The objective of this paper is to provide a practical tool for stock price evaluation and forecasting under Extreme Value Theory (EVT). Three existing models are reviewed; these models include: Mordern Portfolio Theory, Black-Scholes, and Jarrow-Rudd models. It was found that these models may not...

This article proposes a method for measuring the latent risks involved in the recovery process of non-performing loans in financial institutions and/or business firms that deal with collection and recovery processes. To that end, we apply the competing risks model referred to in the literature...

The issue presented in this research is whether mobile phone may be considered e-learning technology for students in Thailand. The objective of the research is to provide a practical tool for academics, researchers, and policymakers in evaluating the linkage between e-learning and mobile phone....

The aim of the research presented in the article was to analyse the legitimacy of the use of scoring models in banking activities, together with the assessment of the effectiveness of this tool in reducing the high value of the NPL ratio in Polish cooperative banks on the example of banks...

The recent financial crisis has accentuated the fact that extreme outcomes have been overlooked and not dealt with adequately. While extreme value theories have existed for a long time, the multivariate variant is difficult to handle in the financial markets due to the prevalent...

In this paper, we establish a comparison between one of the most traded financial derivatives in the markets, the so-called catastrophe bonds (abbreviated as cat bonds) and the corporate bonds. In the first section, we start from a brief definition as well as some basic concepts. In section two,...

This paper presents a credit migration model that aims to consistently capture the point-in-time dynamics of the credit worthiness of debt issuers and their obligations, and a calibration routine that permits the model to effectively fit historical ratings data. Our approach is to view the...

The problem of credit risk management at commercial banks is solved using the stochastic dominance criteria supplementing them with the voting theory elements. The developed stochastic dominance algorithm is based on an investment approach whose basic concept consists in management of both...