Narrow search
Showing 1 - 10 of 2,017
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Using sentiment to predict GDP growth and stock returns
Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2008
This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...
Persistent link: https://www.econbiz.de/10009647230
Cover Image
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
Cover Image
Teste de Modelos Estatísticos para a Estrutura a Termo no Brasil
Varga, Gyorgy - Volkswirtschaftliche Fakultät, … - 2009
We apply and test term structure fitting models like polynomial splines, flat forward and Nelson-Siegel to the Brazilian local term structure. They are models used all over the world by authorities and financial markets practitioners but less known locally. These models were tested with a large...
Persistent link: https://www.econbiz.de/10008529234
Cover Image
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
Cover Image
Evaluation du Risque d’un Echantillon de Valeurs Mobilières de la Bourse de Casablanca
Abderrazik, Amal; Boutkardine, Mehdi; Bahi, El; Houda, … - Volkswirtschaftliche Fakultät, … - 2008
The management of financial risks, which is a branch of financial theory, is defined as a process that begins with risk factors identification, continues with measurement of risk and concludes with the coverage of that risk. This work focuses on the second phase of management process, namely the...
Persistent link: https://www.econbiz.de/10008776864