Filtered historical simulation provides the general framework to our backtests of portfolios of derivative securities held by a large sample of financial institutions. We allow for stochastic volatility and exchange rates. ...

Filtered historical simulation provides the general framework to our backtests of portfolios of derivative securities held by a large sample of financial institutions. We allow for stochastic volatility and exchange rates. ...

Banking firms have recently been shifting significantly larger portions of their loan portfolios into real estate. This has caused concern about the continuing economic health of Cyprus banks, since changes in real estate ...

The aim of the study was to present the banking system and its supervision, and also study the impact of the crisis in Cyprus and Ireland. Furthermore, the objectives of the study were to present the risks of the ...

Recent studies have strongly criticised conventional VaR models for not providing a coherent risk measure. Acerbi provides the intuition for an entire family of coherent measures of risk known as “spectral risk measures” ...

Value at risk is becoming increasingly popular as a management and regulatory tool. But before this acceptance goes much further, we need to assess its reliability under financial market conditions. Most VAR models deal ...

Based on the positive trends of the futures market, it can be concluded that in addition to active speculators in the market, there are hedgers as well. Position protection against the price risk becomes more relevant in ...

To ensure that central counterparties (“CCPs”) are safe in all market conditions the European Union (EU) has adopted legislation, commonly known as the European Market Infrastructure Regulation (“EMIR”) that deal with their ...

In this study an alternative approach for assessing securities' risk is applied. Various authors have argued that security returns are not homoskedastic but exhibit variation over time. They have observed that large changes ...

This paper we backtest the FHS VaR model on three types of portfolios invested over a period of two years. The first set of backtests consists of LIFFE financial futures and options contracts traded on LIFFE. In the second ...

This study examines the changes in the ratio analysis of banking activities and testing with Z-score the effect of bankrupts comparing with the Marfin Popular Bank of Cyprus over the last years, focusing on the effects of ...

Abstract The objective of this chapter is to examine the ARCH family of volatility models and its use in risk analysis and measurement. An overview of unconditional and conditional volatility models is provided. The former ...

This study investigates the relationship between the macroeconomic variables and the Greek Stock Market. From the opening of Greek stock market and specifically from 1876, it can be observed that the returns of Athens stock ...

Buying a property is one of the most important decisions that local people or foreigners make in their lives, either for investing, or for holiday / permanent residence in the country they select. This thesis investigates ...

Buying a property is one of the most important decisions people make in their lives. This thesis investigates customer behaviour in the real estate market of Cyprus. As it was revealed from the literature review carried ...

In this paper we propose to model short-term interest rates by taking into consideration both the asymmetric properties of returns, using Pearson’s type IV distribution, and the time-varying volatility, using GARCH models. ...

Investment portfolio issues take a leading position in modern economic science due to their relevance in a developed market. However, the conditions of the Russian economy does not allow fully apply the general principles ...

VaR (value-at-risk) estimates are currently based on two main techniques: the variance-covariance approach or simulation. Statistical and computational problems affect the reliability of these techniques. We illustrate a ...

This paper describes and applies a nonparametric model for pricing multivariate contingent claims. Multivariate contingent claims are contracts whose payoffs depend on the future prices of more than one underlying variable. ...

In this paper we show that by assuming a constant variance/covariance matrix over the holding period, the VaR limits can often be exceeded within the relevant horizon period. To minimize this risk, we formulate the problem ...