The present paper aimed at studying the current models of credit portfolio management. There are currently three types of models which consider the risk of credit portfolio: the structural models (Moody's KMV model, and Credit- Metrics model), the intensity models (the actuarial models) and the...

The main idea of this paper is to study theoretically the different ones from the credit portfolio models mainly two models: the macro-factors models and the actuarial models. There are currently three types of models to consider the risk of credit: the structural models also defined by the...

This paper is elaborate of which the main is to present a theoretical analysis between the structural models. There are currently three types of models to consider the risk of credit: the structural models (The KMV Moody's model and the CreditMetrics model) also defined by the models of the...

The task of processing systemic events and its negative externalities requires approaches to measure systemic risks and break it down into contributions of different institutions. The main objective of the present paper is to estimate the systemic risk of European banks following the financial...

Following the outbreak of the financial crisis and falling prices in the financial markets, we noticed the existence of several recent studies on the relationships between commodity and stock markets. More specifically, our paper is most closely related to those documenting the importance of the...

This paper examines the interaction between terrorism events and finance, focusing for the first time on the Damascus Securities Exchange Weighted Index return volatility of Syria besieged by terrorist attacks. To do so, we employ three multivariate GARCH models (GARCH (1,1), EGARCH (1,1) and...

The main idea of this paper is to examine the dependence between the probability of default (PD) and the recovery rate (RR). For the empirical methodology, we use the bootstrapped quantile regression and the simultaneous quantile regression for a sample of 17 Greek banks listed in Athens...