Daniela Zapodeanu - Academia.edu (original) (raw)

Papers by Daniela Zapodeanu

Research paper thumbnail of Backtesting value at risk models in the presence of structural breaks on the Romanian and Hungarian stock

Transactions on financial markets are associated with variability, risk and uncertainty, so quant... more Transactions on financial markets are associated with variability, risk and uncertainty, so quantification of risk has a great importance. Beside Standard Deviation and Variance, one of the most involved risk measure methods is Value-at-Risk (VaR). In this study, we use daily return for the stock index from Romania (BET) and Hungary (BUX) for the 01:2007-02:2013 periods in order to test the influence of structural breaks on the VaR metrics. We find out that the ARCH phenomenon is present, so we use the GARCH family models. The structural breaks in the series mean and variance are identified using the Zivot-Andrews test and PELT algorithm, the structural break dates are captured using dummy variables in the GARCH models (struc-GARCH), the selection of models is done using the informational criterion [Akaike, Schwarz, Log-likelihood]. The results of present research show a greater volatility associated with a higher risk level in case of Romanian stock index. The stock market indices return follows a negatively skewed and leptokurtic distributions forms either in two cases, so is unspecific a normal distribution. After applying above mentioned tests we can conclude that there are eight structural breaks in BET index returns variance and there are five breakpoints in case of BUX. The breakpoints in mean show very closely results in time, for BET in February 2009 and for BUX March 2009. Backtesting VaR models are done by measuring the number of times the loss is greater than the VaR forecast. The first step for unconditional coverage testing consists in comparing of fraction of VaR violation for a particular risk model. The independence testing it is very important tool in back-testing, because it is not the same that the VaR violations are differentiated in time or there are clustered in some certain period. By checking the independence test, we have the possibility to discover and reject the model with clustered hit sequence. Testing the influence of structural breaks on VaR we find that incorporating structural breaks in the GJR-GARCH models generates lower violations when comparing with the plain GJR-GARCH or RiskMetrics methodology.

Research paper thumbnail of Considerations On The Strategy Of Commercial Banks In The Context Of The Financial System Development For The Period 2005-2013

Annals of Faculty of Economics, 2017

In this paper we will analyse the strategic changes for the most important banks (228 banks) with... more In this paper we will analyse the strategic changes for the most important banks (228 banks) within the European Union and Switzerland. The (annual) data used are taken from the Bankscope database and cover the period 2005-2013. Particular attention will be paid to analysing the structure of bank resources and placements for the period 2008-2009, in order to capture and understand changes in the assets / liabilities of European banks as a result of the financial crisis. The analysis carried out both in the pre-crisis and post-crisis period will highlight how European banks have responded to the effects of the financial crisis, the speed with which they have adopted new business models, and the difficulties they have faced. The analysis consists of two parts, the first part deals with the similarity of banking assets and liabilities on a sample of 228 banks using the hierarchical cluster method. The second step is to analyse the evolution of the correlation between banking assets and...

Research paper thumbnail of The Necessity Of An Uniform Regulation For The Management Of Banking Risk At The European Level

Annals of Faculty of Economics, 2016

In spite of the fact that both national and international bodies of authorities, such as national... more In spite of the fact that both national and international bodies of authorities, such as national Central Banks, International Monetary Fund, the World Bank, or The Basel Committee have approached risk management, at present there is clear indication that the implementation of Basel III will improve the financial sector stability. The significance of the need to have a unified approach in analyzing risks, especially the credit risk which is the most overwhelming of them all, lay in the fact that risks have the ability to directly affect the financial stability and ultimately lead to systemic risks. In this context, what the economic crisis has done was to highlight the importance of approaching risks with the utmost care. The direct connection between economic growth and banking system (Kyriaki Kosmidou, Pasiouras, & Floropoulos, 2004; Liu, Molyneux, & Wilson, 2013; Perera, Skully, & Chaudrey, 2013) but also the influence that the banking system has on the economic growth (Borio, 20...

Research paper thumbnail of Financial Contagion and Its Transmission Channels Between Piigs Economies

Theoretical and Applied Economics, 2013

This paper identifies the most important similarities between the four PIGS countries: Portugal, ... more This paper identifies the most important similarities between the four PIGS countries: Portugal, Italy, Greece and Spain, in terms of principle macroeconomic indicators in the current crisis. This article also treats the principle transmission channels of sovereign risk and implicitly the financial crises. These transmission channels are the following: increase in sovereign bond yields, critically budgetary position, banks' exposures toward PIIGS economies and other states banks' exposures to sovereign debt of the PIIGS states. Studying the transmission channels of sovereign risk, results that, the European Framework is under institutional reform, but it should be improved in terms of instruments which quantify financial stability and crises prevention.

Research paper thumbnail of The Relation Between Profitability, Capital Requirements And The Structure Of Assets-Liabilities In Banks

Annals of Faculty of Economics, 2016

As a result of the direct connection between the banking system an economic growth and developmen... more As a result of the direct connection between the banking system an economic growth and development it is important to have a clear picture regarding the evolution and stability of the banking sector. Economic shocks and economic cycles influence the stability and resilience of the financial sector, the mainly cyclical nature of the bank sector, raises serious problems for the supervisory institutions, which is one of the reasons why Basel III proposes new instruments in order to create additional capital buffer during the boom period. The level of risk has increased over the levels of 2011-2012 period, due to an increase in the market/liquidity risk and the emerging market risk. There is also an increase in the credit risk, especially in the developed markets the determining factors being a decline in stock prices of banks and a rising in the credit spreads (IMF, 2016).

Research paper thumbnail of The Inflation - Inflation Uncertainty Nexus in Romania

This study explores the causality between inflation and inflation uncertainty in Romania using mo... more This study explores the causality between inflation and inflation uncertainty in Romania using monthly inflation data for the 1996:01-2012:12 period. If inflation uncertainty is defined as being the variance of unpredictable component of inflation then the use of autoregressive conditional heteroskedastic models can capture inflation uncertainty through the conditional variance of inflation. Inflation uncertainty is obtained from a GARCH model, while checking for any structural break in the series we find that there are possible structural breaks. The structural breaks in mean are captured using dummy variables in the AR-GARCH models and the best models are identified using the informational criterion. The influence between inflation uncertainty and inflation is tested using Granger causality. We find bidirectional causality between inflation and inflation uncertainty.

Research paper thumbnail of Applyng The Principles Of Corporate Governance In Central And Eastern European Countries, The National Characteristics And Particularities Of Corporate Governing In The Romanian Economy

Annales Universitatis Apulensis Series Oeconomica, 2010

With direct support of the OECD and the World Bank the East-Central European states have been enc... more With direct support of the OECD and the World Bank the East-Central European states have been encouraged to adopt and implement codes of conduct and corporate governance principles to minimize risk, boost performance, improve business access on stock markets, strengthening the market position of firms, professional management, demonstrating transparency and social responsibility.

Research paper thumbnail of The Level Of The Exchange Rate And The Balance Of Payments, Relations And Influences

Annales Universitatis Apulensis Series Oeconomica, 2008

The level of the exchange rate depends not only on the internal or external purchasing power, but... more The level of the exchange rate depends not only on the internal or external purchasing power, but also on other factors, and the element that synthesizes best the influence of these factors is the balance of payments, more precisely it's position, because the main influential factors of the exchange rate can be found synthesized in the balance of payments-evolution of imports and exports, capital flows under the form of direct investments or portfolio investments, etc. Because of the conception form of the balance of payments, it offers an easy way of reporting the economic course.

Research paper thumbnail of Linking Money Supply With The Gross Domestic Product In Romania

Annales Universitatis Apulensis Series Oeconomica, 2010

Evolution of money supply and gross domestic product are in a close relationship, in this paper w... more Evolution of money supply and gross domestic product are in a close relationship, in this paper we analysis this relationship in order to construct a function which will explicit this connection for Romania. Evolution of gross domestic product is one with a seasonal component so from the data series we will be eliminating seasonality with the X-12 ARIMA method. Analyzing the data of money supply (M3) and of GDP over ten years through the Augmented Dickey-Fuller we obtained that both series are non-stationary. Applying the co-integration analysis method Engle-Granger we conclude that the two series have a cointegration relationship between them. We will propose a model explanation of the link between the two sets of data type, a DVAR model.

Research paper thumbnail of The Impact of Financial Crisis on the Banking Sector from the Alm Perspectives

Revista Economica, 2014

The effects of the financial crisis on the banking sector and the economies are one of the main t... more The effects of the financial crisis on the banking sector and the economies are one of the main topic of research in the literature, usually in the framework of bank-specific or macroeconomic determinants on the profitability in this paper we adopt a different approach and analyses the performance of the banking sector from the point of view of the management of assets and liabilities in the banking sector. The structure of the assets-liabilities and the connections with the profitability brings new information regarding the most performant strategies used by the banks, using a panel of 22 European countries we find high differences in profitability between the North and South countries.

Research paper thumbnail of Testing the Presence of Structural Break in the Euro Exchange Rate Variance

Procedia Economics and Finance, 2015

We investigate the presence of structural breaks in the e and how does it influence the Value at ... more We investigate the presence of structural breaks in the e and how does it influence the Value at Risk metrics. W euro/yen for the 01:1999-09:2013 in order to test the inf break in the series mean and variance are identified using dummy variables in the GARCH models, the selection Schwarz, Log-likelihood]. We find evidence of structural series over the 1999-2013 period, we test the performanc and find that structural GARCH models outperforms whe

Research paper thumbnail of An Arch Model of Romanian Exchange Rate

After the accession to the European Union our country has experienced massive capital inflows tha... more After the accession to the European Union our country has experienced massive capital inflows that have affected the evolution of the exchange rate. Looking at the exchange rate we observe a break in the national currency appreciation due to the economic crisis, the series are heteroskedastic and asymmetric. For the modeling of exchange rate series we use a time series

Research paper thumbnail of The Corporate Governance of Public Entities in Romania

The paper aims to examine the application of principles of corporate governance fortransparency a... more The paper aims to examine the application of principles of corporate governance fortransparency and efficiency of decision and control at the level of local public entities. We intend toargue the importance of these principles of governance in the public entities to determineresponsibility and management decision-making bodies in achieving the objectives in terms ofreliability of financial reporting, effectiveness and efficiency of

Research paper thumbnail of Comparing Smoothing Technique Efficiency in Small Time Series Datasets after a Structural Break in Mean

Studies in Computational Intelligence, 2014

Using daily RON/EURO exchange rate data for the 01:2005 to 03:2013 period we test the presence of... more Using daily RON/EURO exchange rate data for the 01:2005 to 03:2013 period we test the presence of structural break using the Zivot-Andrews test and PELT algorithm. After the identification of structural breaks we generate small time series consisting of 10, 30 observations starting from the moment of the break and apply the following smoothing techniques: simple moving average, exponential moving average, a Grey model GM(1,1). We identify the best smoothing techniques using sum of squared errors (SSE) and mean relative error (MRE), in small samples GM(1,1) over-performed the moving average and the exponential moving average smoothing techniques.

Research paper thumbnail of Backtesting value at risk models in the presence of structural breaks on the Romanian and Hungarian stock

Transactions on financial markets are associated with variability, risk and uncertainty, so quant... more Transactions on financial markets are associated with variability, risk and uncertainty, so quantification of risk has a great importance. Beside Standard Deviation and Variance, one of the most involved risk measure methods is Value-at-Risk (VaR). In this study, we use daily return for the stock index from Romania (BET) and Hungary (BUX) for the 01:2007-02:2013 periods in order to test the influence of structural breaks on the VaR metrics. We find out that the ARCH phenomenon is present, so we use the GARCH family models. The structural breaks in the series mean and variance are identified using the Zivot-Andrews test and PELT algorithm, the structural break dates are captured using dummy variables in the GARCH models (struc-GARCH), the selection of models is done using the informational criterion [Akaike, Schwarz, Log-likelihood]. The results of present research show a greater volatility associated with a higher risk level in case of Romanian stock index. The stock market indices return follows a negatively skewed and leptokurtic distributions forms either in two cases, so is unspecific a normal distribution. After applying above mentioned tests we can conclude that there are eight structural breaks in BET index returns variance and there are five breakpoints in case of BUX. The breakpoints in mean show very closely results in time, for BET in February 2009 and for BUX March 2009. Backtesting VaR models are done by measuring the number of times the loss is greater than the VaR forecast. The first step for unconditional coverage testing consists in comparing of fraction of VaR violation for a particular risk model. The independence testing it is very important tool in back-testing, because it is not the same that the VaR violations are differentiated in time or there are clustered in some certain period. By checking the independence test, we have the possibility to discover and reject the model with clustered hit sequence. Testing the influence of structural breaks on VaR we find that incorporating structural breaks in the GJR-GARCH models generates lower violations when comparing with the plain GJR-GARCH or RiskMetrics methodology.

Research paper thumbnail of Considerations On The Strategy Of Commercial Banks In The Context Of The Financial System Development For The Period 2005-2013

Annals of Faculty of Economics, 2017

In this paper we will analyse the strategic changes for the most important banks (228 banks) with... more In this paper we will analyse the strategic changes for the most important banks (228 banks) within the European Union and Switzerland. The (annual) data used are taken from the Bankscope database and cover the period 2005-2013. Particular attention will be paid to analysing the structure of bank resources and placements for the period 2008-2009, in order to capture and understand changes in the assets / liabilities of European banks as a result of the financial crisis. The analysis carried out both in the pre-crisis and post-crisis period will highlight how European banks have responded to the effects of the financial crisis, the speed with which they have adopted new business models, and the difficulties they have faced. The analysis consists of two parts, the first part deals with the similarity of banking assets and liabilities on a sample of 228 banks using the hierarchical cluster method. The second step is to analyse the evolution of the correlation between banking assets and...

Research paper thumbnail of The Necessity Of An Uniform Regulation For The Management Of Banking Risk At The European Level

Annals of Faculty of Economics, 2016

In spite of the fact that both national and international bodies of authorities, such as national... more In spite of the fact that both national and international bodies of authorities, such as national Central Banks, International Monetary Fund, the World Bank, or The Basel Committee have approached risk management, at present there is clear indication that the implementation of Basel III will improve the financial sector stability. The significance of the need to have a unified approach in analyzing risks, especially the credit risk which is the most overwhelming of them all, lay in the fact that risks have the ability to directly affect the financial stability and ultimately lead to systemic risks. In this context, what the economic crisis has done was to highlight the importance of approaching risks with the utmost care. The direct connection between economic growth and banking system (Kyriaki Kosmidou, Pasiouras, & Floropoulos, 2004; Liu, Molyneux, & Wilson, 2013; Perera, Skully, & Chaudrey, 2013) but also the influence that the banking system has on the economic growth (Borio, 20...

Research paper thumbnail of Financial Contagion and Its Transmission Channels Between Piigs Economies

Theoretical and Applied Economics, 2013

This paper identifies the most important similarities between the four PIGS countries: Portugal, ... more This paper identifies the most important similarities between the four PIGS countries: Portugal, Italy, Greece and Spain, in terms of principle macroeconomic indicators in the current crisis. This article also treats the principle transmission channels of sovereign risk and implicitly the financial crises. These transmission channels are the following: increase in sovereign bond yields, critically budgetary position, banks' exposures toward PIIGS economies and other states banks' exposures to sovereign debt of the PIIGS states. Studying the transmission channels of sovereign risk, results that, the European Framework is under institutional reform, but it should be improved in terms of instruments which quantify financial stability and crises prevention.

Research paper thumbnail of The Relation Between Profitability, Capital Requirements And The Structure Of Assets-Liabilities In Banks

Annals of Faculty of Economics, 2016

As a result of the direct connection between the banking system an economic growth and developmen... more As a result of the direct connection between the banking system an economic growth and development it is important to have a clear picture regarding the evolution and stability of the banking sector. Economic shocks and economic cycles influence the stability and resilience of the financial sector, the mainly cyclical nature of the bank sector, raises serious problems for the supervisory institutions, which is one of the reasons why Basel III proposes new instruments in order to create additional capital buffer during the boom period. The level of risk has increased over the levels of 2011-2012 period, due to an increase in the market/liquidity risk and the emerging market risk. There is also an increase in the credit risk, especially in the developed markets the determining factors being a decline in stock prices of banks and a rising in the credit spreads (IMF, 2016).

Research paper thumbnail of The Inflation - Inflation Uncertainty Nexus in Romania

This study explores the causality between inflation and inflation uncertainty in Romania using mo... more This study explores the causality between inflation and inflation uncertainty in Romania using monthly inflation data for the 1996:01-2012:12 period. If inflation uncertainty is defined as being the variance of unpredictable component of inflation then the use of autoregressive conditional heteroskedastic models can capture inflation uncertainty through the conditional variance of inflation. Inflation uncertainty is obtained from a GARCH model, while checking for any structural break in the series we find that there are possible structural breaks. The structural breaks in mean are captured using dummy variables in the AR-GARCH models and the best models are identified using the informational criterion. The influence between inflation uncertainty and inflation is tested using Granger causality. We find bidirectional causality between inflation and inflation uncertainty.

Research paper thumbnail of Applyng The Principles Of Corporate Governance In Central And Eastern European Countries, The National Characteristics And Particularities Of Corporate Governing In The Romanian Economy

Annales Universitatis Apulensis Series Oeconomica, 2010

With direct support of the OECD and the World Bank the East-Central European states have been enc... more With direct support of the OECD and the World Bank the East-Central European states have been encouraged to adopt and implement codes of conduct and corporate governance principles to minimize risk, boost performance, improve business access on stock markets, strengthening the market position of firms, professional management, demonstrating transparency and social responsibility.

Research paper thumbnail of The Level Of The Exchange Rate And The Balance Of Payments, Relations And Influences

Annales Universitatis Apulensis Series Oeconomica, 2008

The level of the exchange rate depends not only on the internal or external purchasing power, but... more The level of the exchange rate depends not only on the internal or external purchasing power, but also on other factors, and the element that synthesizes best the influence of these factors is the balance of payments, more precisely it's position, because the main influential factors of the exchange rate can be found synthesized in the balance of payments-evolution of imports and exports, capital flows under the form of direct investments or portfolio investments, etc. Because of the conception form of the balance of payments, it offers an easy way of reporting the economic course.

Research paper thumbnail of Linking Money Supply With The Gross Domestic Product In Romania

Annales Universitatis Apulensis Series Oeconomica, 2010

Evolution of money supply and gross domestic product are in a close relationship, in this paper w... more Evolution of money supply and gross domestic product are in a close relationship, in this paper we analysis this relationship in order to construct a function which will explicit this connection for Romania. Evolution of gross domestic product is one with a seasonal component so from the data series we will be eliminating seasonality with the X-12 ARIMA method. Analyzing the data of money supply (M3) and of GDP over ten years through the Augmented Dickey-Fuller we obtained that both series are non-stationary. Applying the co-integration analysis method Engle-Granger we conclude that the two series have a cointegration relationship between them. We will propose a model explanation of the link between the two sets of data type, a DVAR model.

Research paper thumbnail of The Impact of Financial Crisis on the Banking Sector from the Alm Perspectives

Revista Economica, 2014

The effects of the financial crisis on the banking sector and the economies are one of the main t... more The effects of the financial crisis on the banking sector and the economies are one of the main topic of research in the literature, usually in the framework of bank-specific or macroeconomic determinants on the profitability in this paper we adopt a different approach and analyses the performance of the banking sector from the point of view of the management of assets and liabilities in the banking sector. The structure of the assets-liabilities and the connections with the profitability brings new information regarding the most performant strategies used by the banks, using a panel of 22 European countries we find high differences in profitability between the North and South countries.

Research paper thumbnail of Testing the Presence of Structural Break in the Euro Exchange Rate Variance

Procedia Economics and Finance, 2015

We investigate the presence of structural breaks in the e and how does it influence the Value at ... more We investigate the presence of structural breaks in the e and how does it influence the Value at Risk metrics. W euro/yen for the 01:1999-09:2013 in order to test the inf break in the series mean and variance are identified using dummy variables in the GARCH models, the selection Schwarz, Log-likelihood]. We find evidence of structural series over the 1999-2013 period, we test the performanc and find that structural GARCH models outperforms whe

Research paper thumbnail of An Arch Model of Romanian Exchange Rate

After the accession to the European Union our country has experienced massive capital inflows tha... more After the accession to the European Union our country has experienced massive capital inflows that have affected the evolution of the exchange rate. Looking at the exchange rate we observe a break in the national currency appreciation due to the economic crisis, the series are heteroskedastic and asymmetric. For the modeling of exchange rate series we use a time series

Research paper thumbnail of The Corporate Governance of Public Entities in Romania

The paper aims to examine the application of principles of corporate governance fortransparency a... more The paper aims to examine the application of principles of corporate governance fortransparency and efficiency of decision and control at the level of local public entities. We intend toargue the importance of these principles of governance in the public entities to determineresponsibility and management decision-making bodies in achieving the objectives in terms ofreliability of financial reporting, effectiveness and efficiency of

Research paper thumbnail of Comparing Smoothing Technique Efficiency in Small Time Series Datasets after a Structural Break in Mean

Studies in Computational Intelligence, 2014

Using daily RON/EURO exchange rate data for the 01:2005 to 03:2013 period we test the presence of... more Using daily RON/EURO exchange rate data for the 01:2005 to 03:2013 period we test the presence of structural break using the Zivot-Andrews test and PELT algorithm. After the identification of structural breaks we generate small time series consisting of 10, 30 observations starting from the moment of the break and apply the following smoothing techniques: simple moving average, exponential moving average, a Grey model GM(1,1). We identify the best smoothing techniques using sum of squared errors (SSE) and mean relative error (MRE), in small samples GM(1,1) over-performed the moving average and the exponential moving average smoothing techniques.