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Handbook of Computational Finance
Any financial asset that is openly traded has a market price. Except for extreme market conditions, market price may be more or less than a “fair” value. Fair value is likely to be some complicated function of the current intrinsic value of tangible or intangible assets underlying the claim and our assessment of the characteristics of the underlying assets with respect to the expected rate of growth, future dividends, volatility, and other relevant market factors. Some of these factors that affect the price can be measured at the time of a transaction with reasonably high accuracy. Most factors, however, relate to expectations about the future and to subjective issues, such as current management, corporate policies and market environment, that could affect the future financial performance of the underlying assets. Models are thus needed to describe the stochastic factors and environment, and their implementations inevitably require computational finance tools.
Stochastic Modeling and Optimization
This books covers the broad range of research in stochastic models and optimization. Applications presented include networks, financial engineering, production planning, and supply chain management. Each contribution is aimed at graduate students working in operations research, probability, and statistics.
Global Credit Review
This annual publication provides an overview of the most important developments in global credit markets and the regulatory landscape. It covers theoretical and empirical research on credit ratings and credit risk, and reports on recent findings and evolutions of the Risk Management Institute's Credit Research Initiative. The ultimate objective of this publication is to advance the state of research and development in the critical area of credit risk and rating systems. With a distinctive focus on topics related to credit markets and credit risk, this publication will be useful to finance professionals, policy makers and academics with an interest in credit markets.
Advances in Finance and Stochastics
In many areas of finance and stochastics, significant advances have been made since this field of research was opened by Black, Scholes and Merton in 1973. This volume contains a collection of original articles by a number of highly distinguished authors, on research topics that are currently in the focus of interest of both academics and practitioners.
Emerging Market Capital Flows
In a little over one decade, the spread of market-oriented policies has turned the once so-called lesser developed countries into emerging markets. Many forces have been responsible for the tremendous growth in emerging markets. Trends toward market-oriented policies that permit private ownership of economic activities, such as public utilities and telecommunications, are part of the explanation. Corporate restructuring, following the debt crisis of the early 1980's has permitted many emerging market companies to gain international competitiveness. And an essential condition, a basic sea-change in economic policy, has opened up many emerging markets to international investors. This growth in...
The Physical Foundation of Economics
All human activities, including mental activities, are governed by physical laws and are essentially thermodynamic processes. However, current economic theories are not established on these foundations. This pioneering book seeks to develop an analytical theory of economics on the foundation of thermodynamic laws. A unified understanding of economic and social phenomena is presented, an understanding that is much simpler than what mainstream economic theory has to offer. Its aim is to revolutionize thinking in economics and transform social sciences into an integral part of the physical and biological sciences.
Scenario Analysis with the DD-PD Mapping Approach: Stock Market Shocks and U.S. Corporate Default Risk
This paper introduces the quantile regression- based Distance-to-Default to Probability of Default (DD-PD) mapping, which links individual firms’ DD to their real world PD. Since changes in the DD depend on a handful of parameters, the mapping easily accommodates shocks arising from quantitative and narrative scenarios informed by expert judgment. At end-2020, risks from stock market corrections in the U.S. are concentrated in the energy, financial and technology sectors, and additional bank capital needs could be large. The paper concludes discussing uses of the mapping beyond PD valuation suitable for capital structure analysis, credit portfolio management, and long-term scenario planning analysis.
Global Credit Review - Volume 4
Global Credit Review is an annual publication that provides an overview of the most important developments in global credit markets and the regulatory landscape. The fourth volume covers theoretical and empirical research on credit ratings and credit risk, and reports on recent findings and evolutions of the RMI Credit Research Initiative. The ultimate objective of this publication is to advance the state of research and development in the critical area of credit risk and rating systems. With a distinctive focus on topics related to credit markets and credit risk, this publication will be of interest to finance professionals, policy makers and academics with an interest in credit markets.
The Evolving Role of China in the Global Economy
China is now the world's second largest economy and may soon overtake the United States as the world's largest. This book offers a systematic analysis of four factors in China's rapid economic growth: exchange rate policy, savings and investment, monetary policy and capital controls, and foreign direct investment.
Contingent Convertibles [Cocos]: A Potent Instrument For Financial Reform
Contingent Convertibles (CoCos) represent debt that is subject to being converted automatically into common equity under pre-specified terms of conversion if the chosen regulatory capital ratio falls to a level triggering conversion. CoCos are that subspecies of contingent capital that references regulatory (Basel III) concepts in its triggers. From 2014, trigger points are set by common equity (Common Equity Tier 1 [CET1]) in percent of risk-weighted assets [RWA] or of more complicated measures of total exposure to a variety of risks, particularly credit risk. This is the first comprehensive book on CoCos, an innovative instrument that has attracted growing attention since it was first issu...
