This study investigates the relationship between Emerging Markets Financial Stress Index (EMFSI) and currency returns, uncertainty and liquidity of eight emerging economies, using MODWT, Wavelet Coherence, TVP-VAR analyses. The results indicate that interactions become more pronounced during...

We investigate the problem of interest rate risk transforming into default risk of adjustablerate mortgage loans in the EU. Bank regulation is strikingly not neutral in this aspect, it explicitly favors short-duration adjustable-rate loans over long-duration fixed-rate loans in the framework of...

This paper analyzes the performance of peer-to-peer investments, the potential benefits of their information processing and the investor returns, based on the entire portfolio of the Estonian platform Bondora. We found that the platform’s scoring model relies on different default probabilities...

In response to the Global Financial Crisis of 2007–2009, by now, most of the financial transactions must be cleared through central counterparties operating a dynamic margin setting mechanism. High margin calls can reduce counterparty risk in a turbulent market but, at the same time, increase...

ESG factors are becoming mainstream in portfolio investment strategies, attracting increasing fund inflows from investors who are aligning their investment values to Sustainable Development Goals (SDG) declared by the United Nations Principles for Responsible Investments. Do investors sacrifice...

A környezeti (Environmental), társadalmi (Social) és irányítási (Governance) szempontokat együttesen ESG-indikátoroknak nevezik a pénzügyekben, amelyek az utóbbi időben jelentős figyelmet kaptak a pénzügyi döntéshozatalban. Jelen cikk középpontjában az országszintű...

We introduce a factor approach to performance measurement of global ESG equity investments. We construct ESG pure factor portfolios (PFP) following Fama-MacBeth; then, applying Fama-French (FF) spanning regressions that simultaneously test performance and the validity of adding new ESG factors...

Napjainkban a fenntarthatóság egyre nagyobb szerepet kap a pénzügyekben és ezzel együtt a klímakockázat mérése is előtérbe került. Kutatásuk során a szerzők az ESG-indikátorok (Environmental, Social and Governance) és a Global Climate Risk Index (CRI) kapcsolatát vizsgálták...