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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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On the systemic relevance of the insurance industry : is a macroprudential insurance regulation necessary?
Bach, Wolfgang; Nguyen, Tristan - In: Journal of applied finance & banking 2 (2012) 1, pp. 127-149
The paper examines whether there is an economic justification for a macroprudential approach to insurance regulation … characterisation of a macroprudential approach to financial regulation as well as an explanation of the functions the insurance … prevailing opinion, the paper finds that the insurance industry is of systemic relevance, at least in terms of the efficient …
Persistent link: https://www.econbiz.de/10010009108
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Financial markets, bloated governments and the misallocation of capital
Savvides, Savvakis C. - In: Journal of finance and investment analysis 1 (2012) 2, pp. 201-219
Through this paper the author discusses the phenomenon of excessive Government borrowing and the factors that lead Governments to be so dependent on financial markets. It is argued that the combined effect of unregulated financial intermediaries, hedge funds and Credit Rating Agencies in...
Persistent link: https://www.econbiz.de/10010079549
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Is bankruptcy costly? : recent evidence on the magnitude and determinants of indirect bankruptcy costs
Singh, Bhabra Gurmeet; Yao, Yuan - In: Journal of applied finance & banking 1 (2011) 2, pp. 39-68
In this study we estimate indirect bankruptcy costs for a recent sample of large corporate bankruptcies in the United … States over the period, 1997 to 2004. We find indirect bankruptcy costs of approximately 2%, 6.2% and 14.9% of firm value in … years -3, -2 and -1 relative to the year of bankruptcy announcement respectively. Together with the direct costs reported in …
Persistent link: https://www.econbiz.de/10010009077
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Implementation of the stress test methods in the retail portfolio
Siarka, Pawel - In: Journal of applied finance & banking 2 (2012) 6, pp. 15-29
Article refers to the issue of credit risk management in commercial banks. Particular attention is paid to the problem of stress testing. In addition, methods are presented that allow prediction of the losses of the portfolio in the context of extreme events relating to the crises of financial...
Persistent link: https://www.econbiz.de/10010118427
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The rebuilding of the Cyprus economy
Savvides, Savvakis C. - In: Journal of finance and investment analysis 2 (2013) 2, pp. 107-123
Following the extra ordinary decision to bail in the unsecured depositors and restructure the two main banks and the near complete destruction of the country’s economic business model as an International Financial Centre, the author considers the changes necessary to rebuild the economy of...
Persistent link: https://www.econbiz.de/10010148292
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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’ idiosyncratic risks and based on their financial indexes. Hence, an influence on corporates’ credit risks by business variation is not considered in her system. We model the effect...
Persistent link: https://www.econbiz.de/10010058683
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Factoring perspective : Croatia vs European Union
Baresa, Suzana; Bogdan, Sinisa; Ivanovic, Zoran - In: UTMS journal of economics / University of Tourism and … 3 (2012) 2, pp. 141-166
This paper points out the problems of liquidity, disposal and obtaining funds, inability to collect receivables, delayed payments in times of economic and financial instability and dynamic business upheavals and uncertainty. As a contribution to resolve these issues new alternative methods of...
Persistent link: https://www.econbiz.de/10010058714
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Insurance and the corporate cost of capital
Wieczorek-Kosmala, Monika - In: E-Finanse : finansowy kwartalnik internetowy 8 (2012) 1, pp. 61-71
The purpose of the paper is to provide some support to the thesis that insurance may reduce the cost of capital in a … insurance as a retrospective (post-loss) risk financing tool and the risk transfer mechanism upon it. As the risk financing tool … insurance reduces the need for the balance-sheet capital in a company and thus the financial distress costs. Also, insurance may …
Persistent link: https://www.econbiz.de/10010009381
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EU single financial market : porspects of changes
Mikita, Malgorzata - In: E-Finanse : finansowy kwartalnik internetowy 8 (2012) 1, pp. 53-60
The purpose of the paper is to provide some support to the thesis that insurance may reduce the cost of capital in a … insurance as a retrospective (post-loss) risk financing tool and the risk transfer mechanism upon it. As the risk financing tool … insurance reduces the need for the balance-sheet capital in a company and thus the financial distress costs. Also, insurance may …
Persistent link: https://www.econbiz.de/10010009382