International capital market integration together with increasing international volatility, requires an accurate evaluation of the potential losses that portfolio managers may face as a result of international turbulence. Assets with high liquidity standards can be evaluated by the traditional...

This paper presents a review of alternative methodologies for early detection of banking distress. The methodologies proposed are aimed to the early identification of financial distress for countries without an important recent history of bank failure, but facing an unstable international...

This article presents an intervention methodology to neutralize fluctuations not associated to fundamentals. The mechanism is based on a conditional heteroskedasticity model GARCH(1,1) for the nominal exchange rate, combined with the Value at Risk concept. The simulation provides the authority...

This article presents a historical analysis of the Chilean monthly growth rate from 1987 to 2000, applying the Switching Regime methodology design by Hamilton (1989). Three scenarios were considered, which imply a number of parameters estimated using the expected maximization iterative procedure...

U.S. banking regulation has historically prohibited the ability of a bank to open or own a branch located outside of its home state, commonly referred to as interstate branching. Only since the passage of the Riegle-Neal Interstate Banking and Branching Efficiency Act (IBBEA) in 1994 have banks...

The artificial neural networks (ANN) have turned into an important tool to shape and to predict the stock returns. Due to the fact that those models incorporate nonlinear variables (characteristic of the majority of the economic and financial series) they work better than the statistical...

This paper analyzes stock market volatility in thirty nine developed and developing countries over a daily simple starting in January 1990 to October 2002, considering conditional autoregressive heteroskedasticity symmetric and asymmetric models such as GARCH, TGRARCH and Exponential models. We...

El concepto de Value at Risk (valor del riesgo) se ha popularizado hace ya casi una década. Este artículo describe el significado de este concepto, y presenta aplicaciones sobre carteras de activos de bonos, acciones, forwards de tasa de interés y de tipos de cambio, y swaps. Se introducen...

This article generates innovative confidence intervals for two of the most popular de trending methods: Hodrick-Prescott and Band-Pass filters. The confidence intervals are obtained using block-bootstrapping techniques for dependent data. As an example, we present GDP trend growth and output gap...

This paper reviews alternative methodologies and models to design systems to help in the early detection of banking distress (EWS). The pro-posed methodologies are aimed to the early identification of financial distress for countries without an important recent history of banking failure. This...