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The role of the portfolio measurement in actual economic crisis

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Author Info
Covaci, Brindusa () (Universitatea Spiru Haret, Facultatea de Finante si Banci)
Oprea, Cristian Constantin () (Universitatea Spiru Haret, Facultatea de Finante si Banci)
Picu, Alina () (Universitatea Spiru Haret, Facultatea de Finante si Banci)
Rotaru, Alina () (Universitatea Spiru Haret, Facultatea de Finante si Banci)

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Abstract

The main banking operation is lending. Indeed, between banks investments at the first place are credits. For good credits bank have to be visible, especially at stock exchange. In the study of capital markets, the temptation of yield is a forecast great. Many studies and models have tried to discover which is the future trend of banking activity on stock exchange and the interest rates, starting from a set of information from the past that many behavior often includes prices, the PER, capitalization, etc. An interesting theory in this field theory is walking randomly (the random walk hypothesis). The most dificile to manage is the portofolio in crisis conditions. In this sense we propose ARCH models to manage the portofolio quality in crisis conditions for some banks at BSE (Bucharest Stock Exchange).

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File URL: http://mihaicovaci.intercer.org/site/37/ads/015.pdf
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Publisher Info
Paper provided by Universitatea Spiru Haret, Facultatea de Finante si Banci, Centrul de Cercetari Economico-Financiare Avansate in its series Working Papers with number 2009/16.

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Length: 7 pages
Date of creation: 01 Jun 2009
Date of revision:
Handle: RePEc:ris:sphedp:2009_016

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Web page: http://ccefa.spiruharet.ro
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Related research
Keywords: portofolio quality; economic crisis; ARCH model;

Find related papers by JEL classification:
C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Other
C59 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Other

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This page was last updated on 2009-11-17.

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