In this study business operations and liquidity and credit risk on price fluctuations on the stock exchange since 2010 to 2013 has been Tehran distance. The sample consisted of 76 company The systematic elimination method is selected. The company had a total of 304 years, in this study, the hypothesis of linear regression and correlation to analyse the data and test hypotheses Eviews software i...

1 In the credit risk analysis, the dependence of default times is one of most important issues, for the portfolio credit derivatives as basket default swaps and CDOs, and also for the contagious credit risks. In the literature, the modelling of multi credit names is diversified in various directions such as Markov models ([3, 4]), contagion models ([10]), latent variable models ([8]) and loss p...

This paper examines the relationship between financial risks and profitability of the conventional and Islamic banks in Malaysia for the period between 1996 and 2005. The measures of profitability that have been used in the study are the return on equity (ROE) and return on assets (ROA) while the financial risks are credit risk, interest rate risk and liquidity risks. This study employs panel d...

I am delighted to be the opening speaker at this Credit Markets Symposium. The time certainly is ripe for an open dialogue among market participants, risk-management professionals, and policymakers. Credit markets have been evolving very rapidly in recent years. New instruments for transferring credit risk have been introduced and loan markets have become more liquid. Asset managers have become...

Consider a portfolio of n obligors such as loans, corporate bonds and other instruments subject to possible default. Tang and Yuan (2012, Submitted) introduced a new model for the loss given default and studied its tail behavior, Value at Risk, and Conditional Tail Expectation under the assumption that the losses jointly follow a multivariate regularly varying distribution. However, in the case...

We compute and estimate the two risks that keep Brazilian interest rates extremely high: the currency and country risks. The Brazil risk is directly measured from fixed income instruments and derivatives, while the currency risk is estimated via Kalman Filter. Results identify a few important components of the Brazil risk, as the convertibility risk and the international financial markets condi...

in this study business operations and liquidity and credit risk on price fluctuations on the stock exchange since 2010 to 2013 has been tehran distance. the sample consisted of 76 company the systematic elimination method is selected. the company had a total of 304 years, in this study, the hypothesis of linear regression and correlation to analyse the data and test hypotheses eviews software i...

Previously circulated under the title \Banks and credit derivatives: Is it always good to have more risk management tools?" Abstract We model the eeects on banks of the introduction of a market for credit derivatives; in particular, credit default swaps. A bank can use such swaps to temporarily transfer credit risks of their loans to others, reducing the likelihood that defaulting loans trigger...

Based on multi-attribute decision making theory, a multi-attribute assessment framework for Ecommerce risks is presented. The paper applies an improved evidential reasoning(ER) approach to support evaluation decision, and uses a credit interval to figure scoring result and allow something absence. E-Commerce risks includes environmental risks, management risks, technical risks and information r...