Extreme asset price movements appear to be more pronounced recently and havemajor consequences for an economy’s financial stability and monetary policies.This paper investigates the extreme behaviour of equity market returns andquantifies the probabilities of these losses. Taking fourteen...

This paper seeks to characterize the distribution of extreme returns for US, UK and Japanese equity indices over the years 1963–2000. In particular, the suitability of the following distributions is investigated: Normal, Frechet, Gumbel, Weibull, Generalized Extreme Value (GEV), Generalized...

This paper seeks to characterise the distribution of extreme returns for a UK share index over the years 1975 to 2000. In particular, the suitability of the following distributions is investigated: Gumbel, Frechet, Weibull, Generalised Extreme Value, Generalised Pareto, Log-Normal and...

Since the start of the financial crisis, various forms of securitization have been criticized for causing the problems experienced. The amount of Asset Backed Commercial Paper outstanding fell drastically in the middle of 2007 drawing our attention to this market. Our study focuses on the use of...

The availability of a unique data set of financially distressed firms enabled this study to apply the dynamic capital structure adjustment model to a study of capital structure. In addition, the factors driving capital structure adjustment of financially distressed and of healthy firms were...

Emergence of crisis in financial markets, especially banks, have forced a change in approach to riskmanagement. It has become necessary to develop new or refine existing models of early bankruptcythreat warning, as well as establishing the potential impact of bank failures. One of the tools,...

This paper builds a general test of contagion in financial markets based on bivariate correlation analysis – a test that can be interpreted as an extension of the normal correlation theorem. Contagion is defined as a structural break in the data generating process of rates of return. Using a...

The paper measures the U.S. Farm Credit System’s technical efficiency from 2000 to 2009 using a stochastic frontier production function model with quarterly unbalanced panel data. The paper's results suggest that the FCS has not efficiently utilized their inputs. On an average, the system...

Kutatásunk eredményeként megállapítottuk, hogy a mezőgazdasági finanszírozás fontosabb csatornái a közvetlen banki finanszírozás és a közvetett banki finanszírozás. Ez utóbbinál a bank nem közvetlenül a termelőt, hanem egy köztes szervezetet, leggyakoribb esetben...

The role played by monetary policy in creating the conditions that culminated in the current crisis and the failure of the Fed’s efforts to end the credit freeze in 2008 are critical components of the analysis needed as a backdrop for reform. This paper argues that the link between excess...