In this paper we present a closed analytical formula for the calculation of the CoVaR (respectively Delta CoVaR), which is a macro risk measure introduced by Adrian and Brunnermeier to analyze and quantify the marginal contribution of a given financial institutions to the systemic risk. We...

One of the main challenges for the regulatory authorities in the aftermath of the last financial crisis is to define pragmatical and practicable risk concepts for the control and the regulation of systemic risks. They need for this purpose risk models that on one hand can capture the macro...

We provide an alternative method for analysis of multifractal properties of time series. The new approach takes into account the behaviour of the whole multifractal profile of the generalized Hurst exponent $h(q)$ for all moment orders $q$, not limited only to the edge values of $h(q)$...

We construct explicitly a bridge process whose distribution, in its own filtration, is the same as the difference of two independent Poisson processes with the same intensity and its time 1 value satisfies a specific constraint. This construction allows us to show the existence of...

The agent-based computational economical model for the emergence of money from the initial barter trading, inspired by Menger's postulate that money can spontaneously emerge in a commodity exchange economy, is extensively studied. The model considered, while manageable, is sufficiently complex,...

Recently the interest of researchers has shifted from the analysis of synchronous relationships of financial instruments to the analysis of more meaningful asynchronous relationships. Both of those analyses are concentrated only on Pearson's correlation coefficient and thus intraday lead-lag...

We study quantitatively the level of false multifractal signal one may encounter while analyzing multifractal phenomena in time series within multifractal detrended fluctuation analysis (MF-DFA). The investigated effect appears as a result of finite length of used data series and is additionally...

Keywords: corporate finance, Wroc{\l}aw University of Economics, net profit margin lub net sales profitability

This paper examines three independent explanatory variables and their relation with cost overrun in order to decide whether this is different for Dutch infrastructure projects compared to worldwide findings. The three independent variables are project type (road, rail, and fixed link projects),...