This report presents an application of a macro stress testing procedure on credit risk in the Romanian banking system. Macro stress testing, i.e. assessing the vulnerability of financial systems to exceptional but plausible macroeconomic scenarios, maintains a central role in macro-prudential...

This study provides a link between accounting, managerial discretion and monetary policy. Monetary authorities encourage banking institutions to supply credit to the economy. Increased bank supply of credit is a good thing but too much of a good can be a bad thing. This paper investigates under...

This double-issue contains 11 papers invited for the first special issue on “Computational methods for Russian economic and financial modelling”. It was an attempt to explore and bring together practical, state-of-the-art applications of computational techniques with a particular focus on...

In order to analyse the current state of development and use of the information systems for credit risk in the local financial system, a survey was carried out with a sample of banks that voluntarily decided to take part in the exercise. In relation to the degree of advance of their information...

Abstract The Euro zone debt crisis has indeed jeopardized the recovery plans put in place post global crisis by regulators, policy makers and the sovereigns. Though, the crisis is epicentered in the Eurozone, the knock-on effects of the crisis are felt all across the globe. The emerging and...

Looking at the valuation of a swap when funding costs and counterparty risk are neglected (i.e., when there is a unique risk free discounting curve), it is natural to ask "What is the discounting curve of a swap in the presence of funding costs, counterparty risk and/or collateralization". In...

This article shows that a sizable component of emerging market sovereign yield spreads is due to factors other than default risk, such as liquidity. The author estimates the non-default component of the yield spreads as the basis between the actual credit default swap (CDS) premium and the...

A family of credit risk models is proposed to capture three salient features of Latin American (LA) Sovereign Bond Markets: individual Long Range Dependence in volatility---Long Memory (LM)---, high fractional comovement and time varying risk premia. Evidence in favor of LM is uncovered and the...

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...

This study analyzes the banks’ internal factors to study the determinants of profitability and assets growth. The study also investigates empirically the reasons why Advance to Deposits Ratio (ADR) is low in Islamic banking. Both descriptive and inferential techniques have been used. This is...