FM - Economics & Finance

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Analysis of the evolution of meeting requirements imposed by MSCI for the major companies listed on Bucharest Stock Exchange
(Tritonic / Faculty of Management, SNSPA, 2019-10-10) Fleanță, Simona Maria; Anghel, Lucian Claudiu
This paper is an analysis of the evolution of the Romanian candidate companies, based on the Morgan Stanley International Index (MSCI) criteria. The paper will offer a technical analysis on the evolution of Annual Traded Value Ratio (ATVR 12M) levels, Market Capitalization and Free Float Market Capitalization, (Mcap FF), of the Banca Transilvania, OMV Petrom, BRD Group Societe Generale, and Romgaz, companies that in 2017 were the main Romanian candidates to meet MSCI criteria. The paper will take into consideration data from January to December 2018. Based on the updated evolution, the paper is revealing what are the challenges and opportunities that are likely to influence the important Romanian companies’ economic evolution, as well as what measures could be taken to enhance the companies’ evolution and eventually lead them to reaching the minimum ATVR and Market Free Float Capitalization requirements imposed by MSCI. In 2018 a study was made analyzing these companies and the paper addressed the chances of the Romanian Capital Market to be upgraded to Emerging Market status. The study showed that increasing liquidity is the most difficult factor to be achieved by Romanian companies listed on the Bucharest Stock Exchange. Romania has the potential to be upgraded to the Emerging Market status if at least three companies met the minimum requirements, including the Annual Traded Value Ratio, requested by the MSCI. Following a technical analysis using the MSCI methodology, it was found that until the first part of 2018 three companies met the ATVR target of at least 15%, such as Romgaz, Banca Transilvania, BRD Group Societe Generale. OMV-Petrom reached only 12.62%. The company needed an increase in the total volume of the total stock market to bring the ATVR level to at least 15%. As for recommendations, BRD Group Societe Generale needed to increase the Free Float market capitalization by 1.0534% that should reach the minimum required by MSCI USD, 763 mln until mid-2018. Another recommendation, by increasing offer by listing more companies on the Bucharest Stock Exchange and increasing demand by attracting as many retail investors as possible and improving financial literacy, trade volumes would consistently grow. Data was collected from the Bucharest Stock Exchange, Trading Statistics section, and daily reports. This was computed the Annual Traded Value Ratios for 12 months (ATVR 12M) and ATVR for 3 months (ATVR 3M) for each company. The candidate companies included Romgaz, OMV-Petrom, Banca Transilvania, and BRD-Group Societe Generale. The methodology used is in accordance with the MSCI standard calculations.
Artificial systems and models for risk covering operations
(EduSoft Publishing, 2017-09-11) Treapăt, Laurențiu Mihai; Gheorghiu, Anda
Mainly, this paper focuses on the roles of artificial intelligence based systems and especially on risk-covering operations. In this context, the paper comes with theoretical explanations on real-life based examples and applications. From a general perspective, the paper enriches its value with a wide discussion on the related subject. The paper aims to revise the volatilities’ estimation models and the correlations between the various time series and also by presenting the Risk Metrics methodology, as explained is a case study. The advantages that the VaR estimation offers, consist of its ability to quantitatively and numerically express the risk level of a portfolio, at a certain moment in time and also the risk of on open position (in titles, in FX, commodities or granted loans), belonging to an economic agent or even individual; hence, its role in a more efficient capital allocation, in the assumed risk delimitation, and also as a performance measurement instrument. In this paper and the study case that completes our work, we aim to prove how we can prevent considerable losses and even bankruptcies if VaR is known and applied accordingly. For this reason, the universities in Romania should include or increase their curricula with the study of the VaR model as an artificial intelligence tool. The simplicity of the presented case study, most probably, is the strongest argument of the current work because it can be understood also by the readers that are not necessarily very experienced in the risk management field.
The evaluation of the equilibrium exchange rate based on the purchase power, for Romania’s case
(University of Craiova, Faculty of Economics and Business Administration, 2014-06) Anghel, Lucian Claudiu; Pînzaru, Florina; Treapăt, Laurențiu Mihai
The current paper aims to analyse one of the many models of evaluation for the equilibrum rate in an economy. It also briefly presents the main models and methods used in the specialized literature for the evaluation of the equilibrum exchange rate. The utilization of as many methods allows the deciders of monetary and economic policy to accurately ground the moment of one country adhesion to the euro zone. Also, an analysis can be made, whetehr the respective countru is ready and how fast the process of convergence to the Euro zone can devolve. In general, it is recommendable a country not to force de adhesion to the euro zone because the negative effects may occur for a long period of time, leading to a development for the respective economy under its potential.The estimated model in Romania based on data will be afterwards used for estimating the equilibrum rate and for issuing scenarios concerning its future evolution. Usually, the parity at which the national currency should be converted for an unlimited period of time, will also be around the level of the equilibrum rate. From that moment on, after attending the Exchange Rate Mechanism II (ERM II), the respective country’s economy loses an equilibrum buffer – the exchange rate. Starting from that moment, the country’s economy is supposed to be so performant that it absorbs the internal and external negative shocks, only relaying on the fiscal and budget policies. Hence, the particular importance of a correct evaluation for the equilibrum rate by using several models and methods, so that to be as close as possible to the equilibrum level on mid term.
Exploring the sustainable effect of mediational role of brand commitment and brand trust on brand loyalty : an empirical study
(Taylor & Francis Group, 2022-03-13) Suhan, Mendon; Nayak, Smitha; Nayak, Raveendranath; Spulbar, Cristi; Bai, Gokarna Vidya; Birău, Ramona; Anghel, Lucian Claudiu
The study focus on the role of self-expressive branding, brand love, brand trust and brand commitment on brand loyalty. It also identifies the strength of mediating effect of variable brand commitment between brand love and brand trust. Also measures the strength of mediating effect of variable brand commitment between brand trust and brand loyalty. The data is gathered by using a structured questionnaire and a sample size of 101 respondents in a cross-sectional study. Statistical analysis has been done through SMART PLS 3.0 software. In the analysis part, PLS algorithms, bootstrapping, blindfolding, Importance performance matrix, FIMIX, Multi-Group analysis have been undertaken. A reflective model has been developed. The path coefficient value and empirical t-values of all direct relationships of variables above 0.2 and 1.96 respectively and substantiate the hypothesis.
Financial market interconnections analyzed using GARCH univariate and multivariate models
(Bucharest University of Economic Studies , 2022) Anghel, Lucian Claudiu; Zwak Cantoriu, Maria Cristina; Mendon, Suhan; Attila, Gyorgy; Ermiș, Simona Ioana; Trivedi, Jatin
Given that the financial markets are facing the effects of the coronavirus pandemic, we chose to perform an analysis on them, in order to see the transmission of volatility, the effects of the contagion and the interconnection between the financial markets. Using stock indices from different countries and applying theoretical and empirical methods such as univariate and multivariate models (ARCH–GARCH, BEKK), we aim to capture volatility and bidirectional contagion, as well as testing and occurring the phenomenon of clustering volatility and its transmission effect.
Finanțele companiilor în economia de piață : analize și soluții practice
(Tritonic, 2020) Treapăt, Laurențiu Mihai
The work as a whole is composed of two books, it is a balanced combination of theoretical concepts (the first book) and case studies and methods of financial analysis (the second) with a deep financial-banking specificity. Why do you need the first of the books? Because this is the one that explains the abc of corporate finance to you at the level of theoretical, basic concepts that help you build the puzzle. The second book comes naturally and teaches you how to apply theory in practice, gives you the know-how, guides you to practical solutions and methods of financial analysis, the way a bank analyzes the financial statements of a company applying for a loan. Both books emphasize the managerial perspective of the financial aspects of companies, so as to ensure communication between the financial function and all other functions, with a positive impact on the understanding and implementation of the company's development strategy. And the author of these two works, above all, aims to make this academic discipline enjoyable for students and especially to make it easier to assimilate.
Finanțele companiilor în economia de piață : noțiuni teoretice
(Tritonic, 2020) Treapăt, Laurențiu Mihai
Ca de cele mai multe ori, căutând etimologia cuvântului finanțe, constatăm că datorăm și această noțiune strămoșilor noștri latini, care prin cuvintele fiare sau finis, înțelegeau a termina, a încheia un diferend, o acțiune judiciară în legatură cu plata unei sume de bani. De la aceste cuvinte s-a format financia sau financia pecuniaria, adică plata cu ajutorul banilor. Se crede că din aceste cuvinte latinești s-a născut noțiunea finance folosită pentru prima dată în Franța în secolele XV-XVI, (les finances), care avea mai multe înțelesuri, pornind de la patrimoniul public, până la resursele private ale firmelor sau omului simplu. Ambele cărți accentuează perspectiva managerială a aspectelor financiare ale companiilor, astfel încât să asigure comunicarea între funcțiunea financiară si toate celelalte funcțiuni, cu impact pozitiv asupra înțelegerii și implementării strategiei de dezvoltare a firmei. Și își mai propune ceva autorul acestor două lucrări, mai presus de orice, își propune să facă această disciplină academică plăcută studenților și mai ales să o facă mai ușor de asimilat. Lucrarea în ansamblul său este compusă din două cărți, ea este o combinație echilibrată a conceptelor teoretice (prima carte) și a unor studii de caz și metode de analiză financiară (cea de-a doua) cu un profund specific financiar-bancar.
Fixing the central parity and the evolution of the currency within the exchange rate mechanism II in the countries that joined the Euro Zone
(Faculty of Management, SNSPA, 2013-06) Anghel, Lucian Claudiu; Pînzaru, Florina; Dinu, Mihaela; Treapăt, Laurențiu Mihai
The present paper aims to briefly present the models used by the countries that joined the Euro zone after 2000, in fixing the central parity and the evolution of the local currency towards Euro, when participating in Exchange Rate Mechanism II (ERM II). In this respect, the paper intends to synthesize the main theories for determining the equilibrium exchange rate, as well as to present the modality of putting them into practice in the countries that had already become members of the Euro zone. The better we know the other countries’ experience in the respect of the joining process to the Euro zone, the better will Romania be able to prepare itself for adopting the unique European currency. Thus, we will be synthesize the main approaches within the specialized literature and also in the economic policy deciders’ practice concerning the estimation of the equilibrium exchange rate and implicitly, of the central parity. The paper presents the modality of fixing the central parity and the experience of participating in ERM II for a number of member states that joined the Euro zone after 2000: Greece, Slovakia, Slovenia, Malta, Cyprus and Estonia. For these states, we will analyze both the evolution of the currency towards Euro while participating in ERM II. Starting from these concrete examples, we will explain the advantages and the disadvantages in fixing the central parity over/at/under the value of the exchange rate on the market at the moment of joining to ERM II and we will underline the problems that might occur in the case of choosing a central parity that is not compatible with the equilibrium value of the exchange rate.
The impact of disturbances on the US stock market’s spread and investor sentiment through the perspective of risk management
(Faculty of Management (SNSPA), 2023-03-21) Zwak Cantoriu, Maria Cristina; Anghel, Lucian Claudiu; Ermiș, Simona Ioana
The paper aims to address a topic of interest, namely: the influence and effect of the major disruptions from recent years on one of the largest important stock markets. The purpose of the paper is to show the influence of these disruptions on the US stock market, considering market efficiency and measuring the estimated Bid-Ask spread. Using daily and weekly data sets over a period of 13 years, based on the closing stock prices of 10 companies listed in the category of the NASDAQ and NYSE stock indexes and calculating the return at (t) and (t+1) for each stock, the covariance of the two returns at (t) and (t+1) and using at t and (t+1) a "rolling window" of 21 days, which represents the trading days, as well as using the weekly data series in the same way, we obtained the relationship between the spread measurement and its size, a strong negative cross-sectional relationship, for which we performed a series of statistical tests summarized in the paper. Later, we split the data for each year separately so that we’d be able to use for each year a cross-sectional regression of the spread over the logarithmic values of the size and we noticed that there is a strong negative relationship between the two of them. According to the results obtained, it can be observed that the strongest negative correlations are in 2019and 2021 in the case of data with daily frequency and 2020, and 2021 in the case of data with weekly frequency, for an informationally efficient market, where transaction costs are zero and in which the market price contains all the relevant information. The strongly negative correlations recorded can be explained by the fact that strong negative influences took place during these periods, which contributed to the disruption of the stock market and not only. At the same time, these negative correlations on the stock market analyzed in the last period also show a wider spread increase which theoretically shows low liquidity.
Investigating financial opportunities for traditional clothing industry in South Asia based on an analysis of internationally diversified portfolio using ARCH and GARCH models
(The National Research-Development Institute for Textile and Leather (INCDTP) , 2022) Zulfiqar, Imran Ali; Birău, Ramona; Spulbar, Cristi; Anghel, Lucian Claudiu; Ejaz, Abdullah; Criveanu, Radu Cătălin
This paper investigates the benefits of forming an internationally diversified portfolio in the stock markets of Bangladesh,India and Pakistan using the stock market indices data from April 2013 to March 2020. The portfolio comprises of three stock market indices from Pakistan, India and Bangladesh. The goal is to identify financial opportunities for traditional clothing industry in South Asia. Bangladesh, India and Pakistan are neighbouring countries in South Asia. Tradition, culture and specific ethnic elements influence traditional clothing in the case of the selected country cluster consisting of Bangladesh, India and Pakistan. Our empirical results indicate that internationally diversified portfolio does not reduce change in conditional variance is followed by large changes in conditional variance whereas small change in conditional variance is followed by small changes in conditional variance.
Learning from financial practice
(Lambert Academic Publishing, 2015) Treapăt, Laurențiu Mihai; Anghel, Lucian Claudiu; Gheorghiu, Anda; Ivan, Ion
This book aims to address a wider target audience in comparison with the one that each of its component works used to address. The four works that make this book belong to several highly professional specialists in the financial field, each of them with more than 20 years of practice behind. Their papers are the result of an outstanding experience in the financial-banking field but also of their teaching and research activity until now. Consequently, these works were published in academic journals and communicated within international conferences. For this reason, the main beneficiaries of these papers were professors, researches and also students, as usual participants to these activities and events. Our wish is to share the practical experience of these specialists to an even wider public, not only to thus make it more marketable in bookshops and libraries. Source: Lambert Academic Publishing - https://www.lap-publishing.com/catalog/details/store/gb/book/978-3-659-56323-2/learning-from-financial-practice?search=Learning%20from%20Financial%20Practice
Management measures for a multivalent risk administration in the top Romanian bank
(Vilnius University, 2016-10-30) Treapăt, Laurențiu Mihai
The lethargy that laid over the economy in the years of crisis was also reflected in the banking system, where the non-performance loans punctually even exceeded the level of 25%. Although the macroeconomic situation got better in present, the lending activity had a low sensitivity, remaining in the negative area between 2014 and 2015 as well. Due to this, the weight of the net banking assets within the GDP decreased, reaching the level this indicator had in 2007, this way the banking system turning back in time, to the level before Romania's adhesion to the European Union.
Managementul şi asigurarea riscurilor bancare in România
(Editura Economica, 2011) Treapăt, Laurențiu Mihai
Classic risk management solutions coexist with the latest trends in the field, because they are well known from the relevant experience, as a practitioner and also as a researcher, of the author. The applicative relevance of the book is indisputable both for young people who are studying, still in university, but also for professionals at the beginning of their career, masters', doctoral students, whether it is a career in sales, in the financial area, or any other kind of company, which in one way or another are interested in the relationship between risk and corporate brand.
Manual de studii de caz şi bune practici bancare
(Tritonic, 2013) Treapăt, Laurențiu Mihai
Market risk management : modelling the distribution of losses using Romanian securities
(MDKE. Faculty of Management (SNSPA), 2021-10-20) Zwak Cantoriu, Maria Cristina; Anghel, Lucian Claudiu; Ermiș, Simona Ioana
Market risk with its major components, such as the risk of interest rate instruments, currency risk, and risk related to stock and commodity investigations, represents the risk of losses in balance sheet and off-balance sheet positions, resulting from negative market price movements. Portfolios of instruments traded for short-term profits, called trading portfolios, are exposed to market risk or risk of loss, resulting from changes in the prices of instruments, such as stocks, bonds, and currencies. This paper, through theoretical and empirical methods, assesses risk by using the probability distribution of daily variations in government bond yields. Long-term government securities in most cases have a higher return due to the higher level of risk assumed regarding changes in risk factors such as interest rates, which, when raised above a certain threshold, cause a price decrease, which illustrates the price sensitivity to long-term bonds. Using Value at Risk as the main element for determining the maximum possible loss on investment in a trading book, as well as statistical tests to measure the similarity between two or more distributions such as the KolmogorovSmirnov test, Anderson -Darling or Chi-squared, we identified the most representative theoretical probabilistic distribution both for the value of losses and for the frequency of risk events. At the same time, the most used distributions to manage the market risk by advanced methods and, of course, the distributions used in this paper, were Weibull and Pareto (including the generalized form), as well as other distributions, because they better capture the asymmetry in queues and the presence of thick tails. Modeling the distribution of losses requires choosing from a set of probable distributions, the one with the highest log-likelihood.
A microcredit evaluation model for non-bank financial institutions
(Emerald Publishing Limited, 2020-10-20) Leon, Ramona Diana; Treapăt, Laurențiu Mihai; Stan, Sergiu Octavian; Gheorghiu, Anda
The paper aims to develop a microcredit evaluation model (MEM) which could serve as a useful tool for banks and NBFIs when SMEs’ economic and financial risks are evaluated. Design/methodology/approach: Based on the literature review, a set of 17 qualitative and quantitative prudential indicators is selected. Further, a calculation system is developed which relies on the multiple criteria analysis model elaborated by Altman (1968); starting from this, a matrix is developed and a rating system is built. The model is tested among six NBFIs which operate on the Romanian market; three of them are labeled by the Romanian Central Bank as the worst performers, while the other ones are qualified as the best performers. Data are collected from companies’ annual reports and also from the Ministry of Finance. Findings: It proves that the MEM can serve as a useful tool for the national and international NBFIs’ risk assessment. It can anticipate NBFIs’ success or fall. Furthermore, its results can be guaranteed with a probability of 95 per cent, calculated through the VaR method. Last but not least, it can also be used by the international NBFIs which intend to enter in the Romanian market. Originality/value: The present paper proposes an original model based on both quantitative and qualitative indicators organized in an integrative equation. The MEM helps both parties involved in the financial grant awarding process – NBFIs are able to better assess requests from SMEs, enabling them to increase the volume of granting, whereas SMEs are able to access money for development projects more easily.
The mitigation of the risk exposures through insurance - English and Romanian bilingual edition
(Tritonic, 2022) Treapăt, Laurențiu Mihai; Drăgănescu, Elena Corina
The incertitude has become the new certitude, fake-news at every step, a state of generalized stress and helplessness indicates us the ”dusk” of an ideology that was the base of the curent society and that seems to be outfashioned in the complicated present. On such background, we can see the emergence of a new economy, based on knowledge and ideas, an economy of knowledge and "immediate application", in which research and innovation can be an antidote against crises only on the condition that the proposed solutions to be implemented, if possible, right from the testing phase. All these experiences we all are going through, bring irrevocable changes supported by applied technology, put into practice from now on by organizations and people who, from the knowledge process to implementation, do not even have time to blink.
Modificările disruptive ale lanțurilor de aprovizionare în contextul pandemiei de COVID-19
(Tritonic, 2021) Rugiubei, Radu
Romanian capital market : on the road toward an emergent market status
(Tritonic / Faculty of Management, SNSPA, 2018-10-11) Mihalcea, Alina Daniela; Anghel, Lucian Claudiu
Capital markets have become one of the drivers of economy growth in frontier and emerging economies and Romanian case is no exception. Bucharest Stock Exchange is the second capital market in Central and Eastern Europe by the number of IPO successfully concluded in 2017 and is the sixth in terms of the largest return among world capital markets. In recent years, Romania’s capital market has made significant efforts in order to upgrade to the emergent market status in terms of development of market infrastructure, increasing the accessibility and attractiveness of the Romanian capital market through listing of public and private IPO’s. Our research is focused on a quantitative approach – content analysis, by taking into consideration the ratings of FTSE Russell and MSCI considering Romania’s country classification. The results of our study indicate that despite the positive changes, Romania’s rating as a frontier market implies a set of challenges that Romania must face in order to become an emergent capital market: free and well-developed equity market- market accessibility and facilities for international investors and liquidity. A very important criterion for Romania to achieve the emergent capital market status is represented by listing new public (such as Hidroelectrica and the National Company Bucharest Airports) & private IPO. The evolution of BET and BET–TR as compared with the evolution of CDS over 2007-2017 shows that BVB is very sensitive to the country risk, which also influences foreign capital investments.
Some challenges the management confronts with, in the financial institutions
(Faculty of Management, SNSPA, 2014-02-05) Treapăt, Laurențiu Mihai; Anghel, Lucian Claudiu
In this paper, we analyze some features and components of the management in general, and of the management in the financial area in particular. Special attention is given to how they cope with some risk which could affect their activity. Trying to find from practice what kind of difficulties the management faces in their work, for sure, we get to interesting conclusions and furthermore, to optimum solutions. We already have some data, result of some earlier preoccupations of the specialists (Dănilă and Berea, 2000 pp.39-48) while others can be foreseen as specific elements for the beginning of the 3rd millennium, that started with what the rating agencies seem to admit as the most important economic decline and prolonged recession risk within the post World War II history. We consider an evaluation of the challenges the management confronts with, lately - while subject to pressures and to the need for radical changes that come with an astonishing speed and that are enhanced by the shareholders’ desperate need to protect their capital. Findings reveal that, in any business enterprise the shareholders’ strategy and the management’s objectives are earning new clients, enlarging the market share, creating added value and on these bases, maximizing the gained profits. We consider that the volatile and fluctuant nature of the raw material the banks operate with - namely the money – turn the management in this area into a particular one, depicted by some specific features, which we analyze in the following pages.

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