The present study adds evidence, from three former emerging and currently transition countries along with two EU member countries of South and Eastern Europe, relevant to the market risk their stock exchanges possess under the same global financial environment. In order to assess market risk, we...

The broad spectrum and the increased complexity of financial products that compose modern portfolios have forced credit and financial institutions to focus on innovative and more effective ways of estimating market risks. These new approaches, very often, prove to be more conservative compared...

This book provides a concise and practical guidance on the implementation analysis of the new revised standards of the Basel Committee on Banking Supervision (BCBS) on the supervision of the international banking system. Based on publicly available data on default rates and realised...

This book provides a concise and practical guidance on the implementation analysis of the new revised standards of the Basel Committee on Banking Supervision (BCBS) on the supervision of the international banking system. Based on publicly available data on default rates and realised...

Purpose: This study aims to examine whether the methodology proposed by the European Supervisory Authorities (ESAs) within Delegated Regulation (European Union) 2017/653 for the calculation of market risk of certain packaged retail and insurance-based investment products (PRIIPs) is the most...