Grzegorz Mentel

Compatibility of Market Risk Measures

An important element of everyday financial decisions is to assess the scale of the risk of investing in various financial products. Knowledge on the degree of risk of the activities undertaken in this field allows a certain predictability about the negative effects that may occur. This is of great importance in the context of aversion to risk, and thus a better allocation of resources. A multitude of market risk measures is substantial and in addition they provide information about the risk of investment considered in a different perspective and form. A very interesting issue is the scale compatibility of these measures. It is important whether such measures to the same extent define the scale of risk and whether any signals about the dangers overlap in time. The above considerations based on the value at risk and so-caled RiskGrade have become a contribution to the creation of this publication.

Modeling Gas Prices in Poland with an Application of the Vector Autoregression Method (VAR)

Abstract The paper presents examples of gas prices modeling in Poland by means of the VAR model (AutoRegression Vector Model). For comparison, the predictions are made for the models estimated by different variations of the generalized least squares method. The analysis is based on gas prices set by the Carpathian Gas Company after 2000 for the tariffs applied for individual customers. Thus, value forecasts were presented for this type of energy for the “ordinary” customers in the light of the existing regulations.

A Mid-Term Forecast of Maximum Demand for Electricity in Poland

Forecasting of demand for electricity plays an important role in planning of seasonal operations and expansion of power facilities. Power plants must ensure the continuity of supply of energy, without producing the excess due to problems associated with its storage, and at the same time they must be prepared for increased demand e.g. during the periods of cold weather.

Non-Statistical Methods of Analysing of Bankruptcy Risk

Abstract The article focuses on assessing the effectiveness of a non-statistical approach to bankruptcy modelling in enterprises operating in the logistics sector. In order to describe the issue more comprehensively, the aforementioned prediction of the possible negative results of business operations was carried out for companies functioning in the Polish region of Podkarpacie, and in Slovakia. The bankruptcy predictors selected for the assessment of companies operating in the logistics sector included 28 financial indicators characterizing these enterprises in terms of their financial standing and management effectiveness. The purpose of the study was to identify factors (models) describing the bankruptcy risk in enterprises in the context of their forecasting effectiveness in a one-year and two-year time horizon. In order to assess their practical applicability the models were carefully analysed and validated. The usefulness of the models was assessed in terms of their classification properties, and the capacity to accurately identify enterprises at risk of bankruptcy and healthy companies as well as proper calibration of the models to the data from training sample sets.

Leadership in Energy Security: Behavioral Patterns and Long-Term Energy Intensity

In contemporary complex and insecure environment, leadership obtains a new additional role. Directions and ultimate goal of leadership emerges as topical field of practice and theory. Focus gradually shifts from a question “what leadership” to another question “leadership for what ultimate aim.” In the presented research, we will tackle one facet of broad area – leadership for sustainable development. Our aim is to discuss what results could be achieved via such important driving force as leadership for energy efficiency. In order to provide insights, the following approach will be adopted. Long-term energy intensity (until the year 2050) in selected countries will be forecasted, ceteris paribus assumption applied. Selection of countries will correspond the aim to compare long-term energy intensity tendencies in currently better developed and less developed European countries. Since the forecasting is based on current technological level of development, we assume that energy intensity change will be determined on behavioral patterns of energy consumption, which are basically determined by strength and efficiency of leadership in energy consumption area. Provided insights will let us generalize on role of leadership in such area as efficient energy use.

Multi-Seasonality in the TBATS Model Using Demand for Electric Energy as a Case Study

Many researchers are familiar with time series forecasting, yet they struggle with specific types of data that require a suitable model of analysis. One such type of data might be seasonality. However, one has to note that most popular models (e.g. ARIMA and exponential smoothing) only account for one seasonality. This article presents the capabilities of the TBATS model which has no seasonality constraints, making it possible to create detailed, long-term forecasts.

Stability analysis of the banking system: a complex systems approach

The present work deals with the stability analysis of a banking system with the structure in the form of Apollonian graph based on such characteristics of the banking system as the modularity and inhomogeneous distribution of banks by degree, on the basis of the extended mean-field Nier model (a static approach based on a simplified balance sheet of assets and liabilities of the bank) which was used to analyze the extent of the process of bankruptcy of banks after the default of one of the banks in the banking system. The obtained results of research of stability of banking systems based on the Apollonian graphs indicate that such characteristics as modularity (i.e. clustering), and the heterogeneity of banks in the structure of the model of banking systems allow them to conform «isomorphous structure» typical of the majority of real social and biological complex adaptive systems.

Evaluation of the effectiveness of investment fund deposits in Poland in a time of crisis

The present publication constitutes an attempt at evaluation of the effectiveness of investment fund deposits at Polish market in the years 20002015. In the paper, a distinction is made between two subperiods, namely, the years before the economic crisis, meaning 2000-2006, and the years of the socalled crisis, meaning 2007-2015. This approach had the goal mainly of evaluating the effectiveness of investment fund deposits in the years of economic slowdown. Conclusions concerning the investment funds are based on a broad range of coefficients and measures used in literature on the subject matter. The multitude of quantitative evaluation criteria of investment funds taken into account in the publication should enable a more precise evaluation of the discussed issue. At the same time, besides the temporal subdivision mentioned above, the authors consider it important to confirm or deny any possible rules or similarities in the indications of the discussed measures. Grouping of the investment funds based on investment effectiveness can be a further advantage.

Small and medium enterprises in the context of regional development and innovations

The current state of economic development and innovations’ support often brings small and medium enterprises (SMEs) at the forefront of government fiscal policy. Various policy measures targeted at SMEs’ support and development necessarily include measures on promotion of innovations within small business. However, despite substantial efforts undertaken by the authorities to increased financial injections into this area, development of innovations by small businesses faces many obstacles. Statistics on the registered small and medium enterprises shows that the sharp rise of entrepreneurship observed in the early 1990s changed for the stagnation towards the end of the decade and sluggish dynamics of the present time. Unfortunately, as practice shows, measures taken so far do not stimulate significant changes in the development of small business. Moreover, differentiation of small businesses between regions is only increasing, as it is manifested through substitution of divergence for convergence. Our paper analyzes the legal framework regulating small business development as well as state of innovations within SMEs so that to identify the main indicators Received: June, 2017 1st Revision: August, 2017 Accepted: October, 2017 DOI: 10.14254/20718330.2017/10-4/20 Journal of International Studies S ci en ti fi c P a pe rs

In search of insolvency among European countries

Abstract The global financial crisis has proven to be one of the worst and most-demanding events ever. According to common understanding, it is highly unlikely for a country to go bankrupt. However, we have seen a number of countries on the verge of bankruptcy, as well as many which have officially gone bankrupt. It is probable that many more will do so in the future. This knowledge has led us to the question: how probable is it that a sovereign might suffer serious solvency problems? The purpose of this study was to apply a multivariate discriminant analysis (MDA) as an effective tool for a recognition and differentiation among defaulted and non-defaulted nations. The performed analysis was based on data up to 2012 for 26 emerging and 20 developed European countries. The results indicated a high predictive power for ‘non-liquid’ macroeconomic variables like import, export, investment, population and GDP ratios, underlining MDA as the most suitable model for insolvency prediction, compared to other popular methods like probit and logit model. But unlike in other studies the debt/lending/revenue ratios were characterised by weak predictive power.