The European investment fund and the evidence of the undertakings for collective investment in transferable securities (UCITS) marker

In this article we would like to analyze The European Investment Fund and the trends registered by the Undertakings for Collective Investment in Transferable Securities (UCITS) Market. For the European Investment Fund, the main results for 2006 and the trends registered from the point of view of the net assets by country of domiciliation are presented and analyzed. Beside these, the trends in the UCITS are also followed, with the help of the net sales by investment type and by country of domiciliation, together with the net assets also by investment type and by country of domiciliation.UCITS, European Investment Fund, investment type, equity fund, bond fund

Operational risk in banking - card fraud

During the last years the problem of card fraud expanded dramatically due to the growth of numbers of users, the increase number of ATM or POS transaction, internet or mobile payments. Together with this, the criminals become more sophisticated and the impact of losses generated by their actions is now considered a world problem.operational risk, banks, card fraud

Marketing of the banking services in Romania - an analysis regarding the evolution of the influence factors

In this paper we will present the main factors that can influence the banking services’ evolution. In the introduction these factors are briefly present and in the second part they will be discussed more detailed. The final part, that represent the conclusion, present some information regarding Romania and what is happening on this market.banking services, marketing, banks' personnel, external environment

POLICIES OF THE COMMERCIAL BANKS LIQUIDITY MANAGEMENT IN THE CRISIS CONTEXT

The article focuses on liquidity management in Commercial Banks, and presents the steps that a good management has to follow to ensure that the position of the bank is not put into jeopardy following a lack of liquidity. Different management decisions andliquidity management, liquidity strategy, liquidity risk, liquidity risk exposure liquidity risk funding, currency strategy, liquidity planning procedures, alternative scenarios, liquidity crisis management

ANALYSIS MODEL ON THE RELATION BETWEEN MACROECONOMICAL VARIABLE TENDENCIES AND COMERCIAL BANK’S CREDIT RISK

The main goal of this study is to apply a macroeconomic credit risk model which links a set of macroeconomic factors and industry-specific corporate sector default rates using Romanian data over the time period from 2002:2 to 2008:2. Using the modeled andcredit risk, industry-specific default rate, credit portfolio loss distribution

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

THE CORRELATION BETWEEN THE MARKET RISK AND THE LIQUIDITY RISK IN THE ROMANIAN BANKING SECTOR

A series of studies on liquidity management have appeared during the financial crisis, many of them comparing the funding liquidity with the market liquidity. The paper offers a dynamic image about the liquidity in the Romanian banking sector and its integration with the market risk, comparing the Value at Risk approach with the Liquidity at Risk approach. 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, market crisis, liquidity limits, Value at Risk, Liquidity at Risk

Considerations regarding credit portfolio risk management of the banking institution

Nowadays, the management of credit portfolio is becoming more and more sophisticated, the evaluation and management techniques are being used on a larger and larger scale in order to respond as efficiently and promptly as possible to the associated risks. Romania is, can we say, “at the beginning” as far as the management and the prevention of the risks caused by the credit portfolio are concerned, “beginning” that is although the result of an already experimented and accumulated experience. Embracing the new and modern credit risk management models presupposes the existence of some databases for a sufficient period of time, regarding the probability of different credit events [1], redeem rates in the case of non-reimbursement. We cannot adopt some management models without taking into consideration the characteristics of our country’s economy. To start with there shall be presented some conceptual perspectives of the credit risk. Afterwards, there shall be described some determining factors in the formation of a credit risk. In the end, there shall be presented the impact of the economic crisis upon lending and, last but not least, upon the credit portfolios of the banking institutions.banking system, banking risk, surveillance, rating systems, credit portfolio, investment

Stock Markets and their informational inefficiencies - the BSE case

The paper deals with the issue of stock market informational inefficiency differentiating between the main signals which indicate inefficiency manifestation within these markets. We discuss two main sources of inefficiency, price momentum and the mean reverting process, insisting on the causes of these departures. Also, we discuss the main stock market seasonal anomalies (the January effect, week end effect and the holiday effect) in the same time with those related tot the issuers’ characteristics (the size effect, value and growth stocks) keeping in touch with the main empirical results found in the case of the Bucharest Stock Exchange (BSE). In the end, the prediction capacity of different indicators to foresee future price evolution is carefully analyzed.stock market, informational inefficiencies, efficient market, seasonal anomalies

The impact of banks' financial statements publication on their market capitalization (The B.S.E. Case)

Conceived as an empirical study, the paper investigates investors’ behavior as a reaction to the publication of financial statements by the three commercial banks listed on Bucharest Stock Exchange (B.S.E.): BRD, BCC and TLV. Starting from the general framework of an event study analysis (ESA), the empirical research is doubled by two personal contributions to the ESA methodology represented by a parameters’ generalization module and one for optimizing internal variables. This modified methodology was run using personally-developed software (EvStud1.1), the main conclusion, inferred from a sample of 54 events, being the significant impact of financial statements’ publication on banks’ stock prices.financial statement, market capitalization, stock price, event study methodology