Ever since the financial crisis of the banking system of 2008 - 2010 the paradigm that deposits or other exposures towards major banks are safe has been fundamentally questioned. This put industrial corporates, who to support their business usually need to manage significant cash holdings or...

In the present document it is exposed in an abstract way the models of credit portfolioes CreditMetricsTM, KMV, CreditRisk+, Credit Portfolio View in such a way that they could be calibrated and implemented in financial institutions where the quality and quantity of credit information is scanty,...

Practically, there is no human activity without being connected with some form of risk. A complexity of the activity is in a close connection with the risk level and, as a rule, the greater complexity leads to a greater risk. The importance of risk is stressed to a large extent in some sectors,...

The paper presents the approach for the verification of the lemma used for the model for reputation risk for subsidiaries of non-public group with reciprocal shareholding as proposed by the author in priory works. For all entities with the absolute value of the reputation risk greater than the...

As observed at least in last two decades, financial engineering has not only changed the way of doing business in finance world, but also has changed daily life of average citizens in the leading economies. Structured products named as weapons of mass destruction in some post-crisis comments....

Credit ratings are ordinal predictions for the default risk of an obligor. To evaluate the accuracy of such predictions commonly used measures are the Accuracy Ratio or, equivalently, the Area under the ROC curve. The disadvantage of these measures is that they treat default as a binary variable...

However there are minumum self discipline regulations for securities firms, crisis has showed risk management standards must go beyond the minumum. There are two important deficiencies in turkish securities firms’ regulations of financial strength. The first is securities firms are using...

This paper focuses on the time series properties of the level of underpricing of IPO shares and volume of initial selling in Hong Kong equity market. Strong autocorrelation among the level of underpricing has been identified. Evidence suggests that the initial selling volume plays an important...

One of the fundamental principles of the bank activity is prudence. This principle manifest on one hand in substance of the reglementations regarding bank activity at national, european and international level and, on the other hand, in operational activity of each bank institution and, implicit...

This paper analyzes debt-equity choice for financing a two-stage investment when a firm’s insiders have private information about the firm’s expected earnings. When private information is one-dimensional (for example when short-term earnings are common knowledge while long-term earnings are...