<abstract xmlns="http://www.w3.org/1999/xhtml"> The complex connections, spillovers and feedbacks of the global financial crisis remind how important it is to improve the analysis of risk modeling. This article introduces a new framework for mitigating systemic risk by using a risk-adjusted balance sheet approach. In this regard, the analysis of individual banks in Poland shows potential risk which could threaten all the financial system. Traditional banking models do not adequately measure risk position of financial institutions and cannot be used to understand risk within and between balance sheets in the financial sector. A fundamental subject is that accounting balance sheets do not indicate risk exposures, which are forward-looking. The paper concludes new directions for measuring systemic risk by using Merton’s model. It shows how risk management tools can be applied in new ways to measure and analyze systemic risk in the Polish banking system.</abstract>

Measuring Systemic Risk in the Polish Banking System by Means of the Risk-Based Balance Sheets Method

<abstract xmlns="http://www.w3.org/1999/xhtml"> Subprime crisis which started in the USA in 2007 was the cause of the most significant economic disturbances since the Great Depression in 1930s. Soon it transmitted to other countries, including those in which banks were not engaged in the subprime mortgage market. The crisis hit various sectors of national economies and led to changing of the trends on the stock markets, which are connected to American capital market. In the following article we researched the influence of the American market on the other markets in the context of the financial crisis. Our analysis is based on the results obtained from the multivariate parametric models. Seeing that the data space is high-dimensional, we used GO-GARCH models introduced by van der Weide (2005) and Boswijk and van der Weide (2006).</abstract>

Influence of the American Financial Market on Other Markets During the Subprime Crisis

<abstract xmlns="http://www.w3.org/1999/xhtml"> This article presents a study on the impact of missing objects, untypical objects and the impact of displacing coordinates of the object on the results of normalization in the construction of aggregate measures for ranking socio-economic objects. The study was conducted on simulated data sets generated in order to investigate the properties of normalization methods. This article focuses on the standardization formula responsible for moving the set of objects</abstract>

Properties of Normalization Methods Used in the Construction of Aggregate Measures

<abstract xmlns="http://www.w3.org/1999/xhtml"> The paper presents examples of gas prices modeling in Poland by means of the VAR model (AutoRegression Vector Model). For comparison, the predictions are made for the models estimated by different variations of the generalized least squares method.The analysis is based on gas prices set by the Carpathian Gas Company after 2000 for the tariffs applied for individual customers. Thus, value forecasts were presented for this type of energy for the “ordinary” customers in the light of the existing regulations.</abstract>

Modeling Gas Prices in Poland with an Application of the Vector Autoregression Method (VAR)

<abstract xmlns="http://www.w3.org/1999/xhtml"> This paper presents evidence that Ordinary Least Squares estimators of beta coefficients of major firms and portfolios are highly sensitive to observations of extremes in market index returns. This sensitivity is rooted in the inconsistency of the quadratic loss function in financial theory. By introducing considerations of risk aversion into the estimation procedure using alternative estimators measures of variability we can overcome this lack of robustness and improve the reliability of the results.</abstract>

Selected Robust Methods for Camp Model Estimation

<abstract xmlns="http://www.w3.org/1999/xhtml"> After the disintegration of the Soviet Union several new states were founded, and majority of them created the Commonwealth of Independent States (CIS) while three Baltic states decided about independent path of development so now they are member states of EU.The aim of the paper is to evaluate the level of economic development of 10 countries, that previously were Soviet Union republic. The evaluation procedure is provided applying taxonomic indicators constructed on the basis of 12 variables observed for each country in years 1995-2009. Aggregated measure values are used to classify the investigated states into four classes containing countries with similar level of economic development.</abstract>

Commonwealth of Independent States Economic Development: Multidimensional Comparison of States

<abstract xmlns="http://www.w3.org/1999/xhtml"> Risk plays a significant role in various aspects of financial decision throughout the world financial markets. Beta parameter is one of the commonly used coefficient to estimate the systematic risk associated with stocks. Beta is mostly calculated using single index market model by W. Sharpe.This study examined the beta parameter under bull and bear market conditions on the Warsaw Stock Exchange (WSE). This paper analyses the beta responses for bad and good news for 44 stocks (14 stocks from the WIG20 index and 30 stocks from the mWIG40 index) over the last six years of trading at the WSE. Beta was calculated using monthly returns over the period 2005-2011, separately for the bull and the bear market. Our analysis finds strong evidence that beta is different in bull and bear market phase.</abstract>

University of Finance and Management in Warsaw Pawia 55, 01-030 Warszawa, Poland

University of Lodz Faculty of Economics and Sociology POW 3/5, 90-255 Łódź, Poland

Beta Coefficients of Polish Blue Chip Companies in the Period Of 2005–2011

<abstract xmlns="http://www.w3.org/1999/xhtml"> This paper aims to determine the influence of selected variables on residential property price indices for the European countries, with particular attention paid to Italy and Poland, using a rough set theory and an approach that uses a committee of artificial neural networks. Additionally, the overall analysis for each European country is presented.Quarterly time series data constituted the material for testing and empirical results. The developed models show that the economic and financial situation of European countries affects residential property markets. Residential property markets are connected, despite the fact that they are situated in different parts of Europe.The economic and financial crisis of countries has variable influence on prices of real estate. The results also suggest that methodology based on the rough set theory and a committee of artificial neural networks has the ability to learn, generalize, and converge the residential property prices index.</abstract>

The Impact of Macroeconomic Factors on Residential Property Price Indices in Europe

<abstract xmlns="http://www.w3.org/1999/xhtml"> In the paper the performance of 18 selected European mutual funds is evaluated. Analysis is conducted for 6 samples distinguished from the period 15.09.2006-20.01.2012. Ranking of funds is provided applying the aggregated measures that base on well known Sharpe, Treynor and Jensen ratios and four different markets indexes e.g. Euro STOXX 50, DAX, CAC 40 and FTSE 100. In the composite indicators construction we use 60 classifications of the mutual funds.</abstract>

Measurement of the Efficiency of Mutual Funds Operating on the Pan-European Market

<abstract xmlns="http://www.w3.org/1999/xhtml"> The objective of the hereby paper is the assessment of domestic active asset allocation funds efficiency in the period of 2007-2012, including the comparison of earned return rates against the return rates obtained by other mixed funds, as well as WIG and WIG20 stock exchange indices. Additionally, the purpose of the paper is to analyse the investment policy applied by the above listed funds, carried out based on records included in adequate information prospectuses, and also having considered the investment portfolio compositions presented in annual and 6-month financial reports covering these funds.The assessment of applied investment strategies efficiency is performed based on 12-, 24-, 36-, 48- and 60- month return rates set at the end of 6-month reporting periods. The analysis covered only domestic open-end active asset allocation investment funds included in this group following the definition accepted by Analizy Online investing assets in financial instruments issued by entities, officially seated in Poland or outside Poland and valuating participation units in PLN, which have been operating for at least 24 months from the day of 30th June 2012.</abstract>

The Efficiency of Active Asset Allocation Funds in the Period of Instability at Financial Markets

<abstract xmlns="http://www.w3.org/1999/xhtml"> The aim of the elaboration is to draw attention to selected aspects of credit rating. For that reason, comparison and induction methods were used.The article deals with credit rating and its present importance for the financial market. On that basis, possible scenarios for credit rating importance in the future will be analysed.Nowadays, the credit rating system and credit rating agencies’ behaviour and work quality are discussed worldwide. Therefore, the article can be seen as a voice in the discussion about future architecture of financial market and safety system net.</abstract>

Present and Future Position of Credit Rating

AHEAD OF PRINT

Volume 23 (2023): Issue 2 (December 2023)

Volume 23 (2023): Issue 1 (June 2023)

Volume 22 (2022): Issue 2 (December 2022)

Volume 22 (2022): Issue 1 (June 2022)

Volume 21 (2021): Issue 2 (December 2021)

Volume 21 (2021): Issue 1 (June 2021)

Volume 20 (2020): Issue 2 (December 2020)

Volume 20 (2020): Issue 1 (June 2020)

Volume 19 (2019): Issue 2 (December 2019)

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Volume 18 (2018): Issue 2 (December 2018)

Volume 18 (2018): Issue 1 (June 2018)

Volume 17 (2017): Issue 2 (December 2017)

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Volume 16 (2016): Issue 2 (December 2016)

Volume 16 (2016): Issue 1 (December 2016)

Volume 15 (2015): Issue 2 (December 2015)

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Volume 14 (2014): Issue 2 (December 2014)

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Volume 13 (2013): Issue 2 (December 2013)

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Volume 12 (2012): Issue 2 (December 2012)

Volume 11 (2012): Issue 1 (December 2012)

Volume 10 (2011): Issue 2 (June 2011)

Volume 10 (2011): Issue 1 (January 2011)

Volume 9 (2010): Issue 1 (January 2010)

Volume 8 (2009): Issue 1 (January 2009)

Volume 7 (2008): Issue 1 (January 2008)

Volume 6 (2007): Issue 1 (January 2007)

Folia Oeconomica Stetinensia

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