Alexandros Garefalakis
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4 publications
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Evaluation of empirical attributes for credit risk forecasting from numerical data
Augustinos I. Dimitras , Stelios Papadakis , Alexandros Garefalakis doi: http://dx.doi.org/10.21511/imfi.14(1).2017.01Investment Management and Financial Innovations Volume 14, 2017 Issue #1 pp. 9-18
Views: 3546 Downloads: 1425 TO CITE АНОТАЦІЯIn this research, the authors proposed a new method to evaluate borrowers’ credit risk and quality of financial statements information provided. They use qualitative and quantitative criteria to measure the quality and the reliability of its credit customers. Under this statement, the authors evaluate 35 features that are empirically utilized for forecasting the borrowers’ credit behavior of a Greek Bank. These features are initially selected according to universally accepted criteria. A set of historical data was collected and an extensive data analysis is performed by using non parametric models. Our analysis revealed that building simplified model by using only three out of the thirty five initially selected features one can achieve the same or slightly better forecasting accuracy when compared to the one achieved by the model uses all the initial features. Also, experimentally verified claim that universally accepted criteria can’t be globally used to achieve optimal results is discussed.
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The effect of Corporate Governance Information (CGI) on banks’ reporting performance
Alexandros Garefalakis , Augustinos I. Dimitras , Christos Lemonakis doi: http://dx.doi.org/10.21511/imfi.14(2).2017.06Investment Management and Financial Innovations Volume 14, 2017 Issue #2 pp. 63-70
Views: 2053 Downloads: 1295 TO CITE АНОТАЦІЯRecent literature on Corporate Annual Reports (CAR) underlines that, in order to meet the changing needs of CAR users, more narrative (forward looking) information should be provided, with a focus on those factors that are liable for longer term value of banks financial performance. This papes investigates the Management Commentary portion (MC) and specifically the effect of Corporate Governance Information (CGI) on banks’ reporting performance mechanisms such as board structure, audit function, bank size and common equity.
Return on Assets (ROA) ratio is used as a proxy to measure financial performance. The data sample comprises of 86 worldwide banks during the period of deep economic crisis (2008-2011). Novelty of the study is the search for the effect of core characteristics of corporate governance on banks’ performance during the financial crisis period. The research uses a Panel Estimated Generalized Least Squares (EGLS) regression model in order to examine the aforementioned effect. The results of this research suggest that boards’ independence strongly supports banks’ efficiency and operations, as well as external audit contributes positively to banks’ efficiency during the crisis period.
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Financial & investment strategies to captivate S&P 500 volatility premium
Alexandros Garefalakis , George Alexopoulos , Michael Tsatsaronis , Christos Lemonakis doi: http://dx.doi.org/10.21511/imfi.14(3).2017.04Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 39-53
Views: 1441 Downloads: 457 TO CITE АНОТАЦІЯSo as to enhance the risk of balanced execution of their portfolios, speculators look to broaden by including new resources, new sorts of monetary instruments or even new resource classes. Like wares, volatility rose as an unmistakable resource class and included the speculation portfolios particularly by multifaceted investments.
This paper examines the volatility premium of S&P 500 record choices and contrasts with different venture methodologies in view of offering alternative structures, for example, straddles and strangles utilizing diverse measures or risk and return. The outcomes demonstrate that the speculation procedures used to catch the instability premium through offering choices structures give higher exhibitions contrasted with the S&P 500 benchmark index.
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