The recent global financial crisis has served as a stark reminder of the crucial role of systematic stress testing of financial institutions' portfolios, particularly, their lending books. In response to the regulatory deficiencies thus revealed, Basel III is seeking to achieve the broader macroprudential goal of protecting the banking sector from periods of excess credit growth by requesting longer horizon default probabilities, downturn loss-given-default measures and improved calibration of risk models.

A Mixture of Markov Chains (MMC) approach is proposed to estimate credit rating migration risk that controls for the business-cycle evolution during the relevant time horizon in order to ensure adequate capital buffers both in good and bad times.

In inflationary environments, companies can avoid paying cash dividends to their shareholders. Instead they give them free shares, referred to as bonus distributions. This issue has not been analysed in previous studies, partly because the inflation in many western countries is relatively low and stable.

In this study, the market valuation of this unusual form of stock dividends was assessed, this was carried out by transferring the accumulated equity reserves, mainly the inflation revaluation equity reserves, to paid-in capital leaving the total equity unchanged.

Investors rebalance their portfolios as their views about expected returns and risk change.

In this study empirical measures of portfolio rebalancing were used to back out investors' views, specifically their views about the state of the economy.

Contrary to many theories of price formation, did trading activity therefore contain information that that is not entirely revealed by resulting relative price changes?

The recent financial turmoil has taken a heavy toll on the global economy and had a devastating effect on public finances. Following the crisis, a number of Southern European countries have found themselves with a problematic public sector.
A team including Dr Manthos Delis, Senior Lecturer in Banking, used data from a number of these countries, including Greece, Italy, Portugal and Spain to provide the first empirical assessment of the dynamic interrelation between government bond spreads and their associated credit default swaps.