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VAR Methodology Used for Exchange Risk Measurement and Prevention

Stancu, Ion; Balu, Florentina - In: Theoretical and Applied Economics 3(498) (2006) 3(498), pp. 51-56

In this article we discuss one of the modern risk measuring techniques Value-at-Risk (VaR). Currently central banks in major money centers, under the auspices of the BIS Basle Committee, adopt the VaR system to evaluate the market risk of their supervised banks. Banks regulators ask all...

Persistent link: https://www.econbiz.de/10005154466

ASPECTS REGARDING THE RISK MANAGEMENT IN THE FINANCIAL INVESTMENT COMPANIES, IN THE CONTEXT OF RECENT ECONOMIC CHANGES

Cuzman, Ioan; Manaţe, Daniel; Fărcaş, Pavel - In: Theoretical and Applied Economics 5(558)(supplement) (2011) 5(558)(supplement), pp. 73-80

The bubbles, either involving real or financial assets, previous to the subprime crisis bring at the investor’s community’s concern the elusive topic of risk mitigation. Funds industry need today, more than any time in the past, a clear, decisive and competent approach in risk management. A...

Persistent link: https://www.econbiz.de/10009291681

The Adjustment of VaR to the Empirical Distribution of Returns

Lupu, Radu - In: Theoretical and Applied Economics 4(499) (2006) 4(499), pp. 27-32

Basel II Recommendations concerning internal rating based models approach for financial institutions and the success of RiskMetrics made Value-at-Risk (VaR) is the most important risk measurement instrument at international level. The objective of this paper is to address the problem of adapting...

Persistent link: https://www.econbiz.de/10005099705

INCREMENTAL VALUE AT RISK - SELECTION, CRITERION FOR PORTFOLIO COMPOSITION. CASE STUDY

Lacatus, Carmen Maria - In: Theoretical and Applied Economics 11(528)(supplement) (2008) 11(528)(supplement), pp. 356-363

This paperwork underlines the importance of the index of Value at Risk in measuring global portfolio risk and the incremental risk induced from any additional assets. The advantage of the method is made evident practically. Starting from Markowitz portfolio selection algorithm, seeing the good...

Persistent link: https://www.econbiz.de/10005581640

MARKET RISK ASSESSMENT OF A BANK. METHODS AND MEASUREMENTS

Popescu, Dumitru D. - In: Theoretical and Applied Economics 05(534)(supplement) (2009) 05(534)(supplement), pp. 56-64

The paper aims at substantiating the market risk assessment of a bank's portfolio that is based on three main …

Persistent link: https://www.econbiz.de/10008763567

SME’s and Basel 2 Challenge

Pagliacci, Mario G.R. - In: Theoretical and Applied Economics 3(498) (2006) 3(498), pp. 7-10

The paper refers to the impact of the Basel 2 Agreement on the development of small and medium enterprises (SME). There are presented the methods for estimating the rating (standard, basic inter and advanced rating). It is also presented the experience of some countries like Italy, Germany,...

Persistent link: https://www.econbiz.de/10005087821

Interest Rate Risk Management using Duration Gap Methodology

Armeanu, Dan; Balu, Florentina-Olivia; Obreja, Carmen - In: Theoretical and Applied Economics 1(518) (2008) 1(518), pp. 3-10

The world for financial institutions has changed during the last 20 years, and become riskier and more competitive-driven. After the deregulation of the financial market, banks had to take on extensive risk in order to earn sufficient returns. Interest rate volatility has increased dramatically...

Persistent link: https://www.econbiz.de/10005022220

ROLE AND IMPORTANCE OF THE BANKING SYSTEM IN ECONOMY

Apetri, Anişoara Niculina - In: Theoretical and Applied Economics 6(511)(supplement)(vol2) (2007) 6(511)(supplement)(vol2), pp. 293-296

As the society evolved, banks also developed from the emission bank to that of transfer, deposits, commercial bank and … even to electronic bank. In many states, the evolution of banks, and of the banking system, in general, has came before the …

Persistent link: https://www.econbiz.de/10008751605

VaR Methodology Application for Banking Currency Portfolios

Armeanu, Daniel; Balu, Florentina-Olivia - In: Theoretical and Applied Economics 2(507) (2007) 2(507), pp. 83-92

Supervision at the Bank for International Settlements imposes to financial institutions such as banks and investment firms to meet … of National Bank of Romania regarding VaR report. …

Persistent link: https://www.econbiz.de/10005099695

BANKS INTEREST RATE MARGINS AND FINANCIAL DEREGULATION IN MAURITIUS

Jankee, Kheswar - In: Theoretical and Applied Economics 3(580)(supplement) (2013) 3(580)(supplement), pp. 563-574

The objective of developing Mauritius as a regional financial center indicated the rationale for deeper financial reforms. Therefore, the paper aims to investigate the commercial banks interest rate margins in the case of Mauritius starting with the review of the literature. Also, looking at the...

Persistent link: https://www.econbiz.de/10010735058