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Implementation of the stress test methods in the retail portfolio

Siarka, Pawel - In: Journal of applied finance & banking 2 (2012) 6, pp. 15-29

Article refers to the issue of credit risk management in commercial banks. Particular attention is paid to the problem of stress testing. In addition, methods are presented that allow prediction of the losses of the portfolio in the context of extreme events relating to the crises of financial...

Persistent link: https://www.econbiz.de/10010118427

The accuracy of forecasts made for the structure of consumer basket : a comparative analysis between euro area and Romania

Bratu Simionescu, Mihaela - In: Revista de métodos cuantitativos para la economía y … 15 (2013), pp. 87-100

Persistent link: https://www.econbiz.de/10010160661

Artificial neural networks for predicting real estate prices

Núñez Tabales, Julia M.; Caridad y Ocerin, José María; … - In: Revista de métodos cuantitativos para la economía y … 15 (2013), pp. 29-44

Econometric models, in the estimation of real estate prices, are a useful and realistic approach for buyers and for …

Persistent link: https://www.econbiz.de/10010160664

Deutsche Industrie stemmt sich gegen die Krise im Euroraum

Lucke, Dorothea - In: DIW-Wochenbericht : Wirtschaft, Politik, Wissenschaft 79 (2012) 48, pp. 16-24

Die Industrie in Deutschland hat bis zum dritten Quartal das Produktionsniveau des Vorjahres knapp halten können. Sie … Industrieproduktion von lediglich 0,1 Prozent. Als Stützpfeiler erweisen sich dabei erneut die in Deutschland traditionell starken … production level as in 2011. In the course of the year, it has been faced with a strong decline in demand both in Germany and …

Persistent link: https://www.econbiz.de/10010079493

A time-varying parameter vector autoregression model for forecasting emerging market exchange rates

Kumar, Manish - In: International journal of economic sciences and applied … 3 (2010) 2, pp. 21-39

In this study, a vector autoregression (VAR) model with time-varying parameters (TVP) to predict the daily Indian rupee (INR)/US dollar (USD) exchange rates for the Indian economy is developed. The method is based on characterization of the TVP as an optimal control problem. The methodology is a...

Persistent link: https://www.econbiz.de/10009958060

Residual Grey Markov model for the developments of GDP, population and energy consumption in Iran

Mostafaei, Hamidreza; Kordnoori, Shaghayegh - In: Advances in management & applied economics 1 (2011) 2, pp. 93-105

Grey system theory can powerfully deal with incomplete and uncertain information. In this paper, we introduced an improved grey GM(1,1) model that integrates residual modification with Markov chain model. By this model, we improved the forecast accuracy of original grey forecast model and...

Persistent link: https://www.econbiz.de/10009958471

On the importance of the arrival of new information

Chumacero, Rómulo A. - In: Estudios de economía 37 (2010) 2, pp. 207-215

, estimation, and decision making. By fusing known and recently developed statistical tests and concepts, the paper provides …

Persistent link: https://www.econbiz.de/10009959113

Company valuation : how to deal with a range of values?

Patena, Wiktor - In: E-Finanse : finansowy kwartalnik internetowy 7 (2011) 3, pp. 75-84

Company valuation is not done after having generated a few values being a result of applying different valuation methods. In many cases institutions ordering the valuation request a value which can be an equivalent of a market, transactional value. Often the one method (and the valuation...

Persistent link: https://www.econbiz.de/10009959718

Using ants to detect fraudulent financial statements

Katsis, Christos D.; Goletsis, Yorgos; Boufounou, … - In: Journal of applied finance & banking 2 (2012) 6, pp. 73-81

Fraudulent financial reporting is a matter of great social and economic concern. Managers may distort financial statements so as to present their companies more favorably to investors or creditors. On the other hand, auditors are the ones who are expected to identify fraudulent financial...

Persistent link: https://www.econbiz.de/10010118423

Volatility modeling for forecasting stock index with fixed parameter distributional assumption

Rahman, Md. Mostafizur; Rahman, Md. Azizur; Hossain, … - In: Journal of applied finance & banking 3 (2013) 1, pp. 109-122

2150 observations is used for empirical analysis. We consider first 1950 observations for in sample estimation and last 200 … parameter 1.5 of GED density fail to improve the in sample estimation performance compared to student-t and GED distributional … assumption. Among all of these models, APARCH model with student-t density give better in sample estimation results. In case of …

Persistent link: https://www.econbiz.de/10010118432