in this paper, we have examined abrupt changes in volatility of tepix index in tehran stock exchange during august 23, 2010 to june 12, 2014. applying the iterated cumulative sum of squares (icss) algorithm proposed by inclan and tiao (1994) and the modified version of this algorithm consisting kappa 1 and kappa 2 test statistics developed by sansó et al. (2004), we have specified that the dete...

The study investigated the loan repayment, its determinants and socio-economic characteristics of microfinance loan beneficiaries in the Southeast states of Nigeria. It was carried out in three states of the five southeast states. Using a multistage sampling technique, a total of 144 loan beneficiaries in the three segments of MFIs, namely; formal (commercial and development banks); semi-formal...

R ecently, there has been a trend toward loan guarantee programs over other programs that support the credit market. From 1970 to 1998, the real value of outstanding federal loan guarantees rose at an accelerated pace, while the real value of direct loans, the other major government loan program, has remained about the same (see Figure 1). In particular, the Small Business Administration (SBA),...

this paper investigates empirically the effect of volatility of the exchange rate of the u.s. dollar vis-à-vis the euro on u.s. stock market volatility while controlling for a number of drivers of stock return volatility. using a garch(1, 1) model and using weekly data covering the period from the week of january 1, 1999 through the week of january 25, 2010, it is found that the 9/11 terrorist ...

This paper examines if the market rationally prices the loan loss provisions, and the fair value gains and losses of US banks. We also model the discretionary components of loan loss provisions and fair value gains and losses, and test if the discretionary components are priced differently from their non-discretionary counterparts. We find little evidence that the market misprices operating cas...

This paper can be thought of as a companion paper to Van Loan’s The Ubiquitous Kronecker Product paper [23]. We collect and catalog the most useful properties of the Kronecker product and present them in one place. We prove several new properties that we discovered in our search for a Stochastic Automata Network preconditioner. We conclude by describing one application of the Kronecker product,...

This paper presents a novel model of the lending process that takes into account that loan officers must spend time and effort to originate new loans. Besides generating predictions on loan officers’ compensation and its interaction with the loan review process, the model sheds light on why competition could lead to excessively low lending standards. We also show how more intense competition ma...

 The aim of this study is to provide an overview the principles IFRS 9 implementation and analyse its impact on Czech banking sector. Unlike previous IAS 39 standard, valid until end 2017, new accounting rules require banks estimate forward-looking expected credit losses (ECL) while considering relevant exposure level information as well available macroeconomic predictions. Due increased compl...

Main duties: Underwriting and processing loan applications; collecting and analyzing information which reflects the credit worthiness of applicant; monitoring loan repayment activities; completing the monthly various financial reports for both loan department and CB.