The purpose of this paper is to examine the behavior of copper spot prices in London Metal Exchange. Besides, we examine the relation between hedging effectiveness and the maturity of the contract. This research provides an empirical comparison of different econometric techniques in the context...

The aim of this paper is to develop a methodology to estimate the interest rates yield curve and its dynamics in the Tunisian bond market, which is considered as an illiquid market with a low trading volume. To achieve this, first, we apply the cubic spline interpolation method to deal with the...

This paper presents the application of a goal programming (GP) model to develop an asset liability management (ALM) strategy from a balance sheet of a Tunisian commercial bank. The model determines the optimal structure of the balance sheet for the year 2007. To reach our objective, we have...

The aim of this paper is to study the impact of Stock returns volatility of reference entities on credit default swap rates using a new dataset from the Japanese market. The majority of empirical research suggests the inadequacy of multinormal distribution and then the failure of methods based...

The aim of this paper is to explain empirically the determinants of credit default swap rates using a linear regression. We document that the majority of variables, detected from the credit risk pricing theories, explain more than 60% of the total level of credit default swap. These theoretical...

This paper is based on the study of Hilscher and Raviv (2014) and Tan and Yang (2015) to investigate the effects of contingent capital, a debt instrument that automatically converts into equity if the value of the asset is below a predetermined threshold on the pricing process of a bank assets'....

The aim of this paper is twofold. It is first to evaluate the comparative performance of ten MENA (Middle East and North Africa) countries according to GDP growth and stock market return indicators using the non-parametric stochastic dominance approach. We will then use a multivariate vector...

The purpose of this paper is to study the portfolio choice problem in the presence of a mixture of barriers to international investment from the view point of G-7 investors. We suggest a methodology based on a combination of the Analytic Hierarchy Process (AHP) and the weighted goal programming...

This paper presents the application of a Goal Programming (GP) model to develop an Asset Liability Management (ALM) strategy from a balance sheet of a Tunisian commercial bank. The model determines the optimal structure of the balance sheet for the year 2007. To reach the objective, the paper...

The objective of this paper is to investigate the behavior of the time varying volatility in eleven MENA countries' stock market using a three-state Markov regime-switching model over the period from October 30, 2006 to October 21, 2011. We find that MENA stock market volatility can be...