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Assessing the credit risk of bank loans using an extended Markov chain model
Lu, Su-lien - In: Journal of applied finance & banking 2 (2012) 1, pp. 197-223
In this paper, we adopted a continuous-time non-homogeneous mover-stayer model for the measurement of the credit risk associated with bank loans. This model is an extension of a Markov chain model. Furthermore, we extracted the time varying risk premium to convert the mover-stayer model to a...
Persistent link: https://www.econbiz.de/10010009105
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Using a multivariate Markov chain model for estimating credit risk : evidence from Taiwan
Lu, Su-lien - In: Advances in management & applied economics 2 (2012) 4, pp. 243-251
Dependence on credit ratings is an important issue for managing credit risk. This paper assesses credit risk using a multivariate Markov chain model that calculates dependence on credit ratings. We demonstrate the practical implementation of the proposed model using the rating data of 15...
Persistent link: https://www.econbiz.de/10010097661
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Essay on international financial crisis and endogenous growth theory
Molochny, Boris - In: International journal of economic sciences and applied … 2 (2009) 1, pp. 7-15
This paper reviews endogenous growth theories in the light of the modern reality. It seems that economies which are similar in technologies and preferences are expected to converge to the same level of per capita income. The question "How are repetitions of financial crisis best predicted?" is...
Persistent link: https://www.econbiz.de/10009958038
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A time-varying parameter vector autoregression model for forecasting emerging market exchange rates
Kumar, Manish - In: International journal of economic sciences and applied … 3 (2010) 2, pp. 21-39
In this study, a vector autoregression (VAR) model with time-varying parameters (TVP) to predict the daily Indian rupee …. The out-of-sample forecasting performance of the TVP-VAR model is evaluated against the simple VAR and ARIMA models, by …. Outof-sample results in terms of conventional forecast evaluation statistics and directional accuracy show TVP-VAR model …
Persistent link: https://www.econbiz.de/10009958060
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Testing for linear and nonlinear causality between crude oil price changes and stock market returns
Anoruo, Emmanuel - In: International journal of economic sciences and applied … 4 (2011) 3, pp. 75-92
the standard VAR and the M-G frameworks, respectively. The results from both the linear and nonlinear unit root tests … indicate that crude oil price changes and stock market returns are level stationary. The results from the standard VAR model …
Persistent link: https://www.econbiz.de/10009958081
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Behavioral biases in economic and financial knowledge : are they the same for men and women?
Kudryavtsev, Andrey; Cohen, Gil - In: Advances in management & applied economics 1 (2011) 1, pp. 15-52
Contemporary research documents various psychological aspects of economic thought and decision-making. The main goal of our study is to analyze the role of the hindsight bias (Fischhoff [20]) and the anchoring bias (Tversky and Kahneman [53]) in perceiving economic and financial information,...
Persistent link: https://www.econbiz.de/10009958463
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Financial innovations and their role in the modern financial system-identification and systematization of the problem
Błach, Joanna - In: E-Finanse : finansowy kwartalnik internetowy 7 (2011) 3, pp. 13-26
This paper discusses the role that financial innovations play in the modern financial system, aiming at identifying and systematizing the core problems and definitions related to this issue. The paper first describes the importance of the financial system and financial markets in the economy,...
Persistent link: https://www.econbiz.de/10009959723
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DrawDown constraints and portfolio optimization
Davidsson, Marcus - In: Journal of finance and investment analysis 1 (2012) 1, pp. 93-105
risk adjusted return portfolios. VaR for these portfolios can then be estimated directly instead of using computer …
Persistent link: https://www.econbiz.de/10010079544
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A non-parametric approach of heteroskedasticity robust estimation of Vector-Autoregressive (VAR) models
Grobys, Klaus - In: Journal of finance and investment analysis 1 (2012) 1, pp. 55-67
This contribution studies the application of heteroskedasticity robust estimation of Vector-Autoregressive (VAR) models …. VAR models have become one of the most applied models for the analysis of multivariate time series. Econometric standard … bootstrap methodology to different VAR models, taking into account empirical stock market data of the FTSE 100, DAX 30 and S …
Persistent link: https://www.econbiz.de/10010079546
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Multi-interregional economic impact analysis based on multi-interregional input output model consisting of 7 regions of Vietnam, 2000
Trinh, Bui; Kobayashi, Kiyoshi; Quang, Thai Nguyen; … - In: Journal of finance and investment analysis 1 (2012) 2, pp. 83-117
I/O models have been widely used to assess the impacts of many changes in an economy. An I/O model is also an important tool to make forecasts and the results from an I/O model are very helpful in many policy-making processes. Many scientific findings in economics have to give credit to the I/O...
Persistent link: https://www.econbiz.de/10010079553