Interest rate risk management - calculating Value at Risk using EWMA and GARCH models

Value at risk assesses financial risk by evaluating the probability of loss that results from stochastic variation of the rate of return. The methodology is based on historical data reflecting this variation, usually as an estimated probability of default function. The fact that return distributions are not constant over time poses exceptional challenges in the estimation. In order to remedy this problem we can estimate the volatility of the financial variables using EWMA and GARCH models, that are robust to fat-tailedness in the conditional distribution of returns. The assessment of the models’ performance is based on a range of measures that address the conservativeness, accuracy and efficiency of each one.value at risk, time varying volatility, EWMA model, GARCH model, interest rate risk

LIQUIDITY RISK MANAGEMENT IN CRISIS CONDITIONS

In order to measure the liquidity risk we have developed an analysis model, based on stress-testing scenarios, that shows the ability of the bank to face different types of liquidity crisis. The scenarios were designed for each balance sheet position for assets and liabilities: Ordinary Course of Business, Name Crisis (Mild Name Crisis and Severe Name Crisis), Market Crisis (Mild Market Crisis and Severe Market Crisis) that reflects banking sector crisis and persistent recession. This offers a dynamic image about the bank's liquidity in report with different types of liquidity scenarios, but also about the time horizon of analyze. The research also wants to highlight the most significant features to consider in order to implement an effective liquidity risk management and to achieve a more integrated supervisory framework.liquidity risk, name crisis, market crisis, liquidity limits, gap analysis

The allocation of state advertising to private media corporations in Europe: legal and regulatory frameworks

This study introduces a cross-country comparative analysis of the institutional mechanisms, legislative and regulatory procedures for allocating and distributing state institutional advertising to private news media organisations across nine European countries. I provide an assessment of the extant frameworks in Austria, Denmark, Germany, Finland, France, Norway, Spain, Sweden and Switzerland, based on an extensive review of the academic literature. This cluster of countries represents the two models for media systems conceptualised by Hallin and Mancini (2004): the Polarised Pluralist and the Democratic Corporatist media systems. Various research questions are raised in relation to the main variables identified for the comparative analysis: legal and regulatory frameworks; the competent authorities; tender preparation and awarding; monitoring and enforcement; and transparency. Data was collected from multiple publicly national and international sources. Results show significant variations between countries in the level of institutional transparency regarding the allocation and distribution of state institutional advertising

ELECTRONIC BANKING - ADVANTAGES FOR FINANCIAL SERVICES DELIVERY

E-banking is a fully automatic service for traditionally banking customer's products based on information technology platforms. E-banking services provide customer access to accounts, the ability to move their money between different accounts or making payments via e-channels. The advantages generated by this services have determined an accelerate developing of this industry over the entire world. This paper examines some of the advantages of electronic banking products together with the characteristic management issues generated by the implementation of this new channel for financial services delivery.Electronic banking, Internet banking, Home Banking, Mobile Banking.

PERBEDAAN ASUPAN SENG (Zn), ZAT BESI (Fe), DAN VITAMIN C ANAK STUNTING DAN NORMAL UMUR 6-12 TAHUN DI PROVINSI NUSA TENGGARA TIMUR

Anak usia sekolah dasar merupakan masa saat mereka mengalami growth spurt (percepatan pertumbuhan) yang kedua setelah masa balita. Kekurangan gizi pada anak sekolah tidak hanya berhubungan dengan pertumbuhan fisik saja, tetapi juga berkaitan dengan perkembangan. Tujuan dari penelitian ini adalah untuk mengetahui perbedaan asupan seng (Zn), zat besi (Fe), dan vitamin C pada anak stunting dan normal umur 6-12 tahun di Provinsi Nusa Tenggara Timur.  Metode yang digunakan dalam penelitian ini adalah cross sectional. Populasi penelitian adalah anak berumur 6-12 di Provinsi Nusa Tenggara Timur. Sampel penelitian sebanyak 1012 anak. Jumlah responden paling banyak berstatus normal (55%) dan stunting (45%). Rata-rata asupa seng responden 3,18±1,95 mg. Rata-rata asupan zat besi responden 4,69±4,135 mg. Rata-rata asupan vitamin C responden 40,80±37,608 mg. Ada perbedaan asupan seng pada anak stunting dan normal (p0,05). Tidak ada perbedaan asupan zat besi dan vitamin C pada anak stunting dan normal (p0,05). Mendeteksi lebih dini kejadian stunting pada anak serta memberikan gizi yang tepat dan seimbang dapat memperkecil risiko terjadinya stunting pada anak

Using stress testing methodology in evaluating banking institution’s exposure to risk

In order to correctly estimate the unpredictable effects on their transaction portfolios, the banks developed stress testing methods which turned out to be a very important tool in the bank supervision process. Moreover, the supervision authorities started using stress-testing methods for evaluating systemic risk and for determining the adequacy degree of capital in the banking sector. Taking into account the importance of these simulations, the present paper presents methodologies with which stress testing methods could be implemented by banks as well as their role in the management of credit risk, market risk and liquidity risk while also meeting the requirements imposed by the Basel II accord. By means of a case study we have simulated several scenarios in which the inter-bank market interest rate was varied, quantifying its impact on bank revenues as well as on the market value of their portfolios.stress testing, credit risk, market risk, liquidity risk, capital adequacy, Basel II Accord

Drought Coping Mechanisms among the Turkana Nomadic Pastoral Community of Ilemi Triangle Region of Northern Kenya

Drought has remained a major disaster that has contributed to a higher vulnerability among the mobile pastoral population because of its slow onset and accumulative impact over period. Centre for Research on Epidemiology of Diseases (CRED) has quantitatively provided that Kenya has experienced about 19 droughts from 1989 to 2010. These drought scenarios are mainly in arid and semi-arid areas where Turkana belongs but the Turkana nomadic pastoral population has been surviving in such harsh environment where humanitarian assistance is barely absent. Therefore, the researcher in the objective prompts to ask, and find out how this pastoral community do survive and cope with this repeated drought in such isolated and tough environment. The studies available for this region have concentrated mainly to specific areas of Turkana without touching Ilemi triangle belt in Northern Turkana areas that is more prone to droughts. The study utilises multiple research design and a multistage random, purposive and quota sampling methods. The qualitative and quantitative data were analysed and the findings indicated that migration remain the most common method of coping with drought and it recommended for the supporting of the traditional coping mechanisms and promoting viable programs that support livestock and livelihoods

Vitamin D and immune responses: how much is too much?

Vitamin D is a sunshine vitamin that is widely known for bone health. The main source of vitamin D from exposure to ultraviolet B radiation, whereas only 20% from natural and fortified food. Recent studies concluded that vitamin D has a putative role in reducing the risk of viral respiratory infection by suppressing pro-inflammatory cytokines and delaying increasing anti-inflammatory cytokines response. Whereas, vitamin D regulates innate immunity through macrophage and dendrite cell activity as well as an adaptive immune response through lymphocyte T cells response

Causes of Drought Vulnerability and Indigenous Drought Early Warning Methods among the Turkana Nomadic Pastoralists of Ilemi Triangle Region of Northern Kenya

Drought has remained a major disaster that has contributed to a higher vulnerability among the mobile pastoral population because of its slow onset and accumulative impact over period. Centre for Research on Epidemiology of Diseases (CRED) has quantitatively provided that Kenya has experienced about 19 droughts from 1989 to 2010. These drought scenarios are mainly in arid and semi-arid areas where Turkana belongs but the Turkana nomadic pastoral population has been surviving in such harsh environment where humanitarian assistance is barely absent. Therefore, the researcher in the objective prompts to ask, and find out what mainly causes their vulnerability to drought in such isolated and tough environment and what early warning methods are utilised in Ilemi triangle region. The studies available for this region have concentrated mainly to specific areas of Turkana without touching Ilemi triangle belt in Northern Turkana areas that is more prone to droughts. The study utilises multiple research design and a multistage random, purposive and quota sampling methods. The qualitative and quantitative data were analysed and the findings indicated that low rainfall, recurrent drought and extreme weather conditions are the main cause of vulnerability to drought and it recommended for a comprehensive framework for drought management in Ilemi triangle, preparing population for eventual drought and development of adequate water resources and Government must not only recognise, strengthen, and incorporate the importance the pastoralist’s indigenous early warning processes in order to have capacity to predict drought but also ensure the pastoralists are involved in their own drought management plans