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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

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

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

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...

Persistent link: https://www.econbiz.de/10010009077

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

Financial failure prediction using financial ratios : an empirical application on Istanbul Stock Exchange

Zeytınoglu, Emin; Akarım, Yasemin Deniz - In: Journal of applied finance & banking 3 (2013) 3, pp. 107-116

Risk of financial failure is defined as the inability of a firm to pay its current liabilities. Financial failure may lead firms to bankrupt or go into liquidation. This paper aims to develop reliable model to identify the financial failure risk of the firms listed on Istanbul Stock Exchange...

Persistent link: https://www.econbiz.de/10010148089

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

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

Default forecasting considering correlation between business and credit cycles

Kanno, Masayasu - In: Journal of applied finance & banking 2 (2012) 5, pp. 275-305

’ idiosyncratic risks and based on their financial indexes. Hence, an influence on corporates’ credit risks by business variation is …

Persistent link: https://www.econbiz.de/10010058683

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