During the recent years Mediterranean Partner Countries (MPCs) are facing major political, institutional, economic and societal changes. As a matter of fact, the agricultural sector has been interested by global trends and has become more and more exposed to world dynamics. The resulting...

The purpose of this paper is to examine the credit risk mitigation in Islamic Financial Institutions (IFIs). Currently, shariah compliant financing in Malaysia are still dominated by the concept of Bai’ Bithaman Ajil (BBA), Ijarah Thumma Al Bai and Murabahah. These sale-based approaches allow...

The present study aims at ascertaining whether a relationship exists between the liquidity risk and the interest rate risk of credit institutions. By analysing the balance sheet of a small Italian bank during the years 2009 and 2010, we outlined its liquidity profile, the variables that...

In this paper we propose a new tool for backtesting that examines the quality of Value-at- Risk (VaR) forecasts. To date, the most distinguished regression-based backtest, proposed by Engle and Manganelli (2004), relies on a linear model. However, in view of the di- chotomic character of the...

Abstract - Often times, contractors failed to identify, plan, strategize, analyzed, execute, monitor, control and manage the risk involves during construction phase in Malaysia. Consequently, the contractor failed to complete the project on schedule, within client’s budget and quality. The...

In general, many contractors in Malaysia are found to have a limited expertise in developing an appropriate strategy to mitigate project risks. Consequently, this has led contractors struggling to complete the project on schedule, within the client’s budget and quality parameters. This was...

This paper addresses an important contemporary issue; namely the implementation of the Basel Accord worldwide. The Basel Accord provides a series of measures to improve the stability of the world’s financial system but its implementation poses a number of challenges for both developing and...

Stylized facts on financial time series data are the volatility of returns that follow non-normal conditions such as leverage effects and heavier tails leading returns to have heavier magnitudes of extreme losses. Value-at-risk is a standard method of forecasting possible future losses in...

In order to capture observed asymmetric dependence in international financial returns, we construct a multivariate regime-switching model of copulas. We model dependence with one Gaussian and one canonical vine copula regime. Canonical vines are constructed from bivariate conditional copulas and...

For both risk management and portfolio selection purposes, modeling the linkage across financial markets is crucial, especially among neighboring stock markets. In investigating the dependence or co-movement of three or more stock markets in different countries, researchers frequently use...