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LIMIT ORDER BOOK RECONSTRUCTION AND BEYOND: AN APPLICATION TO ISTANBUL STOCK EXCHANGE

Ekinci, Cumhur - EconWPA - 2005

We discuss the use of order book as a source of information and show step by step the procedure of its reconstruction for the case of Istanbul Stock Exchange. We then propose many new variables derived from the order book potentially prolific for future research. We also put forward an original...

Persistent link: https://www.econbiz.de/10005076959

STRUCTURAL MODELS IN CONSUMER CREDIT

Andrade, Fabio de; Thomas, Lyn - EconWPA - 2004

We propose a structural credit risk model for consumer lending using option theory and the concept of the value of the consumer’s reputation. Using Brazilian empirical data and a credit bureau score as proxy for creditworthiness we compare a number of alternative models before suggesting one...

Persistent link: https://www.econbiz.de/10005126110

Simulation-based stress testing of banks’ regulatory capital adequacy

Peura, Samu; Jokivuolle, Esa - EconWPA - 2004

Banks’ holding of reasonable capital buffers in excess of minimum requirements could alleviate the procyclicality problem potentially exacerbated by the rating-sensitive capital charges of Basel II. Determining the required buffer size is an important risk management issue for banks, which the...

Persistent link: https://www.econbiz.de/10005134940

Credit Rationing and Internal Ratings in the face of Innovation and Uncertainty

Fioretti, Guido - EconWPA - 2005

Some empirical investigations are pointing to the fact that high-tech firms are subject to credit rationing to a higher extent than the average. This excess of credit rationing may not be due to information asymmetries, but rather to the inability of credit institutions to screen projects in...

Persistent link: https://www.econbiz.de/10005561669

Ex Ante Versus Ex Post Regulation of Bank Capital

Daripa, Arup; Varotto, Simone - EconWPA - 2005

The current debate on the new Basel Accord gives rise to a natural question about the appropriate form of capital regulation.We construct a simple framework to analyze this issue. In our model the risk carried by a bank as well as managerial risk preference are a bank's private information. We...

Persistent link: https://www.econbiz.de/10005561710

Banking Passivity and Regulatory Failure in Emerging Markets: Theory and Evidence from the Czech republic

Hanousek, Jan; Roland, Gerard - EconWPA - 2002

We present a model of bank passivity and regulatory failure. Banks with low equity positions have more incentives to be passive in liquidating bad loans. We show that they tend to hide distress from regulatory authorities and are ready to offer a higher rate of interest in order to attract...

Persistent link: https://www.econbiz.de/10005407910

ACTIVE AND PASSIVE SEIGNIORAGE REVENUES: THE CASE FOR TURKEY 1970-1997

Halicioglu, Ferda - EconWPA - 2005

This study is concerned with the components of the total seigniorage revenues that have been collected by the Turkish governments during the years 1970-1997. Traditionally, a government can increase the monetary base in order to finance its expenditures partially. This form of monetary finance...

Persistent link: https://www.econbiz.de/10005076728

EMU, EURO and EU-Membership: An Evaluation from the Turkish Macroeconomic Perspective

Kibritcioglu, Aykut - EconWPA - 2003

Section of Cyprus are preparing their economy for a full-membership to the EU while Turkey, as an associate- member of the … Union since 1963 and as a part of customs union between Turkey and the EU since 1996, seems to be excluded from the next EU … Turkey different than the 11 membership candidate countries and the EU countries in terms of the ten selected macroeconomic …

Persistent link: https://www.econbiz.de/10005076843

Turkiye'nin dunya ekonomisine entegrasyon sureci ( The integration process of Turkey into the world economy) (IN TURKISH)

HALICIOGLU, Ferda - EconWPA - 2005

This study brifly looks into the process of Turkey into the world economy and concludes that this process has been …

Persistent link: https://www.econbiz.de/10005124899

PUBLICATION PERFORMANCE OF ECONOMISTS AND ECONOMICS DEPARTMENTS IN TURKEY (1999-2003)

cokgezen, murat - EconWPA - 2005

This is the first study evaluating publication performances of economists and economics departments in Turkey. Findings …

Persistent link: https://www.econbiz.de/10005124928

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