Financial Stability of the Turkish Banking Sector

In the narrow sense, financial stability is defined as price stability and the soundness of financial institutions. Although this definition can be extended to cover the functioning of financial markets, asset price volatility, risk management practices of institutions, etc., financial soundness of banks is still at the center of stability concerns. In this context, several methods have been developed to measure stability in terms of a common metric. In this paper, we analyze the stability of the Turkish banking sector in the period of 2000-2006 by applying an option theory based method that allows the estimation of default probability of the sector. We conclude that stability (default probability) was the weakest (highest) in 2001 and it entered in a healthy path after 2003. Furthermore, the sector resisted strongly to the May-June turmoil of 2006. Soundness of the sector remains relatively stable following the turmoil periodFinancial Stability, Option Model, Default Risk, Banking

A Case of Swyer-James-Macleod Syndrome Associated with Middle Lobe Hypoplasia and Arteriovenous Malformation

A 58-year-old female patient presented to the hospital with hearing loss. In the chest radiography obtained before her ear surgery, volume decrease in the right hemithorax, elevation of the right diaphragm, and increase of ventilation in the right lung were detected. At the thorax CT-CT angiography, hypoplasia of the main pulmonary artery and its branches and arteriovenous malformation localized in the middle lobe of the right lung were detected. Thus, diagnosis of Swyer-James-Macleod syndrome associated with right lung middle lobe hypoplasia and arteriovenous malformation was made. This kind of association has not been reported earlier, so we are presenting it in the light of the literature knowledge

Retroaortic Left Renal Vein in a Case of Left Adrenal Adenoma: Radiological Findings

It is important to diagnose retroaortic left renal vein (RLRV) before a probable retroperitoneal surgery in a case of a suspicious adrenal mass. Our purpose is to present the ultrasonography (US), computed tomography (CT), and magnetic resonance imaging (MRI) findings in a case of left adrenal adenoma with a coincidental RLRV and to discuss the clinical importance of their imaging. Abdominal and scrotal US, abdominal CT and MRI were performed for a 50-year-old male patient who was referred with continuous abdominal pain, intractable hypertension, high levels of blood cortisol and proteinuria. On US, a hypoechoic solid mass measuring 4 × 3 cm in the left adrenal location and coincidental RLRV, besides multiple renal cysts, hepatomegaly, left-sided varicocele, and small-sized left testis were detected. CT and MRI also revealed the mass in the left adrenal gland which was consistent with adenoma. With CT and MRI, presence of RLRV was also verified

Isolated Splenic Hydatid Disease

Hydatid disease (HD) continues to be a significant health problem in areas where animal husbandry is common but no proper veterinary control exists. The involvement of the spleen in HD is rare, and isolated splenic involvement is even less common. In this case report, we present isolated splenic HD in a 26-year-old female with complaint of abdominal pain, and we discuss some of the clinical aspects of HD. Evaluation of the patient with ultrasonography, computed tomography, and magnetic resonance imaging revealed the presence of an isolated splenic HD as a multivesicular cystic mass located near splenic hilus, measuring 12 × 11 cm. No other organ or system involvement could be demonstrated

Computed Tomography and Magnetic Resonance Imaging Findings in a Case with Biliary Microhamartomas

Biliary microhamartomas, also known as bile duct hamartomas and von Meyenburg complexes, are benign neoplasms containing cystic dilated bile ducts embedded in fibrous stroma. They develop in hepatobiliary system, do not generally give clinical outcomes, and are detected incidentally. However, they can rarely show malignant transformation. Our aim was to report the contribution of computed tomography, routine magnetic resonance imaging, and magnetic resonance cholangiopancreatography in the diagnosis of biliary microhamartomas in a 61-year-old woman

Statistical arbitrage: Factor investing approach

We introduce a continuous time model for stock prices in a general factor representation with the noise driven by a geometric Brownian motion process. We derive the theoretical hitting probability distribution for the long-until-barrier strategies and the conditions for statistical arbitrage. We optimize our statistical arbitrage strategies with respect to the expected discounted returns and the Sharpe ratio. Bootstrapping results show that the theoretical hitting probability distribution is a realistic representation of the empirical hitting probabilities. We test the empirical performance of the long-until-barrier strategies using US equities and demonstrate that our trading rules can generate statistical arbitrage profits

Investigating the effects of illiquidity on credit risks via new liquidity augmented stochastic volatility jump diffusion model

Liquidity is extremely important not only within the context of financial markets but also in every scale of economic transactions. In this study, within the realm of financial markets, we configure liquidity as an independent stochastic process moderating the fluidity of all transactions and hence dynamically changing asset values. This study's asset value process ignoring liquidity is modelled with a stochastic volatility jump-diffusion (SVJ) model and that model is augmented with the incorporation of a liquidity process. The new model is called liquidity augmented stochastic volatility jump-diffusion (LASVJ) model. The simulation results suggest that LASVJ model outperforms the models without liquidity. The application of LASVJ model on the estimation of probabilities of default and credit risk spreads, using actual financial data of the selected companies listed in Dow Jones 30, reveals that neglecting the liquidity dimension in asset valuation might lead to inefficient assessments of risks. The models without an illiquidity process underestimate the probabilities of default and credit spread risks in comparison to the liquidity augmented model, LASVJ model, and we believe this might have accounted for the ignored risks that caused the 2007-2008 financial crisis in a great degree

Default and prepayment options pricing and default probability valuation under VG model

In this paper, a new approach, the Variance Gamma (VG) model, which is used to capture unexpected shocks (e.g., Covid-19) in housing markets, is proposed to contribute to the standard option-based mortgage valuation methods. Based on the VG model, the closed-form solutions are performed for pricing mortgage default and prepayment options. It solves the options pricing equations explicitly and illustrates numerical results for both mortgage default and prepayment options' prices. Furthermore, the study enables researchers to monitor the default probability of mortgagors. Analyzing the effect of risks on default and prepayment options using simulations shows that the VG model captures the systematic and systemic (idiosyncratic) risks of default and prepayment options prices with closed-form solutions and computes the mortgage default probabilities. Therefore, it allows lenders a more advanced decision process compared to the standard option-based mortgage valuation method. (C) 2021 Elsevier B.V. All rights reserved