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...

Most debates on part-time employment simply compare part-time employment with the 'standard' full-time employment. However, the heterogeneity of part-timers is much bigger than that of full-time workers, and it is necessary to take this heterogeneity into account. The aim of this paper is to...

This paper considers the Bayesian analysis of threshold regression models. It shows that this analysis can be conducted with simple deterministic numerical integration in one or two dimensions. The shape of the posterior density is greatly determined by the type of threshold and of transition...

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,...

Bu çalışmanın amacı, sağlık kurumlarında finansal performansı ölçmek amacıyla kullanılan yöntemleri açıklamak ve Sağlık Bakanlığı Hastanelerini finansal performans düzeylerine göre sınıflandırmaktır. Hastanelerin sınıflandırılmasında finansal araştırmalarda...

Using a new set of measures of concentration of trade, I suggest that the opening up of trade to date has been greatly exaggerated. At least judging on the basis of trade concentration, agriculture and service sectors should barely be seen as globalised at all. Contrary to other recent studies,...

Globalization and technological innovations create investment opportunities for firms worldwide. In fact, while firms pursue foreign direct investment (FDI) opportunities on a global basis, countries compete to attract these flows. Investment decisions by firms depend on complex and distinct...

We present cross and time series analysis of price fluctuations in the U.S. Treasury fixed income market. By means of techniques borrowed from statistical physics we show that the correlation among bonds depends strongly on the maturity and bonds' price increments do not fulfill the random walk...