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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

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

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

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

The fading stock market response to announcements of bank bailouts

Fratianni, Michele; Marchionne, Francesco - Money and Finance Research group (Mo.Fi.R.) - 2013

We analyze the effects on bank valuation of government policies aimed at shoring up banks' financial conditions during …/or guaranteed bank assets and liabilities. We employ event study methodology to estimate the impact of government …-intervention announcements on bank valuation. Using traditional approaches, announcements directed at the banking system as a whole were …

Persistent link: https://www.econbiz.de/10010610095

The German banking system and the global financial crisis: causes, developments and policy responses

Bleuel, Hans-H. - Duesseldorf University of Applied Sciences - 2009

Germany’s banking sector has been severely hit by the global financial crisis. In a German context as of February, 2009, this paper reviews briefly the structure of the banking industry, quantifies effects of the crisis on banks and surveys responses of economic policy. It is argued that...

Persistent link: https://www.econbiz.de/10004991354

Modern methods for hedging the market risk

Laurentiu, MIHAILESCU; Gabriela, POPA - In: Economia. Seria Management 12 (2009) 2 Special, pp. 40-45

The 2008 financial crisis is affecting millions of companies (from small ones up to big corporations) and is one of the hottest topics in all TV deadlines and step by step it starts to be part of our daily reality. The daily reality can be called as “Market instability”: The recent market...

Persistent link: https://www.econbiz.de/10004966416

Enhancing Financial Stability Through Better Regulation in Hungary

Molnár, Margit - Economics Department, Organisation de Coopération et … - 2010

The global crisis exposed weaknesses in the Hungarian financial system that pose risks to financial stability. Excessive risk-taking by banks and households had been masked by relatively stable exchange rates, the expected early adoption of the euro and unusually lax credit conditions in...

Persistent link: https://www.econbiz.de/10008552864