This paper investigates one main of credit derivatives instruments, known as credit default swaps. CDS is very popular instruments in the credit market which is trading by governments, firms, investors. Credit default swaps, is contracted between two parties for a one party payment small amount...

In view of the failure of high profile companies like Circuit City and Linens n Things, Financial distress or bankruptcy prediction has generated much interest recently. This research develops and tests a model for the prediction of bankruptcy of retail firms. We use accounting variables such as...

Traditional portfolio optimization approaches suffer from the drawback of often leading to highly concentrated portfolios. We propose a new kind of optimization focusing on a homogeneous distribution of risk among the portfolio constituents. We describe the underlying ideas of the approach and...

A Country's transition from centralised economy to market economy is characterized by the change in the dynamics of the GDP value and structure. The most frequent questions that emerge when such transitions are desired are: How long does transition last? How must it be made? What risks does...

A State's GDP represents the aggregated image of economic outcomes. Both the GDP dimension and its structure constitute important information with respect to the degree of economic development of a State. A State's GDP is a system characterised by increased inertia. For this reason, transition...

Understanding both the dynamics of volatility as well as the shape of the distribution of returns conditional on the volatility state are important for many financial applications. A simple single-factor SV model appears to be sufficient to capture most of the dynamics; it is the shape of the...

In this paper the author presents a comparative study between two methods of Analysis and Forecast of EU-15 Exports from 1996 to 2005: one of the methods is applied for the Analysis and Forecast of the Components' Evolution in an Aggregate Economic Phenomenon using their Weights while the other...

It often arises in practice that, although the first few moments of a distribution are known, the density of the distribution cannot be determined in closed form. In such cases, Gram-Charlier and Edgeworth series are commonly used to analytically approximate the unknown density in terms of the...

Single-company event studies are commonly employed in applied practice, such as in analyzing market efficiency, reliance, and damages in securities litigation. However, the presence of significant company-specific events among the observations used to estimate the market model results in...

This article includes a description of the ARCH, GARCH, and EGARCH models and the estimation of their parameters using maximum likelihood. An alternative model is proposed for the analysis of financial series and used to study price and returns series for Gillette stock. The choice of models...