This paper presents a hybrid model for predicting the occurrence of currency crises by using the artificial intelligence tools. The model combines the learning ability of the artificial neural network (ANN) with the inference mechanism of the empirical mode decomposition (EMD) technique. Thus,...

Exposure at Default (EAD) quantification for the large exposures to contingent credit lines (CCLs) is a critical for models of credit risk amongst financial institutions. This includes expected loss calculations for loan provisions, economic credit capital as well as regulatory capital under the...

In this paper, we investigate what has been leading investors to ask for higher yields on sovereign debt from certain Euro countries. We dismiss Granger Causality as a basis to define speculation. Instead, we assume that speculative behavior would only exist if market assessments were unrelated...

This document presents several Credit Risk tools which have been developed for the Credit Derivatives Risk Management. The models used in this context are suitable for the pricing, sensitivity/scenario analysis and the derivation of risk measures for plain vanilla credit default swaps (CDS),...

The aim of this paper is to propose a methodology to stabilize the financial markets using Game Theory and in particular the Complete Study of a Differentiable Game, introduced in the literature by David Carfi. Specifically, we will focus on two economic operators: a real economic subject and a...

The stock index is the basis for the existence of index instruments, such as ETFs and index funds. Therefore, every event in the index is a significant event which has many implications in the investment world. An important event is the index update which occurs every six months. The update of...

This paper analyzes commodity investment trusts and commodity ETFs as a method for investing in commodities, which are expected to be an important tool for individual investors to participate in commodity investments. The "Financial Big Bang" reforms during the latter half of the 1990s...

Economic crisis affected economic activity in the European transition economies (ETE) with an unprecedented extent that may be compared to an initial shock ETE experienced at the beginning of the transition process in the early 1990s. Deterioration of the overall macroeconomic performance was...

This paper aims to evaluate the risk-adjusted performance of Malaysian mutual funds using the modified performance evaluation ratios by the drawdown risk measure (DRM) based on modern portfolio theory, and to represent the results in a manner which is easily understood by the average investors...