Credit risk in financial institutions has been widely debated among experts and legislators as a substantial risk to the financial industry's health. In addition to examining bank-specific and macroeconomic reasons, the study examines the impacts of political institutions and macroprudential...

The capital structure of a company consists of a particular combination of debt and equity issues to relieve potential pressures on its long-term financing. To examine such issues, many theories have been developed in the literature and they generally focus upon what determinants are likely to...

The aim of this paper is to investigate the relationship between the corporate social responsibility concept and the most important characteristics of the banking – efficiency and stability in a sample of twelve Ukrainian banks, which are the biggest one in Ukraine according the National bank...

The aim of this discussion material will be to examine the effects of fiscal developments on economic activity and on the market condition over time. The study employs a threshold vector autoregressive approach for 10 Developing and Emerging Market economies in the Central Eastern and South...

What determines the risk structure of financial portfolios of German households? In this paper we estimate the determinants of the share of financial wealth invested in three broad risk classes. We employ a new econometric approach - the so called fractional multinomial logit model - which...

Capital flow volatility is a concern for macroeconomic and financial stability. Nonetheless, literature is scarce in this topic. Our paper sheds light on this issue in two dimensions. First, using quarterly data for 33 emerging markets and developing economies over the period 1970Q1-2016Q4, we...

This paper explores the contagious propagation of jumps among international stock market indices by exploiting a rich panel of stock and options data. We propose a multivariate option pricing model designed to allow for, but not superimpose, time and space amplification of jumps in option...

There are diverging results in the literature on whether engaging in ESG related activities increases or decreases the financial and systemic risks of firms. In this study, we explore whether maintaining higher ESG ratings reduces the systemic risks of firms in a stock market context. For this...

We build on Fackler and King (1990) and propose a general calibration model for implied risk neutral densities. Our model allows for the joint calibration of a set of densities at different maturities and dates. The model is a Bayesian dynamic beta Markov random field which allows for possible...

The aim of this paper is to investigate the relationship between the corporate social responsibility concept and the most important characteristics of the banking – efficiency and stability in a sample of twelve Ukrainian banks, which are the biggest one in Ukraine according the National bank...