New Articles – Finance

How to hedge extreme risk of natural gas in multivariate semiparametric value-at-risk portfolio?

Dejan Živkov, Boris Kuzman, Jonel Subić

The COVID-19 pandemic and the war in Ukraine have caused huge price changes in the natural gas market. This paper tries to minimise the extreme risk of natural gas, making two sixasset portfolios, where gas is combined with five developed and emerging European stock indices. We observe extreme risk from the aspect of classical parametric Value-at-Risk measure, but we also propose a new approach and optimise portfolios with semiparametric VaR as a target. Estimating the equicorrelation of t he…

DOI (& full text): doi.org/10.15240/tul/001/2023-3-008 more

Multilateral development banks – Strategic actors in the new economy?

Dan Costin Niţescu, Valentin Murgu, Simona Beatrice Manolache

The paper addresses the role of multilateral development banks in the new economic paradigm, built in the context of multiple crises with global impact. Multilateral development banks, in their capacity as promoters of governments’ policies are “invited/expected” to play a key role in the new geopolitical architecture, holding a competitive advantage in the provision of finance, which is linked to the design and implementation of structural reforms and programs of strengthening institutions…

DOI (& full text): doi.org/10.15240/tul/001/2023-3-009 more

Strategic management, scenario analysis and competitive advantage analysis: New opportunities for anti-money laundering system reform

Serhiy Lyeonov, Yurii Bilan, Olha Kuzmenko, Olena Krukhmal, László Vasa

The article identifies and mathematically substantiates vectors of reforming the financial monitoring system based on the synergistic approach in the cross-country context by developing scenarios by selecting internal and external factors that stimulate money laundering. The key external and internal factors of the money laundering process intensification are indicated. Competitive advantages of the anti-money laundering processes, the achievement of which is possible in terms of key external…

DOI (& full text): doi.org/10.15240/tul/001/2023-2-009 more

Investors’ reactions on the publication of integrated reports. Evidence from European stock markets

Bianca Raluca Bădițoiu, Roxana Ioan, Valentin Partenie Munteanu, Alexandru Buglea

The last decades brought to stock market investors’ attention several key issues regarding companies’ activity, besides the financial statements. These issues, such as environmental, social, or corporate governance policies are nowadays included in integrated reports issued by many listed companies worldwide. Although these topics seem to currently attract a high interest in the media, our study’s aim is to determine whether the listed firms’ release of Integrated Reports has any bearing on the…

DOI (& full text): doi.org/10.15240/tul/001/2023-2-010 more

How competitive is SRI in developing financial markets: The case of Central and Eastern Europe

Ana Ivanisevic Hernaus, Davor Zoricic, Denis Dolinar

This study investigates the competitiveness of sustainable and responsible investment (SRI) in Central and Eastern European (CEE) financial markets. Specifically, we examined whether a statistically significant measurable difference in the return and volatility between an SRI index and two conventional benchmark indices in the CEE region exists. To test whether the market volatility may affect the results, we applied a Markov regime-switching model to examine the performance in high and low…

DOI (& full text): doi.org/10.15240/tul/001/2023-2-011 more