Basel II Recommendations concerning internal rating based models approach for financial institutions and the success of RiskMetrics made Value-at-Risk (VaR) is the most important risk measurement instrument at international level. The objective of this paper is to address the problem of adapting...

In this article we discuss one of the modern risk measuring techniques Value-at-Risk (VaR). Currently central banks in major money centers, under the auspices of the BIS Basle Committee, adopt the VaR system to evaluate the market risk of their supervised banks. Banks regulators ask all...

În cuprinsul prezentei lucrări sunt examinate valenţele indicatorului “coeficientul de determinare standardizat”, propus de autor, pentru cuantificarea eficienţei utilizării variabilelor explicative şi a ierarhizării condiţiilor care trebuie îndeplinite în cazul unor teste...

This paper estimates using econometric techniques the equilibrium exchange rate in Romania based on fundamentals. The cointegration technique lead to the conclusion that an increase in relative prices differential between Romania and Euro zone and an increase in net foreign assets of the banking...

The study has as its objectives, to determine the influence of price volatility and price expectation in the rate of inflation as a measure of the price level. In addition, the study sought to evaluate ipso facto the extent to which monetary policy has influenced inflation by reducing price...

This paper studies the particularities of portfolio selection on the Romanian stock market using the risk-return maximization criteria introduced by Harry Markowitz (1952). We used daily prices for the 36 most liquid companies traded on Bucharest Stock Exchange during January 2010 – March 2012...

Making a credit decision is limited to a reasoned agreement or refusal. The key words in making the credit analysis are "customer knowledge". The substantiation of the credit decision refers to both a quantitative analysis and a qualitative analysis of a company in order to identify the key...