¸¸
K 'LG
K
'LG ¹
©

$VDUHVXOWRIWUDQVIRUPDWLRQRIWKHDERYHIRUPXODHWKHFRUUHFWHGSRZHUVKDOOEH
FDOFXODWHGZLWKWKHIROORZLQJIRUPXODSURYLGHGWKDWȟP ZKLFKUHSUHVHQWWKHUHODWLRQ
EHWZHHQFKDQJHRISURSXOVLYHHIILFLHQF\DQGUHVLVWDQFHLQFUHDVHDUHGHULYHGSULRUWRWKHVSHHGWULDO
P'LG

§
'RV6
¨
P'PV 

 ¨¨
K 'LG
©


·
§
'RV6 ·'RV6 ¸¨¨ P'PV ¸¸   P'PV
[P ¸
K 'LG ¹
K 'LG
¸
©
¹

$QRWKHUPHWKRG IRU SRZHU FRUUHFWLRQLVDOVR VSHFLILHGLQWKH$QQH[.DVDLQIRUPDWLYH
$QQH[
7KHDERYHPHQWLRQHGWZRRULJLQDOIRUPXODHIRU'30DUHXVHGLQWKLVPHWKRG
7KHSURFHGXUHVWRGHULYHSURSXOVLYHHIILFLHQFLHVLQWKLVPHWKRGDUHVLPLODUWRWKH
SRZHULQJSURFHGXUH)ORZ RI 'LUHFW 3RZHU 0HWKRG
0HDVXUHG GDWD
V*, P'PV nPV

:DYH

:LQG

R$$

R$:

:DWHUWHPSGHQVLW\
R$6

V6

ǻR

Ș'LG
P'LG
ȟP
nLG

ȟP, ȟP

V6
RLG

«

ǻR=0

ǻR

ĲLG

ĲPV

JLG
ȘLG

JPV
Ș2PV

ȘLG

Ș'PV

«

PLG

P'PV

«

1-w6LG

1-w6PV

nLG

nPV

«

«

7KLV PHWKRG LV YHU\ VLPSOH ZKHQ XVLQJ LW GXULQJ VHD WULDO+RZHYHU SRZHULQJ FRQVLGHULQJ ORDG YDULDWLRQ HIIHFWVDWYDULRXVVSHHGVVKDOOEHFDUULHG
RXW SULRU WR WKHVHD WULDO

9DOLGDWLRQVWXG\RIFXUUHQWFRUUHFWLRQE\,77& 
 FXUUHQWSURILOHV  DW YDULRXV ORFDWLRQV LQ $VLD RU (XURSH

 6KLSW\SHVVPDOOODUJH FRQWDLQHU VKLSVVPDOOODUJH WDQNHUVFUXLVHOLQHU/1*&
6WDUWLQJWLPHK K

7LPHLQWHUYDOVEHWZHHQFRQVHFXWLYHUXQVVKRUWDQGORQJXQHYHQLQWHUYDOVUDQGRPO\$GGHGUHVLVWDQFH 
5XQQXPEHU,WHUDWLYHPHWKRG  GRXEOHUXQV
0HDQRI0HDQVPHWKRGGRXEOHUXQV
([DPSOHRIWKHYDOLGDWLRQUHVXOWE\,77&
7KHWKUHVKROGIRUDQDFFHSWDEOHYDULDWLRQ'LIIHUHQFHEHWZHHQ³WUXHYDOXH´DQGDQDO\VHG
YDOXHRIVSHHG9V NQRW$QDO\VHGUHVXOWƩVs(VWLPDWHGVSHHG
SRZHUFXUYH(UURURQGHULYHG
VSHHG NQRW㼼NQRW&XUUHQWYDULDWLRQZLWKLQGRXEOHUXQ NQRW

2XWFRPH9DOLGDWLRQRI,WHUDWLYH0HWKRG ,77&FRQFOXGHGDVIROORZVEDVHGRQWKHLUVWXG\,QJHQHUDOWKH³,WHUDWLYH´PHWKRGRI³GRXEOHUXQV´OHDGVWROHVVHUURUVLQDYHUDJHRIWKHWHVWHGFDVHVZKHQ³GRXEOHUXQV´DUHXVHG
LQWKH³0HDQRI0HDQV´PHWKRG
8VLQJWKH³0HDQRI0HDQV´PHWKRGWZRGRXEOHUXQVIRUHDFKSRZHUVHWWLQJ GRXEOHUXQV VKRXOGEHPDGHWRNHHSWKHHQRXJKDFFXUDF\,QWKHFDVHRIVKRUWHUWLPHSHULRGVEHWZHHQWKHUXQV XSWRPLQXWHV 
WKHERWKPHWKRGVDUHHTXDOO\DGHTXDWH,QVSHFLILFFDVHVWKH³0HDQRI0HDQV´PHWKRGKDVDGYDQWDJHVRYHUWKH
³,WHUDWLYH´PHWKRG2XWFRPH9DOLGDWLRQRI,WHUDWLYH0HWKRG %9FRQGXFWHGWKHYDOLGDWLRQVWXG\E\WKHLURZQSURFHGXUHDQGVKRZHGWKHUHVXOWVWKDWWKH³,WHUDWLYH´PHWKRG GRXEOHUXQV OHDGVWROHVVHUURUVDURXQG((',SRZHUUDQJHEDVHGRQWKHFRPSDUDWLYHVWXG\RIWKHLUVLPXODWLRQVE\ERWK³,WHUDWLYH´PHWKRGDQG³PHDQRIPHDQV´PHWKRG2XWFRPH9DOLGDWLRQRI,WHUDWLYH0HWKRG 
7KHRWKHUPHPEHUVUHSRUWHGWKHUHVXOWVRIWKHLUYDOLGDWLRQVWXG\$FFRUGLQJWRWKHFRPSDUDWLYHVWXG\E\&ODVV1. XVLQJDFWXDOWULDOGDWDERWKPHWKRGVVKRZHGWKHVDPHOHYHODFFXUDF\02/H[SUHVVHGWKHLUYLHZVIURPWKHVWDQGSRLQWRIWKH6KLS2ZQHUWKDWWKH
³,WHUDWLYH´PHWKRGLVSUDFWLFDODQGDOORZHGWREHDSSOLHGLQWKHQHZ
,62
7DNLQJLQWRFRQVLGHUDWLRQRIWKH9DOLGDWLRQZRUNE\,77&DQGRWKHUVWKHJURXSDJUHHGWKDWWKH,WHUDWLYHPHWKRGZDVIXOO\YDOLGDWHGDQGFRQILUPHGWR
EHDFFXUDWHHQRXJKWREHXVHGDVDFXUUHQWFRUUHFWLRQPHWKRGLQWKH,62
GUDIW



2XWFRPH9DOLGDWLRQRI,WHUDWLYH0HWKRG 
7KHJURXSDJUHHGWRIROORZWKH,77&¶VUHFRPPHQGDWLRQRIWKHUXQQXPEHUVRI
WKH,WHUDWLYHPHWKRGDQGWKH0HDQRI0HDQVPHWKRGLQRUGHUWRDFKLHYH
HTXLYDOHQWDFFXUDF\DVIROORZV,WHUDWLYHPHWKRG¾ 'RXEOH5XQVIRUWKHILUVWVKLS¾ 'RXEOH5XQVIRUVLVWHUVKLSV0HDQRI0HDQVPHWKRG¾ 'RXEOH5XQVIRUWKHILUVWVKLS¾ 'RXEOH5XQVIRUVLVWHUVKLSV¾ )RUVLVWHUVKLSVZKHQDFXUUHQWYDULDWLRQRIDERYHNQRWVZLWKLQRQH'RXEOH
5XQLVREVHUYHGRQHDGGLWLRQDO'RXEOH5XQLVQHHGHGIRUWKDWSRZHUVHWWLQJ)ORZ RI ([WHQGHG 3RZHU 0HWKRG
0HDVXUHG GDWD
V*, P'PV nPV

:DYH

:LQG

R$$

R$:

:DWHUWHPSGHQVLW\

V6

R$6

KQPV
JPV
ĲPV
Ș2PV
1-w6PVǻRRPV

7KH PHWKRG GHVFULEHGLQ$QQH[.ORRNVFRPSOLFDWHG

RLG
ĲLG

eL

JLG
Ș2LG
Ș'PV

Ș'LG
P'LG
1-w6LG+RZHYHUWKHSURFHGXUHLQWKLVPHWKRGLVVLPLODUWRWKHSRZHULQJSURFHGXUHLQWKDWWKH
SURSHOOHUHIILFLHQFLHVDUHHVWLPDWHGXVLQJ
32&
6LQFHWKHSURSHOOHUDGYDQFHFRHIILFLHQWVDUH
DOVRHVWLPDWHGXVLQJ32&7KHIXOOVFDOH
ZDNHIUDFWLRQZKLFKLVHVVHQWLDOWRNQRZWKH
SK\VLFVRIIXOOVFDOHVKLSSURSXOVLRQFDQEH
FDOFXODWHGZLWKWKLVPHWKRG

nLG
*0RGXOXV5HVHDUFK QDPH

7KH QXPEHU RI *PRGXOHV

027 ,77& NJFP

61$0( %6

  OELQ NJFP([SODQDWLRQ DGGHG LQ WKH -,6 a NJFP

%65$
DYHUDJH RI  LQWHUPHGLDWH VKDIWV
65 0HDVXUHG E\ XOWUDVRQLF HTXLSPHQW
DYHUDJH RI  DFWXDO LQWHUPHGLDWH VKDIWV0HDVXUHG E\ WKH FRQYHQWLRQDO PHWKRG
DYHUDJH RI  DFWXDO LQWHUPHGLDWH VKDIWV  OELQ NJFP
 NJFP
 NJFP

,62SURSRVDO1PP HTXLYDOHQWWR[ NJFP
,77&SURSRVDO1PP HTXLYDOHQWWR[ NJFP,WDO\SURSRVDO1PP
7KHJURXSILQDOO\GHFLGHGWRDGRSWWKHGHIDXOWYDOXHRI1PP SURSRVHGE\,WDO\
IRU*0RGXOXVXQOHVVWKH6KLSEXLOGHUFDQSURYHDQRWKHUYDOXHEDVHGRQDQDFWXDOVKDIWWRUVLRQDOWHVW

+LVWRU\IURPVWYRWLQJWRFXUUHQWVWDWXV,77&DQGVRPHRWKHURUJDQL]DWLRQVFRQGXFWHGWKHYDOLGDWLRQVWXGLHVRILWHUDWLYHPHWKRGLQGLYLGXDOO\DIWHUVW YRWLQJWK H[SHUWPHHWLQJZDVKHOGLQ-XQHLQ/RQGRQDQG
WKH\UHSRUWHGWKHUHVXOWVRIWKHLUYDOLGDWLRQZRUN
7DNLQJLQWRFRQVLGHUDWLRQRIWKHUHVXOWVRIWKHYDOLGDWLRQZRUNE\,77&DQGWKHRWKHUVWKHJURXSDJUHHGWKDWWKH³,WHUDWLYH´PHWKRGZDVIXOO\YDOLGDWHGDQGFRQILUPHGWREHDFFXUDWHHQRXJKWREH
XVHGDVDFXUUHQWFRUUHFWLRQPHWKRGLQWKHGUDIWUHYLVHG,62
IRUWKHQG YRWLQJ ,62',6 $OOWKHSDUWLFLSDQWVRIWKLVJURXSDJUHHGRQWKHVXEVWDQFHRIWKH
,62ZRUNLQJGUDIWDVLWLVDSUDFWLFDODQGSUHIHUDEOHVWDQGDUGIRU
VSHHGWULDODQDO\VLV
7KHPHPEHUVDJUHHGWRUHTXHVW,627&6&IRUWKHQG',6
YRWLQJRIWKH,62',6
QG YRWLQJZDVVWDUWHGRQ2FWREHUDQGZLOOEHWHUPLQDWHGRQ'HFHPEHU


0DLQLPSURYHPHQWVIURPWKHROGPHWKRGV
0DLQLPSURYHPHQWVIURPWKHFRQYHQWLRQDOPHWKRGV,62&XUUHQWFRUUHFWLRQz &XUUHQW VSHHG IRU HDFKWULDO LV REWDLQHG IURP D
FXUUHQW FXUYH GHWHUPLQHG
PDQXDOO\ XVLQJ DOOFXUUHQW
VSHHGZKLFKLVREWDLQHG
IURPWKHVSHHGGLIIHUHQFH
EHWZHHQGRXEOH UXQV

%65$
z &XUUHQW FXUYH DQG VSHHGSRZHU FXUYH DUH REWDLQHG
E\ LWHUDWLYH SURFHVVz ,Q HDFK VWHSRILWHUDWLYH

SURFHVV D FXUUHQW FXUYH LV
GHWHUPLQHG PDQXDOO\XVLQJ DOO WULDOGDWD

,62',6
z 0HDQRI0HDQVPHWKRG¾ &XUUHQW HIIHFW LV

HOLPLQDWHG DXWRPDWLFDOO\ZLWK IRXU VKLS¶V VSHHGV RIWZR GRXEOH UXQV
¾ ,Q IDFW FXUUHQW FXUYH LV
DSSUR[LPDWHG E\
TXDGUDWLF IXQFWLRQ DWHDFK SRZHU VHWWLQJ
z ,WHUDWLYH0HWKRG¾ &XUUHQW FXUYH DQG

VSHHGSRZHU FXUYH DUHREWDLQHG E\ LWHUDWLYH
SURFHVV¾ ,Q HDFK VWHS D FXUUHQWFXUYH LV GHWHUPLQHG
DXWRPDWLFDOO\ XVLQJ DOO
WULDOGDWD
3UHSDUDWLRQ
DQG
FRQGXFWz 7KHSURFHGXUHVWREHDSSOLHGLQWKHSUHSDUDWLRQH[HFXWLRQDQGUHSRUWLQJRI
VSHHGWULDOVDUHDOVRVSHFLILHG
0DLQLPSURYHPHQWVIURPWKHFRQYHQWLRQDOPHWKRGV,623RZHU
FRUUHFWLRQ

z 3RZHUV DUH FRUUHFWHG YLD%65$
z 3RZHUV DUH FRUUHFWHG

SURSHOOHU ORDGVz /RDGYDULDWLRQ LV DOVR

GLUHFWO\z ,WPD\EHDVVXPHGWKDWFRUUHFWHG ZKHQHVWLPDWLQJSURSHOOHUORDGORDGYDULDWLRQHIIHFWGXH
WRSURSHOOHULVVPDOO

z :LQG UHVLVWDQFHz :LQG UHVLVWDQFH:LQG
FRHIILFLHQWV VKDOOEHEDVHGFRHIILFLHQWV IRUYDULRXVUHVLVWDQFH
RQZLQGWXQQHOWHVW
VKLSW\SHVDUH SURYLGHG LQ
WKH GRFXPHQW
z 7KHGDWDREWDLQHGIURPPRGHOWHVWVDUHDOVRSURYLGHG LQ WKH GRFXPHQWIRUJXLGDQFHz )ROORZLQJVDUHDFFHSWHG
:DYH
UHVLVWDQFH ¾ 7KHRUHWLFDO PHWKRGV¾ 7DQNWHVW,62',6
z 3RZHUV DUH FRUUHFWHG

GLUHFWO\'LUHFW3RZHU 0HWKRG
z /RDGYDULDWLRQHIIHFWLV

FRQVLGHUHG
z )ROORZLQJVDUHDFFHSWHG
¾ :LQG WXQQHOWHVW¾ 'DWDVHWSURYLGHG E\

67$JURXS¾ 5HJUHVVLRQIRUPXODE\)XMLZDUDHWDOz )ROORZLQJVDUHDFFHSWHG
¾ 6LPSOLILHG PHWKRG

67$:$9(¾ (PSLULFDOPHWKRG

67$:$9(¾ 7KHRUHWLFDOPHWKRG

105,¾ 7DQNWHVW

0DLQLPSURYHPHQWVIURPWKH,77&*XLGHOLQH ³,62',6´ZKLFKKDVEHHQGHYHORSHGEDVHGRQ,77&5HFRPPHQGHG3URFHGXUH *XLGHOLQH  DFKLHYHVVXEVWDQWLDOLPSURYHPHQWVDVIROORZV,QDGGLWLRQWRWKH³0HDQRIPHDQV´PHWKRGIRUFXUUHQWFRUUHFWLRQWKHQHZO\GHYHORSHG
³,WHUDWLYH´PHWKRGLVLQWURGXFHGDQGDSSOLHG
7KHUHTXLUHGUXQQXPEHULVUHHVWDEOLVKHGEDVHGRQWKHYDOLGDWLRQUHVXOWVLQRUGHUWRDFKLHYHWKHVDPHOHYHORIDFFXUDF\
7KHSUDFWLFDOVWDQGDUGYDOXHRI*PRGXOXVIRUWRUVLRQPHWHULVHVWDEOLVKHG
7KHDSSURSULDWHUHVWULFWLRQVDUHGHILQHGIRUWKHWKHRUHWLFDOPHWKRGZLWKVLPSOLILHGWDQNWHVWRI
DGGHGUHVLVWDQFHGXHWRZDYHVEDVHGRQWKHLUYDOLGDWLRQUHVXOWV
7KHIROORZLQJLWHPVRIVHDWULDOSUHSDUDWLRQVFRQGLWLRQVSURFHGXUHVDQGDQDO\VLVDUH
GHILQHGIRUFODULW\DQGWRDYRLGDUELWUDU\DSSOLFDWLRQV
6HDWULDODUHD'UDIWPHDVXUHPHQWPHWKRG
6LVWHUVKLSV0HDVXUHGSDUDPHWHUV$SSOLFDWLRQRIVKDOORZZDWHUFRUUHFWLRQ
3RZHUVHWWLQJV
6KLS¶VSURILOHVIRU'DWDVHWRIZLQGFRUUHFWLRQ
6WDQGDUGZDWHUWHPSHUDWXUH䡡䡡䡡&XUUHQW6LWXDWLRQ
QG',6YRWLQJRIWKH,62',6ZDVFRQGXFWHGIURP2FWREHUWR'HFHPEHU
$VDUHVXOWRIWKHYRWLQJ,62',6ZDVDSSURYHGZLWKRXWDQ\REMHFWLRQ
7KURXJKWKHSURRIUHDGLQJGRQHE\,62&HQWUDO6HFUHWDULDWWKHVHFRQGHGLWLRQ
RI,62 ³,62´ ZDVSXEOLVKHGRQ$SULO
,Q0(3& 0D\ WKH&RPPLWWHHDGRSWHGWKHDPHQGPHQWRI³WKH*XLGHOLQHVRQVXUYH\DQGFHUWLILFDWLRQRIWKH(QHUJ\(IILFLHQF\'HVLJQ,QGH[((', ´ZKLFKUHIHUV,62DVDWRROIRUSURFHGXUHRIVSHHGWULDODQG
IRUDQDO\VLVRILWVUHVXOWV,62LVDSSOLFDEOHIRUVKLSVIRUZKLFKWKHVHDWULDOLVFRQGXFWHGRQRUDIWHU6HSWHPEHU
,62LVH[SHFWHGWREHUHYLVHGWKUHH\HDUVODWHU

7KDQN\RX