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Seixas, Mário; Barbosa, António - 2019

Abstract In 1995, the Basel Accords introduced an alternative method to compute the market risk charge through the use … of a risk model developed internally by the financial institution. These internal models, based on the Value-at-Risk (VaR …), follow certain rules that are defined under the Basel Accords. From this moment on, risk analysts and financial academics …

Persistent link: https://www.econbiz.de/10015265997

The Cash Flow Concept in Modern Financial Analysis of Internal Sources of Companies’ Investment Financing

Bukvić, Rajko; Pavlović, Radica - 2023

In recent theories of financial analysis, a financial approach has been adopted which is based on the dynamic (modern) coefficients established from cash flows - cash flow indicators. Some of the areas of their application are capital investments, which largely depend on internal sources of...

Persistent link: https://www.econbiz.de/10015269324

Strategies on initial public offering of company equity at stock exchanges in imperfect highly volatile global capital markets with induced nonlinearities

Ledenyov, Dimitri O.; Ledenyov, Viktor O. - 2014

-determinant for the successful IPO deal completion. We propose the Ledenyov theory on the origins of the IPO underpricing and long …

Persistent link: https://www.econbiz.de/10015241131

Strategies on initial public offering of company equity at stock exchanges in imperfect highly volatile global capital markets with induced nonlinearities

Ledenyov, Dimitri O.; Ledenyov, Viktor O. - 2014

-determinant for the successful IPO deal completion. We propose the Ledenyov theory on the origins of the IPO underpricing and long …

Persistent link: https://www.econbiz.de/10015241139

To VaR, or Not to VaR, That is the Question

Olkhov, Victor - 2021

We consider economic obstacles that limit the reliability and accuracy of value-at-risk (VaR). Investors who manage …

Persistent link: https://www.econbiz.de/10015213403

Volatility Depends on Market Trades and Macro Theory

Olkhov, Victor - 2024

We consider the randomness of market trade as the origin of price and return stochasticity. We look at time series of trade values and volumes as random variables during the averaging interval Δ and describe the dependences of market-based volatilities of price and return on the volatilities...

Persistent link: https://www.econbiz.de/10015213603

Building Trust, Fueling Growth: The Cornerstone Role of Capital Market Governance in Bangladesh

Khanam, Rifat Binte; Rabeya, Jannatul Ferdous; Hasan, Amena - 2024

This paper argues that strong capital market governance is essential for Bangladesh's economic growth by fostering trust, transparency, and investor confidence. It outlines key elements like clear disclosure, fair market conduct, and investor protection. While Bangladesh has made progress with...

Persistent link: https://www.econbiz.de/10015213731

Can central bankers’ talk predict bank stock returns? A machine learning approach

Katsafados, Apostolos G.; Leledakis, George N.; … - 2024

We combine machine learning algorithms (ML) with textual analysis techniques to forecast bank stock returns. Our textual features are derived from press releases of the Federal Open Market Committee (FOMC). We show that ML models produce more accurate out-of-sample predictions than OLS...

Persistent link: https://www.econbiz.de/10015214576

Volatility Depend on Market Trades and Macro Theory

Olkhov, Victor - 2020

current macroeconomic and financial theory. …

Persistent link: https://www.econbiz.de/10015216164

Predicting the equity premium with the implied volatility spread

Cao, Charles; Simin, Timothy; Xiao, Han - 2019

We show that the call-put implied volatility spread (IVS) outperforms many well-known predictors of the U.S. equity premium at return horizons up to six months over the period from 1996:1 to 2017:12. The predictive ability of the IVS is unrelated to the dividend yield and is useful in explaining...

Persistent link: https://www.econbiz.de/10015222731