In this paper we analyse two common measures of discriminatory power - the Accuracy Ratio and the Area Under the Receiver Operator Characteristic - in a probabilistic framework. Under the assumption of a random default event, we verify that the measures will be portfolio dependent as discovered...

The validation of credit rating systems has recently attracted particular interest both from banks and their supervisors as well as from academic research. Whereas the main interest has been focused on backtesting methods, alternative approaches such as benchmarking are of growing importance....

The aims of this paper are twofold: first, we attempt to express the threshold of a single quot;Aquot; rating as issued by major international rating agencies in terms of annualised probabilities of default. We use data from Standard amp; Poor's and Moody's publicly available rating histories to...

An analytic approximation is derived for leverage levels that result from optimization of the logarithmic utility function associated with the Kelly criterion. An extension of this approximation, for the case when returns are drawn from a Student t-distribution, is then provided for a...

This study employs the rolling bicorrelation statistic to measure the degree of stock price deviations from a random walk for the stock markets of 50 countries over the period 1995-2005. We find that stock markets in economies with low per capita GDP in general experience more persistent price...

This paper uses stochastic frontier analysis (SFA) to examine whether there is a trade-off between outreach to the poor and efficiency of microfinance institutions (MFIs). Using a sample of more than 1,300 observations, our study suggests that outreach and efficiency of MFIs are indeed...

Previous studies that aim to determine factors impacting the deposit insurer's loss arising from bank failures use standard econometric techniques that assume the losses are homogeneously driven by the same set of explanatory variables: However, deposit insurers are particularly concerned about...

The aim of this article is the study of complex structures which are behind the short-term predictability of stock returns series. In this regard, we employ a seasonal version of the Mackey-Glass-GARCH(p,q) model, initially proposed by Kyrtsou and Terraza (2003) and generalized by Kyrtsou (2005,...

The present paper extends the short-horizon return predictability literature to explore the potential determinants of weak-form market efficiency in a sample of 50 countries over the period 1995-2005. Using the proposed rolling bicorrelation test statistic, we are able to compare the extent of...

In this paper we design the neural network consumer credit scoring models for financial institutions where data usually used in previous research are not available. We use extensive primarily accounting data set on transactions and account balances of clients available in each financial...