This paper investigates the impact of macroeconomic news on the dynamics of interest rates and stock returns during "low" and "high" volatility periods. These periods are determined by estimating asset dynamics using a SWARCH process. Our results suggest that securities volatility is higher...

We analyze the reaction of the spread between the overnight rate and the target rate to Central Banks' instruments during normal time and the Subprime crisis. By using US, UK and Euro area data, we estimate the dynamic of these spread with an asymmetric EGARCH model. Our results reveal that most...

This paper investigates the impact of the Turkish post-2001 stabilization reforms on the conditional correlation between the Turkish stock index (ISE 100) and the four major stock indices (S&P 500, FTSE 100, DAX 30, NIKKEI 225). We evaluate these correlations for the period ranging from January...

Increase of credit derivative transaction volumes and credit related exposures in trading books, contingent effect of the recent financial crisis along with insufficient measure of so called Value At Risk calculations raised new methodologies for credit risk models as well as input parameters...

In order to preserve their solvency, it is very important for insurance companies to accurately estimate their future required reserves. The aim of this article is to determine reserves by using different stochastic models: 1) distribution-free model (Mack's model), 2) probability distribution...