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Default forecasting considering correlation between business and credit cycles
Kanno, Masayasu - In: Journal of applied finance & banking 2 (2012) 5, pp. 275-305
Bank’s major approach in her internal rating system is credit scoring valuation which focused on corporates …
Persistent link: https://www.econbiz.de/10010058683
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Measurement of liquidity-adjusted market risk by VaR and expected shortfall : evidence from Turkish banks
Aktas, Cihan; Cortuk, Orcan; Teker, Suat; Yildirim, … - In: Journal of applied finance & banking 2 (2012) 5, pp. 137-147
Banks’ hypothetical trading portfolios to measure their total market risk. The results of designed risk measurement process … results imply that the capital adequacy ratios of Turkish banks indicate a solid loss absorbency capacity although liquidity … shocks on the banks’ trading portfolios should be frequently analyzed on a more elaborate basis by taking market liquidity …
Persistent link: https://www.econbiz.de/10010058692
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Illiquid financial products and distribution policies : new insights
Polato, Maurizio; Floreani, Josanco - In: Journal of applied finance & banking 1 (2011) 2, pp. 155-172
Both changing investors’ behaviour and contingent events, such as financial crisis, stimulated a debate around the distribution of financial products for which an active market doesn't exist. Investing in illiquid financial instruments requires a certain degree of financial education in order...
Persistent link: https://www.econbiz.de/10010009072
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Simple, compound and continuous interest discounts : a comparative study
Parada-Daza, José Rigoberto - In: Journal of applied finance & banking 3 (2013) 1, pp. 31-43
This article makes an analytical comparison between simple, compound and continuous interest discount factors. It studies the equivalency relations between the three discount factors. An analysis is performed for a limited time period and of normal economy interest rates. It makes use of the...
Persistent link: https://www.econbiz.de/10010118436
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Measuring preferences : from conjoint analysis to integrated conjoint experiments
Ramírez-Hurtado, José Manuel - In: Revista de métodos cuantitativos para la economía y … 9 (2010), pp. 28-43
When there are many attributes, experiments with Conjoint Analysis include problems of information overload that affect the validity of such experiments. The impact of these problems can be avoided or reduced by using Hierarchical Information Integration (HII). The present work aims to...
Persistent link: https://www.econbiz.de/10009957376
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The labour supply effects of a partial cash-out of in-kind transfers to single mothers
Bingley, Paul; Walker, Ian - In: IZA Journal of Labor Economics 2 (2013), pp. 1-27
We estimate a model of labour supply and participation in multiple cash and in-kind welfare programmes. The modeling exploits a reform that affected U.K. single mothers. In-work cash entitlements increased under this reform but eligibility to in-kind child nutrition programmes was lost for some...
Persistent link: https://www.econbiz.de/10010118861
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La muestra de empresas en los modelos de predicción del fracaso: influencia en los resultados de clasificación
García-Gallego, Ana; Mures-Quintana, María-Jesús - In: Revista de métodos cuantitativos para la economía y … 15 (2013), pp. 131-150
This paper focuses on the development of both failure prediction models on a paired sample and a random sample of small and medium-sized firms with head offices located in the region of Castilla y León (Spain), in order to prove if the predictive power of the developed models is affected by the...
Persistent link: https://www.econbiz.de/10010160658
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Rankings, accreditations, and international exchange students
Marconi, Gabriele - In: IZA Journal of European Labor Studies 2 (2013), pp. 1-22
Do international university rankings or professional accreditations affect the preferences of exchange students over different institutions? This paper investigates the question by analysing the determinants of Maastricht University School of Business and Economics (SBE) students’ choices of...
Persistent link: https://www.econbiz.de/10010186098
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Medición del riesgo de renta variable mediante modelos internos en Solvencia II
Durán Sontomil, Pablo; Otero González, Luis A.; … - In: Investigaciones europeas de Dirección y Economía de … 18 (2012) 1, pp. 53-68
This work focuses on developing an internal model for equity risk under Solvency II. We have used monthly data for the series of Ibex 35, Cac 40, FTSE 100 and Dax in the period between January 1992 and December 2008. This work fits by maximum likelihood method the model of normal returns, based...
Persistent link: https://www.econbiz.de/10009958357
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The use of capital market instruments in investment of European insurance companies
Wolski, Rafał - In: E-Finanse : finansowy kwartalnik internetowy 7 (2011) 4, pp. 92-99
The financial and the insurance markets are increasingly penetrating each other, accounting for the fact that insurers are more and more often seen as major institutional investors of capital markets. The capital market offers a range of new opportunities, although it is not devoid of faults,...
Persistent link: https://www.econbiz.de/10009959726