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The role of the portfolio measurement in actual economic crisis

Author

Listed:
  • 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)

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).

Suggested Citation

  • Covaci, Brindusa & Oprea, Cristian Constantin & Picu, Alina & Rotaru, Alina, 2009. "The role of the portfolio measurement in actual economic crisis," Papers 2009/16, Osterreichish-Rumanischer Akademischer Verein.
    • Handle: RePEc:ris:sphedp:2009_016
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    More about this item

    Keywords

    portofolio quality; economic crisis; ARCH model;
    All these keywords.

    JEL classification:

    • C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other
    • C59 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Other

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