DETECTING REGIME SWITCHES IN THE EUR/RON EXCHANGE RATE VOLATILITY

In the present study we develop and implement a short term exchange rate forecasting methodology using dynamic confidence intervals based on GARCH processes and we analyze whether this methodology can be used to model a regime switch in the volatility ofconditional heteroskedasticity, regime switch, exchange rates, long memory

DUGOROČNO PAMĆENJE U PRINOSU ISTOČNOEUROPSKIH FINANCIJSKIH TRŽIŠTA

The paper examines the long memory property of stock returns and its implications using daily index returns for eight CEE emerging markets: Romania, Hungary, Czech Republic, Poland, Slovenia, Bulgaria, Slovakia, and Croatia. Several nonparametric methods for testing for long memory are employed, as well as parametric long memory models. The ARFIMA-FIGARCH model seems the most appropriate specification since the nonlinearity tests can not reject the null of independent and identically distributed residuals, implying that this specification accounts for the nonlinearity in the data. The estimated fractional differencing parameter is statistically significant in seven of the eight emerging economies employed in the study, suggesting the presence of long memory in the returns in these financial markets.Ovaj rad istražuje svojstvo dugoročnog pamćenja prinosa dionica i njegove implikacije koristeći dnevni indeks prinosa za osam CEE tržišta u nastajanju: Rumunjsku, Mađarsku, Češku, Poljsku, Sloveniju, Bugarsku, Slovačku i Hrvatsku. Testiranje dugoročnog pamćenja je izvedeno korištenjem više neparametarskih metoda kao i nekoliko parametarskih modela dugoročnog pamćenja. ARFIMA-FIGARCH model se pokazao kao najprikladnija specifikacija s obzirom da testovi nelinearnosti ne mogu odbaciti nul-hipotezu neovisnih i identično distribuiranih rezidua, implicirajući činjenicu da je ova specifikacija odgovorna za nelinearnost podataka. Procijenjeni frakcijski parametar diferenciranja je statistički značajan u sedam od osam ekonomija u nastajanju koje su istražene u radu, sugerirajući prisutnost dugoročnog pamćenja prinosa na ovim financijskim tržištima

Operational Risk Modelling and Capital Adequacy – are There any Rewards in Greater Complexity?

The paper applies the methodologies proposed by Basel Committee on Banking Supervision for assessing the capital requirements in the context of operational risk to a Romanian commercial bank. The basic indicator, standard and internal measurement approaches (IMA) have been used to asses the capital requirement levels needed to cover the operational risk. The IMA is implemented using the loss distribution methodology (LDA). The capital at risk is computed from the loss distribution that aggregates, using Monte-Carlo simulations, the frequency and loss size distributions, fitted to the empirical data, for each business line and event type pair. Even though IMA is more costly and difficult to implement, it has, in some circumstances, considerable rewards in terms of capital requirements.operational risk, basic indicator approach, standardized approach, internal measurement approach, loss distribution methodology, Monte-Carlo simulation

The necessity of operational risk management and quantification

Beginning with the fact that performant strategies of the financial institutions have programmes and management procedures for the banking risks, which have as main objective to minimize the probability of risk generation and the bank’s potential exposure, this paper wants to present the operational risk management and quantification methods. Also it presents the modality of minimum capital requirement for the operational risk. Therefore, the first part presents the conceptual approach of the operational risks through the point of view of the financial institutions exposed to this type of risk. The second part describes the management and evaluation methods for the operational risk. The final part of this article presents the approach assumed by a financial institution with a precise purpose: the quantification of the minimum capital requirements of the operational risk.Operational risk, operational risk profile, standard approach, gross income, administrative general expenses

Operational risk measurement

Beginning with the fact that performant strategies of the financial institutions have programmes and management procedures for the banking risks, which have as main objective to minimize the probability of risk generation and the bank’s potential exposure, this paper wants to present the operational risk measurement. Therefore, the first part presents the conceptual approach of the operational risks through the point of view of the financial institutions exposed to this type of risk. The second part describes different measurement methods for the operational risk. The final part of this article presents the approach assumed by a financial institution with a precise purpose: the quantification of the minimum capital requirements of the operational risk.peer-reviewe

EFFECT OF GRAPE SKIN POWDER ADDITION ON CHEMICAL, NUTRITIONAL AND TECHNOLOGICAL PROPERTIES OF CHEESE

Large amounts of chemicals with useful properties can be found in by-products of the processing of grapes. Consumer interest in functional foods has increased recently, with dairy products dominating this market. Constituents from grape-based by-products that are naturally occurring in grapes have the potential to enhance the functional qualities of dairy products and lessen environmental damage. As a result, the goal of this research is to provide crucial information on the use of grape skin powder as a helpful ingredient in the manufacture of cheese. In this study, grape skin powder (GSP) was added to cheese to increase its bioactive compounds content and antioxidant activity. Total phenolic content (TPC) was significantly greater in the enriched cheese (5.483±0.443 mg C3G/100 g DW). Adding 2% grape skin powder to the cheese formulation gave an increase of 0.295 mg CE/g DW of TFC and 2.046 mg GAE/g DW of TPC. The GSP-supplemented cheese also showed greater antioxidant activity than the control. This study demonstrates that grape by-products can effectively transfer beneficial compounds to cheese

DETECTING REGIME SWITCHES IN THE EUR/RON EXCHANGE RATE VOLATILITY

In the present study we develop and implement a short term exchange rate forecasting methodology using dynamic confidence intervals based on GARCH processes and we analyze whether this methodology can be used to model a regime switch in the volatility o