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Rethinking Valuation and Pricing Models
It is widely acknowledged that many financial modelling techniques failed during the financial crisis, and in our post-crisis environment many techniques are being reconsidered. This single volume provides a guide to lessons learned for practitioners and a reference for academics. Including reviews of traditional approaches, real examples, and case studies, contributors consider portfolio theory; methods for valuing equities and equity derivatives, interest rate derivatives, and hybrid products; and techniques for calculating risks and implementing investment strategies. Describing new approaches without losing sight of their classical antecedents, this collection of original articles presents a timely perspective on our post-crisis paradigm. Highlights pre-crisis best classical practices, identifies post-crisis key issues, and examines emerging approaches to solving those issues Singles out key factors one must consider when valuing or calculating risks in the post-crisis environment Presents material in a homogenous, practical, clear, and not overly technical manner
The Basel II Risk Parameters
The estimation and the validation of the Basel II risk parameters PD (default probability), LGD (loss given fault), and EAD (exposure at default) is an important problem in banking practice. These parameters are used on the one hand as inputs to credit portfolio models and in loan pricing frameworks, on the other to compute regulatory capital according to the new Basel rules. This book covers the state-of-the-art in designing and validating rating systems and default probability estimations. Furthermore, it presents techniques to estimate LGD and EAD and includes a chapter on stress testing of the Basel II risk parameters. The second edition is extended by three chapters explaining how the Basel II risk parameters can be used for building a framework for risk-adjusted pricing and risk management of loans.
Recent Developments in Fractal Geometry and Dynamical Systems
This volume contains the proceedings of the virtual AMS Special Session on Fractal Geometry and Dynamical Systems, held from May 14–15, 2022. The content covers a wide range of topics. It includes nonautonomous dynamics of complex polynomials, theory and applications of polymorphisms, topological and geometric problems related to dynamical systems, and also covers fractal dimensions, including the Hausdorff dimension of fractal interpolation functions. Furthermore, the book contains a discussion of self-similar measures as well as the theory of IFS measures associated with Bratteli diagrams. This book is suitable for graduate students interested in fractal theory, researchers interested in fractal geometry and dynamical systems, and anyone interested in the application of fractals in science and engineering. This book also offers a valuable resource for researchers working on applications of fractals in different fields.
Complexity Hints for Economic Policy
This book considers the benefits of complexity, suggesting that economists should become a bit less certain in their policy conclusions. A broader range of models would include agent-based models, which use computational power to deal with specification of models that are far beyond analytic solution; and non-linear dynamic stochastic models, many of which are beyond analytic solution, but whose nature can be discovered by a combination of analytics and computer simulations.
Handbook of Experimental Finance
With an in-depth overview of the past, present and future of the field, The Handbook of Experimental Finance provides a comprehensive analysis of the current topics, methodologies, findings, and breakthroughs in research conducted with the help of experimental finance methodology. Leading experts suggest innovative ways of designing, implementing, analyzing, and interpreting finance experiments.
Challenges for Global Macroeconomic Stability and the Role of the G7
In view of the Italian Presidency of the Group of Seven (G7) in 2017, the Istituto Affari Internazionali (IAI) conducted a research project on “Major Challenges for Global Macroeconomic Stability and the Role of the G7” together with a major policy think tank in each of the other G7 member countries: Center for International Governance Innovation (CIGI, Canada); Centre d’Etudes Prospectives et d’Information Internationales (CEPII, France); Kiel Institute for the World Economy (IfW, Germany); Japan Institute for International Affairs (JIIA, Japan); Royal Institute for International Affairs (Chatham House, United Kingdom); Peterson Institute for International Economics (PIIE, United St...
The Handbook of Credit Portfolio Management
Features expertise from an international team of 35 contributors, including Moorad Choudhry, Panikos Teklos, and Tamar Frankel Provides much-needed, timely information for institutional investors and professional portfolio, asset, and hedge fund managers as the fallout from the credit bubble continues to plague the institutional finance sector Includes important discussion of new risk management techniques and standards, including Basel II
European Neighbourhood Policy
The enlarged European Union needs new instruments for exporting stability and change into the fragile regions and countries beyond its borders. That is why the EU is developing and implementing the European Neighbourhood Policy (ENP): a strategic concept which is to enhance the Union’s capability to be a driver of reform – without automatically promising the “golden carrot” of membership to the neighbours. This book provides the reader with information on what ENP wants, how it works and what the prospects of the Union’s cooperation with neighbouring countries are.
Empirical Analysis of the EU Term Structure of Interest Rates
The information about the properties and dynamics of term structure and its modeling hold tremendous interest for financial practitioners and policymakers alike. Accurate forecasting of the term structure of interest rates also plays a very important role for many reasons, particularly for bond portfolio and risk management, hedging derivatives, monetary and debt policy. The present dissertation contains the empirical research for the EU term structure of interest rates. The data analyzed here cover a time series based on the Euro and currencies of other six EU countries. The goal is to examine empirical properties and analyze in-sample and out-of-sample results for corresponding spot rates using 15 competitor GARCH(1,1) models with different distributional assumptions. Alltogether, the work summarizes 1680 x GARCH(1,1) in-sample and over 60000 x GARCH(1,1) out-of-sample estimation results. Moreover, the dissertation consists of 48 figures and 98 tables.
Agent-Based Approaches in Economic and Social Complex Systems VI
Agent-based modeling/simulation is an emergent approach to the analysis of social and economic systems. It provides a bottom-up experimental method to be applied to social sciences such as economics, management, sociology, and politics as well as some engineering fields dealing with social activities. This book includes selected papers presented at the Sixth International Workshop on Agent-Based Approaches in Economic and Social Complex Systems held in Taipei in 2009. We have 39 presentations in the conference, and 14 papers are selected to be included in this volume. These 14 papers are then grouped into six parts: Agent-based financial markets; Financial forecasting and investment; Cognitive modeling of agents; Complexity and policy analysis; Agent-based modeling of good societies; and Miscellany. The research presented here shows the state of the art in this rapidly growing field.
