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Search Results: 1 - 10 of 1059 matches for " Ioan TRENCA "
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New Values in Credit Risk Management
Ioan Trenca
Theoretical and Applied Economics , 2006,
Abstract: Taking into account the high importance of the banking activity for the economic system of any country - due to its functions as a payment mechanism, credit allocation or transmission vehicle of the monetary policy - its supervision on a prudential basis becomes an essential condition for enhancing the economic and financial health of any country. The Basel I Acord proposals gave special attention to the calculus of an optimum level of banking capitalization which was to be determined as a function of the aggregate level of risks to which each institution was exposing, in exercising its activities as financial intermediary. The objective of the Basel II new regulations was actually intended to improve the risk management of the banking system in order for it to take account of the new realities characterizing the present financial world: the uncertainty dominating this world as well as and the volatility of the flow of capitals.
THE USE IN BANKS OF VALUE AT RISK METHOD IN MARKET RISK MANAGEMENT
Ioan TRENCA
Scientific Annals of the Alexandru Ioan Cuza University of Iasi : Economic Sciences Series , 2009,
Abstract: In sophisticated market environments, banks with sufficient liquidity can normally hedge against market volatility. The resulting net effective open position determines the amount of the portfolio that remains exposed to market risk, which Value at Risk can measure. In contrast with traditional risk measures, VaR provides an aggregate view of a portfolio’s risk that accounts for advantage, correla-tions, and current positions. As a result, it is truly a forward-looking risk measure that applies not only to derivatives but also to all financial instruments. Furthermore, the methodology can also be broadened from market risk to other types of financial risk, using Delta-Normal Method, Historical Simulation, or Monte Carlo Simulation.
ANALYSIS MODEL ON THE RELATION BETWEEN MACROECONOMICAL VARIABLE TENDENCIES AND COMERCIAL BANK’S CREDIT RISK
Trenca Ioan,Benyovszki Anamaria
Annals of the University of Oradea : Economic Science , 2009,
Abstract: 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 and
POLICIES OF THE COMMERCIAL BANKS LIQUIDITY MANAGEMENT IN THE CRISIS CONTEXT
Trenca Ioan,Paun Dragos
Annals of the University of Oradea : Economic Science , 2009,
Abstract: 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 and
MODELING ROMANIAN EXCHANGE RATE EVOLUTION WITH GARCH, TGARCH, GARCH- IN MEAN MODELS
Trenca Ioan,Cociuba Mihail Ioan
Annals of the University of Oradea : Economic Science , 2011,
Abstract: In this paper we analyze the return of exchange rate in order to test and analyze the best models which are capable of forecasting accurately there evolution. We apply the GARCH family models on the exchange rate return in order to obtain the best models for there volatility. Financial time series often exhibit abnormal characteristics, such as: serial correlation, non-stationarity, heteroskedasticity, asymmetric and are leptokurtic. Due to these characteristics autoregressive models such as autoregressive (AR), moving average (MA) and autoregressive integrated moving-average (ARIMA) are unable to capture the evolution of financial series, to represent the special characteristic of financial a hole new range of models where developed : generalized autoregressive conditional heteroskedasticity (GARCH), which are taking into account the heteroskedasticity of the errors term. The GARCH model allows for lags in the autoregressive term and in the variance term incorporates lags of the previous variance and also for the errors. The GARCH family has expanded in the last years in order to incorporate for asymmetry (Threshold GARCH, TGARCH) and risk (GARCH -in Mean). We analyze the evolution of exchange rate for: Euro/RON, dollar/RON, yen/RON, British pound/RON, Swiss franc/RON for a period of five years from 2005 till 2011, we observe that in the analyzed period there are 2 sub-periods: 2005-2007 in which the RON appreciated constantly, and 2007-2011 in which the trend is depreciation for RON in respect to all the five currencies and the volatility was sensible higher than in the previous period. We obtain the returns on exchange rate by using the following transformation r=log(curs_t)-log(curs_t-1); the five analyzed series display an leptokurtic and asymmetric behavioral. Using the GARCH, TGARCH and GARCH-in Mean models, we explicit the evolution of volatility throw this period, choosing the best model using the following : minimizing the value of the sum of squared errors, Akaike and Bayesian Information Criterion.
THE CORRELATION BETWEEN THE MARKET RISK AND THE LIQUIDITY RISK IN THE ROMANIAN BANKING SECTOR
Trenca Ioan,Zoicas-Ienciu Adrian
Annals of the University of Oradea : Economic Science , 2010,
Abstract: 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.
Stock returns and their probabilistic distribution (the Bucharest Stock Exchange case)
Trenca I. Ioan,Zoicas - Ienciu Adrian
Annals of the University of Oradea : Economic Science , 2008,
Abstract: Based on a long series of papers analyzing stock returns behavior we can speak generally about the stock exchange as a speculative market in the sense of the stable paretian hypothesis. Still, there are significant differences from a market to another and in many cases biases from normality are too insignificant in order to justify a radical change of approach. This radical change is less needed especially when the aggregating interval of price changes gets big enough, for example if we speak about weakly or monthly returns, cases in which the non normality hypothesis can be accepted in a comfortable way.
ANALYZING THE EUROPEAN MARKET OF INTEREST RATE SWAP INDICES
Trenca Ioan,Mutu Simona,Petria Nicolae
Annals of the University of Oradea : Economic Science , 2012,
Abstract: The interest rate risk is the most important risk that derives from the OTC transactions, taking into consideration both the notional amounts and the market value of the financial derivatives that relies on interest rate contracts. Open positions on interest rate derivatives represents more than 75% of the OTC market. In the European banking market interest rate swaps prices are strongly dependent on the interbank interest rates. In this paper we want to analyze the behavior of the Eoniaswap indices and their impact on the interest rate swaps between banks.
NEW TRENDS CONCERNING OPERATIONAL RISC IN E-BANKING
Ioan TRENCA,Hadrian SILIVESTRU,Dragos PAUN
Scientific Annals of the Alexandru Ioan Cuza University of Iasi : Economic Sciences Series , 2010,
Abstract: Through alternative channels which the bank provides to the customers transactions were con-ducted worthing 18.58 million euros, up 59% over the same period of the last year, according to RomCard, in the first 3 months of 2009. We have tried to summarize below the risks that banks face when they launch an e-banking product type on the market and how they an manage themselves.
CONSIDERATIONS ON MONETARY POLICY HELD BY THE CENTRAL BANK TO ADOPT THE EURO
Trenca Ioan,Paun Dragos,Zoicas-Ienciu Adrian
Annals of the University of Oradea : Economic Science , 2010,
Abstract: The current paper presents some considerations regarding the monetary policy held by the central bank in order to obtain the declared goal of joining the European Monetary Union. The paper refers to the strategies included in the National Accession Plan, and in the Convergence Program established by the National Bank of Romania. Furthermore, the paper presents some of the recent developments and the technical developments.
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