The role of the portfolio measurement in actual economic crisis
Oprea, Cristian Constantin
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).
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