The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR) thresholds, which are used to calculate the required capital that banks must hold in reserve as a protection against negative changes in the value of their trading portfolios. As...

This paper examines volatility and correlation dynamics in price returns of gold, silver, platinum and palladium, and explores the corresponding risk management implications for market risk and hedging. Value-at-Risk (VaR) is used to analyze the downside market risk associated with investments...

Project risk management, as a subjective and dynamic decision method of avoiding project risk, plays an important role in selecting appropriate control measures (i.e. measure set) to handle multiple emerging risks (i.e. risk set). This paper focuses on the multi-risk control problem under the...

Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying measure of risk aversion that is based on the observed risk...

Production and processing of genetically modified organisms (GMO) in line with the European food safety and labelling regulations lead to an elevated risk of unintentional GMO contamination in food producing and processing companies. For these companies GMO contamination can lead to extensive...

Increasing of population in some part of the world demands appropriate quantity and quality of food supply. It leads agri-food production to changes having many of the characteristics of manufacturing industries. So, together with the advantages we have to manage also different deficiencies. The...

The EU agricultural policy has recently been characterized by radical changes that increase market volatilities. Especially in the dairy market, fluctuating prices as well as production and political risks lead to high uncertainty for farmers. Based on a comprehensive survey, this paper...

The implementation of Basel II supposes a series of important challenges both for the credit institutions – the adjustment of the risk management and of the information system, the training of the personnel, the obtainment of the data bases. In this context, expected changes will undoubtedly...

The Basel II implementation supposes a series of important challenges both for the credit institutions – the adjusting of the risk management and of the data processing system, the training of the personnel, the obtaining of the data bases etc. – and also for the National Bank of Romania –...

During the implementation of the monetary policy, the National Bank of Romania took great care for the activity of giving loans. Analyzing USA crisis, IMF pointed out the importance of regulations for this sector, which practically don’t exist in some cases, especially in the case of...