The work is dedicated to VaR models, estimated on the equities quotes of the six European countries. The time series cover three economic periods — pre crisis, crisis and post crisis, where the crisis period is the financial crunch of the 2008 year. The volatility estimation is based on the...

The debt crisis in Greece and the resulting haircut on sovereign bonds (known as PSI) adversely affected bank capital and resulted in state funds being required to recapitalize the banks. During that process, several questions arose about the meaning of capital adequacy in banks. This paper...

The abolition of the milk quota regime in April 2015 will provide the opportunity for many profitable Irish dairy farms to increase their production levels. Market risk will influence the decision-making process at the farm level. Dairy farmers have acquired more recent experience of market risk...

This study examines the day-of-the-week effect in 18 Post-Communist East European stock markets: Bosnia, Bulgaria, Croatia, Czech Republic, Estonia, Former Yugoslav Republic of Macedonia, Hungary, Kazakhstan, Latvia, Lithuania, Montenegro, Poland, Romania, Russia, Serbia, Slovakia, Slovenia and...

Purpose – This study aims to survey supervisory requirements and expectations for counterparty credit risk (CCR). Design/methodology/approach - In this paper, a survey of CCR including the following elements has been performed. First, various concepts in CCR measurement and management,...

With a sample of twelve US bond indices spanning different maturities, credit ratings and industry sectors, we investigate the impact of new bank capital regulation for trading portfolios introduced by Basel III. Specifically, we estimate the new capital requirements for (a) liquidity risk and...

Thinly traded securities exist in both emerging and well developed markets. However, plausible estimations of market risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a methodology to calculate market risk measures based on the...

Market risk management is one of the key factors to success in managing financial institutions. Underestimated risk can have desastrous consequences for individual companies and even whole economies, not least as could be seen during the recent crises. Overestimated risk, on the other side, may...

This paper uses four asymmetric generalized autoregressive conditional heteroskedasticity (GARCH) models, which are GJR-GARCH, NA-GARCH, Threshold GARCH (T-GARCH), and AV-GARCH to compare their performance on value-at-risk (VaR) forecasting to the symmetric GARCH model. In addition, we adopt...

This paper proposes an approach to predict states (states of tranquillity and turbulence) for a financial instrument in a one-day horizon. The prediction is made using 3 different models for a binary variable (LOGIT, PROBIT, CLOGLOG), 4 definitions of a dependent variable (1%, 5%, 10%, 20% of...