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Information Arrival and Volatility: Evidence from the Saudi Arabia Stock Exchange (Tadawul)
Ezzat, Hassan; Kirkulak, Berna - Volkswirtschaftliche Fakultät, … - 2014
sector indices from April 2008 to August 2013. The relationship between volatility and information arrival was modelled using … TGARCH. The findings provide strong evidence for the validity of the MDH for the Saudi market. Volatility persistence …, interacting with volatility in a manner anticipated under the MDH. This can be attributed to unique characteristic of the Saudi …
Persistent link: https://www.econbiz.de/10011115493
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Integrated risk management in a commercial market-maker bank using the 'cash flow at risk' approach
Voloshyn, Ihor; Voloshyn, Mykyta - Volkswirtschaftliche Fakultät, … - 2013
, operational and liquidity risks) risk management in a market-maker commercial bank is developed. This system guarantees reaching …, creditors and shareholders of the bank providing its sustainable development. …
Persistent link: https://www.econbiz.de/10011130320
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A detailed analysis of fulfilling and delinquency of payments on loan
Voloshyn, Ihor - Volkswirtschaftliche Fakultät, … - 2014
A new model for predicting the future expected cash flows from a loan is developed. It is based on a detailed analysis of the events of fulfilling, delinquency and default of each individual payment on the loan. The proposed model has significantly less uncertainty compared with the Markov chain...
Persistent link: https://www.econbiz.de/10011111290
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Risk-adjusted pricing of bank’s assets based on cash flow matching matrix
Voloshyn, Ihor; Voloshyn, Mykyta - Volkswirtschaftliche Fakultät, … - 2013
To price bank’s assets correctly, it is important to know cost of funds. But funding cost calculation is complicated …
Persistent link: https://www.econbiz.de/10011145372
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Banks exposure to market risks
Galy, Michel - Volkswirtschaftliche Fakultät, … - 1989
the variance of the total differential of the bank net-wealth against these prices. …
Persistent link: https://www.econbiz.de/10011183544
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Multifactor asset pricing with a large number of observable risk factors and unobservable common and group-specific factors
Bai, Jushan; Ando, Tomohiro - Volkswirtschaftliche Fakultät, … - 2013
This paper analyzes multifactor models in the presence of a large number of potential observable risk factors and unobservable common and group-specific pervasive factors. We show how relevant observable factors can be found from a large given set and how to determine the number of common and...
Persistent link: https://www.econbiz.de/10011107278
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Testing rational speculative bubbles in Central European stock markets
Deev, Oleg; Kajurova, Veronika; Stavarek, Daniel - Volkswirtschaftliche Fakultät, … - 2013
This study examines the existence of rational speculative bubbles in selected Central European stock markets. We employed the duration dependence test for bubble detection, which we believe provides reliable results for the specific properties of the markets studied. In addition to the stock...
Persistent link: https://www.econbiz.de/10011109269
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Evaluating alternative methods for testing asset pricing models with historical data
Rubio, Gonzalo; Lozano, Martin - Volkswirtschaftliche Fakultät, … - 2009
We follow the correct Jagannathan and Wang (2002) framework for comparing the estimates and specification tests of the classical Beta and Stochastic Discount Factor/Generalized Method of Moments (SDF/GMM) methods. We extend previous studies by considering not only single but also multifactor...
Persistent link: https://www.econbiz.de/10008557279
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Forecasting volatility: Evidence from the Macedonian stock exchange
Kovačić, Zlatko - Volkswirtschaftliche Fakultät, … - 2007
, focusing on the relationship between returns and conditional volatility. The conditional mean follows a GARCH-M model, while … PGARCH) were tested. We examine how accurately these GARCH models forecast volatility under various error distributions … the following: (i) the Macedonian stock returns time series display stylized facts such as volatility clustering, high …
Persistent link: https://www.econbiz.de/10005621308
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Construction d’un portefeuille efficient : Application empirique à partir d’un échantillon de valeurs cotées à la Bourse des Valeurs de Casablanca
El Bouhadi, A.; Ounir, A.; El Maguiri, M. - Volkswirtschaftliche Fakultät, … - 2008
In this paper, we try to build an efficient portfolio among four possible portfolios based on the some 31 Casablanca listed shares. Our analysis concerns the risk which arises from the Markowitz mean-variance approach. Our work method will be implemented as following: first of all, we will test...
Persistent link: https://www.econbiz.de/10008490562