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Recent Advances in Financial Engineering
This book consists of 11 papers based on research presented at the KIER-TMU International Workshop on Financial Engineering, held in Tokyo in 2009. The Workshop, organised by Kyoto University's Institute of Economic Research (KIER) and Tokyo Metropolitan University (TMU), is the successor to the Daiwa International Workshop on Financial Engineering held from 2004 to 2008 by Professor Kijima (the Chair of this Workshop) and his colleagues. Academic researchers and industry practitioners alike have presented the latest research on financial engineering at this international venue. These papers address state-of-the-art techniques in financial engineering, and have undergone a rigorous selection process to make this book a high-quality one. This volume will be of interest to academics, practitioners, and graduate students in the field of quantitative finance and financial engineering
Finance and Economics Discussion Series
This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work.As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
Calibration of Structural Credit Risk Models
Empirical tests of structural credit risk models typically ignore bond prices when estimating parameters. In this paper we depart from this, examining a calibration of the Collin-Dufresne amp; Goldstein (2001) model to bond prices. Using alternative specifications of a liquidity discount we evaluate the model based on fit to yield spreads and sensitivities to underlying fundamentals, producing a novel approach to evaluating the fit of a credit risk model. When augmenting with a liquidity discount we obtain a very good fit and outperform a two-factor reduced form model. Generally we understate the sensitivity towards changes in the leverage ratio and to a larger degree changes in the short interest rate. For investment grade bonds the model attributes 40% of the yield spread at 5 years of maturity to credit risk, in some agreement with the literature.
An Evaluation of the Base Correlation Framework for Synthetic Cdos
In April 2004, JP Morgan introduced the notion of base correlations, a novel approach to quoting correlations for synthetic CDO tranches, which facilitates a simple relative valuation of off-market tranches. Using a simple intensity based credit risk model we generate 'true' tranche spreads and examine the behavior of the base correlations and the merits of the relative valuation approach. We reach four conclusions: First, even if the true default correlation increases, base correlations for some tranches may actually decrease. Second, we uncover a structural uniqueness problem with the definition of base correlations. Third, in the relative valuation framework expected losses can go negative for steep correlation skews. Fourth, the relative spread errors are small in some segments but can be very large, +/- 10% for mezzanine tranches, the errors changing sign from tranche to tranche.
Schulden ohne Sühne?
«Eine hervorragende Analyse der Schuldenkrise, ihres Entstehens und ihrer Folgen. Dieses Buch wird eines der wichtigsten Bücher des Jahres werden – auch für Nicht-Ökonomen!» Roland Berger, Roland Berger Strategy Consultants Die Staatsschuldenkrise ist zur Schicksalsfrage Europas geworden. Jetzt, da Griechenland und weitere Länder der Eurozone in finanzielle Schwierigkeiten geraten und die Hilfe der Staatengemeinschaft beanspruchen, werden die Weichen für die Zukunft des Euro und damit für das wirtschaftliche Wohl der Menschen in der Europäischen Union gestellt. Die Billionenfalle bedroht alle – Arbeitnehmer, Rentner, Sparer. Ihre Folgen können drastisch sein, vergleichbar mit e...
IBSS: Economics: 2006 Vol. 55
First published in 2007. Routledge is an imprint of Taylor & Francis, an informa company.
