Testing value-at-risk models in emerging markets during crises: a case study on South Eastern European countries

2016 ◽  
Vol 10 (2) ◽  
Author(s):  
Nikola Radivojevic ◽  
Nikola Curcic ◽  
Dragana Milojkovic ◽  
Vuk Miletic
Keyword(s):  
At Risk ◽  
Emerging Markets ◽  
Value At Risk ◽  
European Countries ◽  
Eastern European ◽  
Risk Models ◽  
South Eastern ◽  
Eastern European Countries

After 2008 Global Financial Crisis, Short-Term Dynamics of CDS, Bond, and Stock Markets in South Eastern European Economies

2013 ◽  
pp. 181-194
Author(s):  
Ali Sabri Taylan ◽  
Hüseyin Tatlidil
Keyword(s):  
Financial Crisis ◽  
Credit Risk ◽  
Stock Markets ◽  
European Countries ◽  
Stock Index ◽  
Bond Markets ◽  
Eastern European ◽  
South Eastern ◽  
Eastern European Countries

Credit risk pricing is perhaps an understudied topic in comparisons to its profound impact on the world’s financial markets and economies. This study uses established price discovery techniques to develop a method of price discovery for credit risk in three financial markets: equity, debt, and credit derivative. This chapter is motivated by the development of credit-related instruments and signals of stock price movements of South-Eastern European countries—Bulgaria, Croatia, Greece, Hungary, Romania, Slovenia, Slovakia, and Turkey—during the recent financial crisis. In this study, the authors evaluate the dynamics of fiscal risk or country risk measured by sovereign Credit Default Swap (CDS), liquidity risk measured bond markets, and stock markets for the monthly based September 2008 – February 2011 period. The study examines monthly data observing 38 months and 8 countries. A panel vector autoregression model is proposed for changes in Long-Term Interest Rate (LTIR), changes in CDS spreads (CDS), and changes in stock index. In conclusion, CDS markets and stock markets are more significant than bond markets in explaining the post-crisis relationship among developing South-Eastern European countries. The analysis displays that long-term monetary policy did not affect CDS premium and stock index level. A strong relationship is found between the CDS spread and stock market. During financial crisis and after the crisis, the correlations among CDS, stock, and bond markets are collapsed by panicked investors’ rapid movement and wild speculators. This risk perception can explain the difference between the finance theory and practices in the market.

scholarly journals Privatization processes in banking: Motives and models

2006 ◽  
Vol 53 (2) ◽  
pp. 191-221 ◽  
Author(s):  
Zivota Ristic
Keyword(s):  
Comparative Analysis ◽  
European Countries ◽  
Final Part ◽  
Eastern European ◽  
Foreign Investors ◽  
Qualitative And Quantitative ◽  
South Eastern ◽  
The Usa ◽  
Bank Privatization ◽  
Eastern European Countries

The paper consists of three methodologically and causally connected thematic parts: the first part deals with crucial motives and models of the privatization processes in the USA and EU with a particular analytical focus on the Herfindahl-Hirschman doctrine of the collective domination index, as well as on the essence of merger-acquisition and take-over models. The second thematic part of the paper, as a logical continuation of the first one represents a brief comparative analysis of the motives and models implemented in bank privatization in the south-eastern European countries with particular focus on identifying interests of foreign investors, an optimal volume and price of the investment, and assessment of finalized privatizations in those countries. The final part of the paper theoretically and practically stems from the first and the second part, in that way making an interdependent and a compatible thematic whole with them, presents qualitative and quantitative aspects of analyzing finalized privatization and/or sale-purchase of Serbian banks with particular focus on IPO and IPOPLUS as the prevailing models of future sale-purchase in privatizing Serbian banks.

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