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Global financial crisis and VaR performance in emerging markets: A case of EU candidate states - Turkey and Croatia

Zikovic, Sasa; Aktan, Bora - In: Zbornik radova Ekonomskog fakulteta u … 27 (2009) 1, pp. 149-170

We investigate the relative performance of a wide array of Value at Risk (VaR) models with the daily returns of Turkish (XU100) and Croatian (CROBEX) stock index prior to and during the ongoing financial crisis. In addition to widely used VaR models, we also study the behaviour of conditional...

Persistent link: https://www.econbiz.de/10010904516

Measuring and modelling risk

Allen, David E. - In: Global Business and Economics Review 11 (2009) 3/4, pp. 199-224

This paper will examine some commonly adopted approaches to the measurement of risk in finance and the various shortcomings implicit in the underpinnings of these approaches: early views on the nature of risk and uncertainty (Hume, Bernoulli, Knight, Keynes and Ramsey); the adoption of a mean...

Persistent link: https://www.econbiz.de/10010669053

Simultaneity and Asymmetry of Returns and Volatilities in the Emerging Baltic State Stock Exchanges

Brännäs, Kurt; G De Gooijer, Jan; Lönnbark, Carl; … - Institutionen för Nationalekonomi, Umeå Universitet - 2007

The paper suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in returns and in volatilities, as well as asymmetric effects arising from shocks and an outside stock exchange. Using daily data 2000-2006 for the Baltic state stock exchanges and...

Persistent link: https://www.econbiz.de/10005198022

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Economie des risques : les limites de la mathématisation

Bouleau, Nicolas - HAL - 2011

La crise financière 2007-2008 a suscité une profusion de réactions et d'explications : on a évoqué le mimétisme des organismes, la cupidité de leurs dirigeants, la propension des traders à aimer le jeu. Elle est évidemment due à la conjonction de plusieurs facteurs. Nous mettons ici...

Persistent link: https://www.econbiz.de/10010820584

An Evaluation of Bank VaR Measures for Market Risk During and Before the Financial Crisis

O'Brien, James M.; Szerszen, Pawel J. - Federal Reserve Board (Board of Governors of the … - 2014

the banks' trading revenues and help to explain the bank VaR performance results. While highly conservative in the pre …-crisis period, bank VaR exceedances were excessive and clustered in the crisis period. All benchmark VaRs were more accurate in the …-period market conditions. Despite their weaker performance, the bank VaRs exhibited greater predictive power for a measure of …

Persistent link: https://www.econbiz.de/10010784145

Is Access to Credit a Constraint for Latin American Enterprises? An Empirical Analysis with Firm-Level Data

Presbitero, Andrea Filippo; Rabellotti, Roberta - Money and Finance Research group (Mo.Fi.R.) - 2014

and led to bank restructuring and consolidation. This paper looks at firm access to credit in the region, focusing on the … role of credit market structure. Using firm-level data from theWorld Bank Enterprise Survey, we find that access to bank … likely to be financially constrained. We also find that a high degree of bank penetration and competition are significantly …

Persistent link: https://www.econbiz.de/10010943309

Is the Bank Merger Wave of the 1990s Efficient?

Calomiris, Charles W.; Karceski, Jason - American Enterprise Institute

This book discusses banking, insurance, and securities regulation, as well as issues in consumer finance and electronic commerce.

Persistent link: https://www.econbiz.de/10010949248

The Collapse of a European Bank in the Financial Crisis: An Analysis from Stakeholder and Ethical Perspectives

Fassin, Yves; Gosselin, Derrick - In: Journal of Business Ethics 102 (2011) 2, pp. 169-191

Persistent link: https://www.econbiz.de/10009327663

Issues in Private-Sector Finance in Israel

Hemmings, Philip - Economics Department, Organisation de Coopération et … - 2011

The 2008-09 global financial crisis did not result in the failure of any major financial institution in Israel, but it did reveal vulnerabilities in the non-banking sector . particularly in the corporate-bond market. Conservative regulation of the banking sector helped this segment avoid a...

Persistent link: https://www.econbiz.de/10009386332

Financial crisis and executive remuneration in banking industry - an analysis of five British banks

Chen, Jean Jinghan; Zhang, Haitao; Xiao, Xinrong; Li, Weian - In: Applied Financial Economics 21 (2011) 23, pp. 1779-1791

The recent financial crisis has accelerated the debate of executive remuneration. Theoretically, there are divergences between the design of executive remuneration suggested by agency theory and reality. In this study, we contribute to this debate by re-visiting the theories underlying the...

Persistent link: https://www.econbiz.de/10009278684