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Stubbs, Eric; Gupta, Francis - EconWPA - 2003

Persistent link: https://www.econbiz.de/10005134906

Agricultural Applications of Value-at-Risk Analysis: A Perspective

Manfredo, Mark R.; Leuthold, Raymond M. - EconWPA - 1998

Value-at-Risk (VaR) determines the probability of a portfolio of assets losing a certain amount in a given time period …. This paper provides a "state-of-the-art" review of VaR estimation techniques and empirical findings found in the finance … literature. The ability of VaR estimates to represent large losses associated with tail events varies among procedure, confidence …

Persistent link: https://www.econbiz.de/10005076967

Collateral-Based Lending in Emerging Markets: Evidence from Thailand

Menkhoff, Lukas; Neuberger, Doris; Suwanaporn, Chodechai - EconWPA - 2005

This paper examines the role and determinants of collateral in emerging markets compared to mature ones. Analyzing a data set of 560 credit files of Thai commercial banks, we find that both the incidence and degree of collateralization are higher there than in developed markets. Thai banks use...

Persistent link: https://www.econbiz.de/10005134744

A Scoring Model of the Risk of Costly Arrears at a Microfinance Lender in Bolivia

Schreiner, Mark - EconWPA - 2001

Can scoring models help microfinance lenders in poor countries as much as they have helped credit-card lenders in rich countries? I model the probability that loans from a microlender in Bolivia had arrears of 15 days or more. Although arrears in microfinance depend on many factors difficult to...

Persistent link: https://www.econbiz.de/10005118773

Scoring Drop-Out at a Microlender in Bolivia

Schreiner, Mark - EconWPA - 2001

This paper presents a scoring model that predicts the risk of drop-out for borrowers at a microfinance lender in Bolivia. Drop-out risk was greater for women, manufacturers, newer borrowers, and those with more arrears. Out-of-sample tests suggest that scoring may help microfinance lenders to...

Persistent link: https://www.econbiz.de/10005118802

Financial Integration and International Portfolio

Hedi, AROURI Mohamed El - EconWPA - 2003

smaller home markets. The impulse response functions from a VAR model comprised of the time-varying price of covariance risk …

Persistent link: https://www.econbiz.de/10005408146

Monetary Conditions and Stock Returns: A South African Case Study

Coetzee, Clive - EconWPA - 2002

Extensive research on the linkages between monetary conditions and stock returns has been conducted in developed countries. This is in sharp contrast to the situation in developing countries. This paper therefore aims to study the long believed asymmetrical relationship between changes in...

Persistent link: https://www.econbiz.de/10005413129