The crisis has shown that a drop in liquidity, as well as the shortened maturity of interbank transactions, has caused many problems for banks. We analyze how the introduction of a bank levy on bank assets in Poland has affected the interbank market, as well as money market pricing. Analyzing...

Markov Chain Monte Carlo is repeatedly used to analyze the properties of intractable distributions in a convenient way. In this paper we derive conditions for geometric ergodicity of a general class of nonparametric stochastic volatility models with skewness driven by the hidden Markov Chain...

The article presents measures of convergence that can be implied from the prices of instruments quoted on the financial market. Investors pricing off-balance instruments on the derivatives market reveal their sentiment and level of confidence related to the stability and development of the local...