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Bunčić, Daniel

Works: 33 works in 60 publications in 5 languages and 214 library holdings
Genres: Dictionaries  Bibliography  Conversation and phrase books  Criticism, interpretation, etc 
Roles: Author, Editor, Thesis advisor
Classifications: PG3827, 400
Publication Timeline
Publications about Daniel Bunčić
Publications by Daniel Bunčić
Most widely held works by Daniel Bunčić
Iter philologicum : Festschrift für Helmut Keipert zum 65. Geburtstag ( Book )
5 editions published in 2006 in German and held by 45 libraries worldwide
Rozmova = Besěda : das ruthenische und kirchenslavische Berlaimont-Gesprächsbuch des Ivan Uževyč : mit lateinischem und polnischem Paralleltext by Noël de Berlemont( Book )
3 editions published in 2005 in German and Church Slavic and held by 28 libraries worldwide
Equilibrium Credit The Reference Point for Macroprudential Supervisors by Daniel Bunčić( Book )
5 editions published in 2013 in English and Undetermined and held by 18 libraries worldwide
Equilibrium credit is an important concept because it helps identify excessive credit provision. This paper proposes a two-stage approach to determine equilibrium credit. It uses two stages to study changes in the demand for credit due to varying levels of economic, financial and institutional development of a country. Using a panel of high and middle-income countries over the period 1980-2010, this paper provides empirical evidence that the credit-to-GDP ratio is inappropriate to measure equilibrium credit. The reason for this is that such an approach ignores heterogeneity in the parameters that determine equilibrium credit across countries due to different stages of economic development. The main drivers of this heterogeneity are financial depth, access to financial services, use of capital markets, efficiency and funding of domestic banks, central bank independence, the degree of supervisory integration, and experience of a financial crisis. Countries in Europe and Central Asia show a slower adjustment of credit to its long-run equilibrium compared with other regions of the world
Macroprudential Stress Testing of Credit Risk A Practical Approach for Policy Makers by Daniel Bunčić( Computer File )
8 editions published between 2011 and 2012 in English and Undetermined and held by 8 libraries worldwide
Drawing on the lessons from the global financial crisis and especially from its impact on the banking systems of Eastern Europe, the paper proposes a new practical approach to macroprudential stress testing. The proposed approach incorporates: (i) macroeconomic stress scenarios generated from both a country specific statistical model and historical cross-country crises experience; (ii) indirect credit risk due to foreign currency exposures of unhedged borrowers; (iii) varying underwriting practices across banks and their asset classes based on their relative aggressiveness of lending; (iv) higher correlations between the probability of default and the loss given default during stress periods; (v) a negative effect of lending concentration and residual loan maturity on unexpected losses; and (vi) the use of an economic risk weighted capital adequacy ratio as the relevant outcome indicator to measure the resilience of banks to materializing credit risk. The authors apply the proposed approach to a set of Eastern European banks and discuss the results
Rozmova, besěda : das ruthenische und kirchenslavische Berlaimont-Gesprächsbuch des Ivan Uževyč by Ivan Uževyć( Book )
2 editions published in 2005 in Latin and Russian and held by 7 libraries worldwide
Rozmova das ruthenische und kirchenslavische Berlaimont-Gesprächsbuch des Ivan Uževyč ; mit lateinischem und polnischem Paralleltext = Besěda by Ivan Uževyć( Book )
1 edition published in 2005 in Latin and held by 5 libraries worldwide
Mutual fund style, characteristic-matched performance benchmarks and activity measures : a new approach by Daniel Bunčić( Book )
3 editions published in 2010 in English and held by 4 libraries worldwide
Forecasting the Yield Curve by Christian Scheitlin( file )
1 edition published in 2014 in English and held by 1 library worldwide
The goal of this thesis is to forecast the US Treasury yield curve. In order to do so, the yield curve will first be modeled by the Nelson-Siegel (1987) method with the Diebold and Li (2006) extension and then forecasted. The data used is provided by Gürkaynak, Sack, and Wright (2006). The large dataset consists of fitted yields of US Treasury bonds. The conclusion of this thesis is that there is evidence that the Diebold and Li (2006) method can be applied to the dataset used. The forecasting results show mostly the correct change in direction of the yield curve but lack accuracy. The forecasting ability is quite well considering that the model does not include any macro-economic factors which are proven to influence the yield curve largely according to the results by Diebold, Piazzesi, and Rudebusch (2005)
Yield Curve Modelling Near-Cointegrated VAR(p) Approach to Measuring Term Premia by Lenn Krüger( file )
1 edition published in 2014 in English and held by 1 library worldwide
The extent and stability of long-run relationship between stock prices : evidence from the U.S., the U.K. and Australia by Daniel Bunčić( file )
1 edition published in 2005 in English and held by 1 library worldwide
The Impact of Macro-Economic Variables on Non-Performing Loans by Michael Gabathuler( file )
1 edition published in 2011 in English and held by 1 library worldwide
The aim of this thesis is to model the impact of macro-economic variables on NPLs, a generalized least squares model as well as a Arellano Bond model are estimated. The models are estimated with annual panel data for 216 countries, covering the period of 2000-2010. My findings suggest that an increase in GDP growth, foreign exchange rate, the amount of credit given to the private sector, the money- and quasi money growth rate lower the ratio of NPLs. An increase in the inflation rate, the unemployment rate and the real lending interest rate lead to higher ratio NPL ratios
A contemporary analysis of stock price linkages between the U.S., the U.K. and Australia by Daniel Bunčić( Book )
1 edition published in 2001 in English and held by 1 library worldwide
The Role of Portfolio Weighting for Fund Manager Performance Evaluation by Theo Suellow( file )
1 edition published in 2011 in English and held by 1 library worldwide
The fund industry manages trillions of Dollars in assets. It is thus important to understand whether fund managers add value for their investors. This thesis focuses on the role of portfolio weighting analysis for improving on fund manager performance evaluation. I start explaining the measures for portfolio weighting analysis proposed by previous researchers and outline their strengths and weaknesses. I focus mainly on the measures based on equal and value weighting, which were developed by Eggins (2006) and Block and French (2002). I find serious flaws in some of these measures and present evidence that puts in doubt the practical value of past research. In a second step I question the premises of Block and French's work and propose new ways of using the developed weighting measures. I find that a significant amount of funds is closely following equal weighting strategies, while almost none apply value weighting. It turns out, that equal weighting has no detrimental effect on fund performance as measured by Sharpe ratios. During this process I also develop a simple measure to check for portfolio weighting ability
The Role of Factor Models in Forecasting the Equity Premium by Martin Tischhauser( file )
1 edition published in 2014 in English and held by 1 library worldwide
We investigate the ability of latent factor models to predict the U.S. equity premium in a predictive regression framework. Academic research studies largely bivariate relationships of a narrow set of economic, financial, or technical variables. Our paper extends these approaches by including information from the well known Stock and Watson macroeconomic dataset via a latent factor model. Furthermore, we apply Akaike's information criterion and adaptive LASSO to select the specific factors which are then included in the predictive regression. Additionally, we do forecast combination and introduce an economically motivated positivity restriction on the forecasts. In our out-of-sample analysis we find an increased predictive ability when we include the broad set of macroeconomic variables, in particular via forecast combination. Further, we show that the predictive regression models which include factors as predictors do exhibit forecasting ability but that the results are not robust to the selection of the sample period
Themenheft: Südslavische Phraseologie ( Book )
1 edition published in 2009 in German and held by 1 library worldwide
Time Series Models of Interest Rates by Maurice Witschi( file )
1 edition published in 2011 in English and held by 1 library worldwide
This thesis delineates the ATSM NCVAR(3) model, an affine term structure model (ATSM), as introduced by Jardet, Monfort and Pegoraro. Hence, a general derivation of an ATSM is presented. In addition, the thesis summarizes some concepts from time series analysis which are needed to illustrate the suitability of the ATSM NCVAR(3) model: Chapter 3 discusses unit root tests, leg length criteria, cointegration and forecasting. Chapter 4 introduces the Kalman filter. The study demonstrates that the ATSM NCVAR(3) model provides relatively good estimates of long-term forecasts compared with some standard benchmarks. I argue that the superiority of the ATSM NCVAR(3) generated long-run forecasts stem from the model's ability to adopt to regime switches. However, the short-run forecasts from the Nelson-Siegel framework tend to outperform those from the ATSM NCVAR(3)
Risk and return of hedge funds by Brian Klic( file )
1 edition published in 2013 in English and held by 1 library worldwide
The master thesis measures risk and return of diverse hedge fund indices that were retrieved from the HFRX database. Fung and Hsieh [2001, 2004] were able to replicate the characteristics of the excess returns from their hedge fund indices with seven risk factors. We add further factors to their model and regress them on the excess returns of our eight fund indices in order to compute estimates from OLS, Monte Carlo, Bootstrapping and Bayesian methods
Integracija inostrannych slov iz evropejskich jazykov v kirillice i latinice by Daniel Bunčić( file )
1 edition published in 2003 in Russian and held by 0 libraries worldwide
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English (23)
German (17)
Latin (2)
Russian (2)
Church Slavic (1)
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