Rank-ordering of individuals or objects on multiple criteria has many important practical applications. A reasonably representative composite rank ordering of multi-attribute objects/individuals or multi-dimensional points is often obtained by the Principal Component Analysis, although much...

Many empirical studies have analyzed the interations between the stock market and aggregate economic activity by examining either their short run or long run relationships, as the time series methodologies employed (cointegration analysis) may separate out just two time scales in economic time...

Starting from the idea that the use of multi-criteria analysis of performance within the hospital system allows a more accurate validation of employment, compared to the current methodology and seeking correlations between scores practiced economic efficiency and technical competence for all...

We study the behavior and interaction of systematic and idiosyncratic components of risk in a cross-section of U.K. stocks. We find no clear evidence of a trend in any component of total risk, but we document different “regimes” in the behavior of each component of total risk, in their...

<em style="mso-bidi-font-style: normal;"><span lang="EN-US"><span style="font-family: Times New Roman; font-size: small;">The paper proposes a two systematic factor model to capture a retail portfolio probability of default (PD) and loss given default (LGD) parameters, in particular their mutual correlation. We argue that the standard one factor models standing behind the Basel II formula and used by a number of...</span></span></em>

Over the past decade value at risk (VaR) has become the most widely used technique for the quantification of market-risk exposure. VaR is a measure of the potential loss that may occur from adverse moves in market prices (interest rates, exchange rates, equity prices and so forth). The capacity...

To date, an operational measure of systemic risk capturing non-linear tail comovement between system-wide and individual bank returns has not yet been developed. This paper proposes an extension of the so-called CoVaR measure that captures the asymmetric response of the banking system to...

The degree of an economy’s monetization, which has an important implication on economic growth, can be affected by the conduct of monetary policy, financial sector reform, and episodes of financial crises. The paper finds that monetization--measured by the ratio of broad money to nominal...

This paper analyzes the linkages between governance quality and country stress events. It focuses on two types of events: fiscal and political stress events, for which two innovative stress indicators are introduced. The results suggest that weaker governance quality is associated with a higher...

A key element in the build-up to the global recession and subsequently was the movement in house price indexes (HPIs). These indexes are particularly prone to methodological and coverage differences which can undermine both within-country and cross-country economic analysis. The paper outlines...