This research aims at performing an econometric analysis on the credit cycle and business cycle from a comparative perspective, with a focus on ten developing and advanced economies from the area of Central, Eastern and South-Eastern Europe, in order to better understand their behaviour and the...

Lending is associated with credit risk. Modelling the loss stochastically, the cost of credit risk is the expected loss. In credit business the probability that the debtor will default in payments within one year, often is the only reliable quantitative parameter. Modelling the time to default...

The issue of performance measurement in the hedge fund industry has led to literature that is both abundant and controversial. The explanation for this complexity lies in the particular features of alternative funds. Hedge funds invest in a heterogeneous range of financial assets and cover a...

Since 2001, the Risk Management Group of the Basel Committee has been performing specific surveys of banks' operational loss data. The second loss data collection was launched in the summer of 2002: The 89 banks participating in the exercise provided the Group with more than 47,000 observations,...

This paper, which is being written to provide an overview of the multitude of publications we have seen on hedge fund performance, is the result of a reading and analysis of about 200 studies on this subject. About 50 publications in the most famous journals and working papers written by...