Purpose – The purpose of this research is to undertake an examination of the impacts of socio-demographic and economic variables on the probability of purchasing financial products. There is relatively little empirical research that has been taken to understand how the underlying economy...

Recently there have been a number of differing findings in the empirical evidence on fund performance. In this paper we suggest this difference could be explained by the treatment of the regression assumptions. The crucial question in this paper for investors is whether the presence of...

This paper studies the estimation of a semi-strong GARCH(1,1) model when it does not have a stationary solution, where semi-strong means that we do not require the errors to be independent over time. We establish necessary and sufficient conditions for a semi-strong GARCH(1,1) process to have a...

For autoregressive moving average (ARMA) models with infinite variance innovations, quasi-likelihood-based estimators (such as Whittle estimators) suffer from complex asymptotic distributions depending on unknown tail indices. This makes statistical inference for such models difficult. In...

Contents * A: Historical development of credit and behavioural scoring * R W Johnson: Legal, social and economic issues in implementing scoring in the US * R Eisenbeis: Problems in applying discriminant analysis in credit scoring models * M A Hopper and E M Lewis: Behaviour scoring and adaptive...

Country risk assessment is central to the international investment, which recently has increasingly focused on emerging markets (EM). In this paper we proxy for country risk in EM by using time-varying beta. We extend existing literature by applying a dynamic conditional correlation GARCH model....

Stress-testing has become an important topic in retail lending since the introduction of the new Basel II guidelines. Here we use a scenario-based forecasting approach developed explicitly for retail lending in order to provide a suitable stress-testing approach. We first decompose the...

OBJECTIVES: To determine whether repetitive functional task practice (RFTP) after stroke improves limb-specific or global function or activities of daily living and whether treatment effects are dependent on the amount of practice, or the type or timing of the intervention. Also to provide...

Applicants for credit have to provide information for the risk assessment process. In the current conditions of a saturated consumer lending market, and hence falling “take” rates, can such information be used to assess the probability of a customer accepting the offer?With the advent of...

This article reviews some of the applications of mathematical programming infinance. Of course mathematical programming has long been recognised as a vitalmodelling approach to solve optimization problems in finance. Markowitz’s NobelPrize winning work on portfolio optimization showed how...