Rethinking valuation and pricing models: lessons learned from the crisis and future challenges
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2013
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| Umfang: | XXXIII, 622 S. graf. Darst. |
| ISBN: | 9780124158757 |
Internformat
MARC
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| 020 | |a 9780124158757 |9 978-0-12-415875-7 | ||
| 035 | |a (OCoLC)851167889 | ||
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| 245 | 1 | 0 | |a Rethinking valuation and pricing models |b lessons learned from the crisis and future challenges |c ed. by Carsten Wehn ... |
| 264 | 1 | |a Amsterdem [u.a.] |b Elsevier [u.a.] |c 2013 | |
| 300 | |a XXXIII, 622 S. |b graf. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
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| 856 | 4 | 2 | |m Digitalisierung UB Bamberg - ADAM Catalogue Enrichment |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027507570&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
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Datensatz im Suchindex
| _version_ | 1819358549297332224 |
|---|---|
| adam_text | CONTENTS
Foreword
............................................................................................................xix
Editors................................................................................................................xxi
Contributors
.....................................................................................................xxiii
Chapter
1
The Effectiveness of Option Pricing Models During
Financial Crises
....................................................................................1
Gamillo
Lento and Nikola Gradojevic
1.1.
Introduction
...............................................................................1
1.2.
Methodology
.............................................................................4
1.3.
Data
............................................................................................6
1.4.
Results
.......................................................................................7
1.5.
Concluding Remarks
..............................................................10
Chapter
2
Taking Collateral into Account
.......................................................13
Messaoud Chibane, Yi-Chen Huang and Jayaprakash Selvaraj
2.1.
Introduction
.............................................................................13
2.2.
Notations and Problem
..........................................................14
2.3.
Black-Scholes Partial Differential Equation in
the Presence of Collateral
.....................................................15
2.4.
Collateral Discount Curve Bootstrapping
............................16
2.5.
Pricing and Bootstrapping of the
IR
Vanilla Swap
Term Structure
.......................................................................18
2.6.
European Swaption Pricing Framework
..............................20
2.7.
Collateral Effect and Term-Structure Models
......................22
2.8.
Conclusion
..............................................................................24
Chapter
3
Scenario Analysis in Charge of Model Selection
......................27
Péter Dobránszky
3.1.
Introduction to Model Risk
....................................................27
3.2.
Classical Calibration Procedure
............................................30
VÍ
CONTENTS
3.3.
Processes, Dynamics
and Model Definition........................
32
3.4.
Importance of Risk
Premia
....................................................
33
3.5.
Equity Volatility Modeling
.....................................................
35
3.6.
Foreign Exchange Volatility Modeling
.................................38
3.7.
Conclusions
.............................................................................
41
Note.....
....................................................................................
42
Chapter
4
An Economical Pricing Model for Hybrid Products
.................43
Rosa Cocozza and Antonio
De Simone
4.1.
Introduction
.............................................................................43
4.2.
Pricing Convertible Bonds
.....................................................45
4.3.
Two-Factor Numerical Procedure
.........................................50
4.4.
Default Risk
.............................................................................54
4.5.
Pricing Convertible Bonds Subject to Interest Rate
Risk and Default Risk
.............................................................55
4.6.
Conclusion
..............................................................................57
Note
.........................................................................................58
Chapter
5
Credit Valuation Adjustments
-
Mathematical
Foundations, Practical Implementation and Wrong
Way Risks
.............................................................................................61
Marcus R. W. Martin and Stefan Reitz
5.1.
Introduction
......................................................................... 61
5.2.
Mathematical Foundations of CVA
......................................62
5.3.
Practical Implementation: Issues and (Wrong Way)
HlSKS
..............................................
cc
5.4.
Model Risks in CVA Calculation
...........................................73
5.5.
Summary and Prospects
............................. 74
Notes
..................................................
CONTENTS
VII
Chapter
6
Counterparty Credit Risk and Credit Valuation Adjustments
(CVAs) for Interest Rate Derivatives
-
Current Challenges
for CVA Desks
......................................................................................77
Birgitta
Drwenski,
Jochen Beißer
and
Lutz
Mangels
6.1.
Introduction
.............................................................................78
6.2.
Traditional Counterparty Risk Management
Approaches
.............................................................................79
6.3.
Modeling Credit Exposure and Pricing CCR
.......................80
6.4.
New Challenges and Reactions
............................................88
6.5.
Practical Problems
..................................................................95
6.6.
Conclusions and Lessons Learned
.......................................97
Chapter
7
Designing a Counterparty Risk Management Infrastructure
for Derivatives
.....................................................................................99
Matthieu
Maurice
7.1.
Need for an Integrated Counterparty Risk
Management
........................................................................100
7.2.
Building Blocks for an Adequate Infrastructure
...............104
7.3.
General Computing Approach
...........................................107
7.4.
Trade Assessment
...............................................................115
Notes
.....................................................................................117
Chapter
8
A Jump-Diffusion Nominal Short Rate Model
.........................119
Sami Attaoui
and Pierre Six
8.1.
Introduction
..........................................................................119
8.2.
The Economy
.......................................................................120
8.3.
Equilibrium Interest Rates and Monetary Policy
.............125
8.4.
A Nominal Interest Rate Model
.........................................129
8.5.
Conclusion
...........................................................................133
Appendix: Proof of Proposition
2......................................133
Acknowledgments
...............................................................134
VIU
CONTENTS
Chapter
9
The Widening of the Basis: New Market Formulas for
Swaps, Caps and Swaptions
.........................................................
Fabio Mercurio
9.1.
Introduction
..........................................................................
9.2.
Assumptions on the Discount Curve
................................138
9.3.
Fra
Rates: Definition and Pricing
.......................................139
9.4. 1RS
Valuation
.......................................................................
140
9.5.
Pricing of Caplets and Swaptions
.....................................141
9.6.
Conclusions
Chapter
10
The Financial Crisis and the Credit Derivatives
Pricing Models
................................................................................147
Jean-Claude Gabillon, Laurent Germain and Nicolas Nalpas
10.1.
Introduction
......................................................................147
10.2.
Brief Description of Credit Derivatives
..........................149
10.3.
CDO Pricing Models and the Financial Crisis
...............154
10.4.
Conclusion: Risk
Premia
and Asset Pricing Models
.... 173
Chapter
11
Industry Valuation-Driven Earnings Management
..................177
Tao Jiao, Gerard Mertens and Peter
Roosenboom
11.1.
Introduction
...........................................................,..........177
11.2.
Literature Review and Hypotheses Development
........178
11.3.
Data and Variables
...........................................................181
11.4.
Empirical Tests and Results
...........................................185
11.5.
Conclusion
........................................................................188
Chapter
12
Valuation of Young Growth Firms and Firms in Emerging
Economies
....................................................................
Wolfgang
Breuer
and Klaus Mark
12.1.
Introduction
..............................................
12.2.
The Basic Problem
................................................
194
CONTENTS
ІХ
12.3. Data
and Numerical Procedure......................................
196
12A
Results
...............................................................................199
12.5.
Conclusion
........................................................................206
Chapter
13
Towards a Replicating Market Model for the US Oil
and Gas Sector
................................................................................207
John Simpson and Goknur Buyukkara
13.1.
Introduction
......................................................................207
13.2.
Model
................................................................................209
13.3.
Data
...................................................................................211
13.4.
Preliminary Analysis and Results
..................................212
13.5.
Main Results
.....................................................................216
13.6.
Conclusion
........................................................................218
Chapter
14
Measuring Systemic Risk from Country Fundamentals:
A Data Mining Approach
..............................................................223
Roberto Savona and
Marika Vezzoli
14.1.
Introduction
......................................................................223
14.2.
Financial Crises and Leading Indicators
.......................225
14.3.
Financial Crises and Risk Signals
..................................227
14.4.
Analysis and Results
.......................................................232
14.5.
Conclusions
......................................................................238
Chapter
15
Computing Reliable Default Probabilities
in Turbulent Times
.........................................................................241
Dean Fantazzini and Mario
Maggi
15.1.
Introduction
......................................................................241
15.2.
Brief Review of the KMV-Merton Model
.......................243
15.3.
Brief Review of the ZPP Model
......................................245
15.4.
Empirica!
Analysis
...........................................................247
15.5.
Conclusion
........................................................................252
X
CONTENTS
Chapter
16
Discount Rates, Default Risk and Asset Pricing
in a Regime Change Model
.........................................................
Z57
Pu
Chen and
Willi Semmler
16.1.
Introduction
......................................................................
257
16.2.
Proxy for Discount Rates from a Regime Change
Model
................................................................................
260
16.3.
Leveraging, Risk
Premia
and Asset Prices using
Brownian Motions
...........................................................264
16.4.
Discount Rates, Risk
Premia
and Asset Prices in a
Dynamic Model
................................................................269
16.5.
Results of the Numerical Study
.....................................274
16.6.
Conclusions
......................................................................280
Chapter
17
A Review of Market Risk Measures and Computation
Techniques
.......................................................................................283
Kasirga Yildirak and Cumhur Ekinci
17.1.
Introduction
......................................................................283
17.2.
Market Risk, Portfolio Value and Returns
.....................284
17.3.
Market Risk Factors and Portfolio Value
.......................286
17.4.
Major Market Risk Measures and Their
Computation Methods
....................................................287
17.5.
Backtesting
of Market Risk Computation Methods
......298
17.6.
Conclusion
........................................................................299
Appendix: Stochastic Processes Used in Finance
........299
Chapter
18
High-Frequency Performance of Value at Risk and
Expected Shortfall: Evidence from ISE30 Index
Futures
..................................................................... 303
Cumhur Ekinci, Kasirga Yildirak and
Ali Sabri
Taylan
18.1.
Introduction
18.2.
Literature
CONTENTS
XI
18.3. Market and Data...............................................................306
18.4.
Methodology
....................................................................306
18.5.
Empirical Results
.............................................................307
18.6.
Conclusion
........................................................................311
Notes
.................................................................................314
Chapter
19
A Copula Approach to Dependence Structure
in Petroleum Markets
....................................................................317
Riadh Aloui,
Mohamed
Safouane Ben
Aïssa
and
Due Khuong Nguyen
19.1.
Introduction
......................................................................317
19.2.
Empirical Methodology
...................................................318
19.3.
Data and Results
..............................................................321
19.4.
Conclusion
........................................................................328
Chapter
20
Mistakes in the Market Approach to Correlation:
A Lesson For Future Stress-Testing
...........................................331
Massimo
Morini
20.1.
Introduction
......................................................................331
20.2.
From Flat Correlation towards a Realistic
Approach
..........................................................................333
20.3.
Payoff Stress and the Liquidity Mistake
........................338
20.4.
Testing with Historical Scenarios and the
Concentration Mistake
....................................................345
20.5.
Lessons for Future Stress-Testing
.................................355
Notes
..................................................................................357
Chapter
21
On Correlations between a Contract and Portfolio
and Internal Capital Allocation
..................................................359
Sergei Esipov
21.1.
Introduction
......................................................................359
21.2.
Adding a Deal to a Company Portfolio
.........................361
XU CONTENTS
21.3.
Example: Correlated Power-Law Distributions
.............363
21.4.
Formula for the Quantile Shift
.......................................364
21.5.
Quantile Shift Under Secondary Uncertainty
...............367
21.6.
Capital Allocation by Average Shortfall
........................368
21.7.
Evolution of Quantiles in Portfolio
Aggregation
......................................................................369
21.8.
Static and Dynamic Capital Allocation
..........................370
21.9.
Conclusion
........................................................................372
Chapter
22
A Maximum Entropy Approach to the Measurement
of Event Risk
....................................................................................375
Marco Bee
22.1.
Introduction
......................................................................375
22.2.
Theory and Methods
.......................................................376
22.3.
Empirical Analysis
...........................................................379
22.4.
Conclusions
......................................................................384
Chapter
23
Quantifying the Unquantifiable: Risks Not in Value
at Risk
................................................................................................387
Carsten
S. Wehn
23.1.
Introduction and Motivation
...........................................387
23.2.
Regulatory Developments and Requirements
.............389
23.3.
Examples of Different Products and Risk
Factors
...............................................................................391
23.4.
Approaches to Quantifying Risks not in VaR
...............394
23.5.
Treatment within the Internal Capital Adequacy
Process
..............................................................................395
23.6.
Conclusion and Outlook
................................ 397
Notes
.................................................................................397
CONTENTS XIII
Chapter
24
Active Portfolio Construction When Risk and Alpha
Factors are Misaligned
.................................................................399
Ralph Karels and Michael Sun
24.1.
Introduction
......................................................................399
24.2.
Framework for Active Portfolio Construction
...............400
24.3.
Misalignment of Risk and Alpha Models
......................402
24.4.
Portfolio Optimization with Alpha Decomposition
......404
24.5.
Mitigation for Alpha and Risk Factor Misalignment....
405
24.6.
Case Studies
.....................................................................408
24.7.
Conclusion
........................................................................409
Chapter
25
Market Volatility, Optimal Portfolios and Naive
Asset Allocations
............................................................................411
Massimiliano Caporin and Loriana Pelizzon
25.1.
Introduction
......................................................................411
25.2.
Mean and Variance Forecasts
........................................413
25.3.
Investment Sets
...............................................................416
25.4.
Performance Evaluation
..................................................417
25.5.
Results from the Full Sample-Analysis
.........................418
25.6.
Rolling Performance Evaluation and Market
Volatility
............................................................................421
25.7.
Conclusions
......................................................................426
Chapter
26
Hedging Strategies with Variable Purchase Options
............429
Manuel Moreno and Javier F.
Navas
26.1.
Introduction
......................................................................429
26.2.
Description of the Product
..............................................431
26.3.
Pricing and Hedging Bounded VPOs
.............................433
26.4.
Conclusions
......................................................................441
Acknowledgments
............................................................442
XIV
CONTENTS
Chapter
27
Asset Selection Using a Factor Model and Data
Envelopment Analysis
-А
Quantile Regression
· 443
Approach
...........................................................................................
™
David E. Allen, Abhay Kumar Singh and Robert J. Powell
27.1.
Introduction
......................................................................
27.3.
Data and Methodology
....................................................
450
27.4.
Discussion of Results
......................................................452
27.5.
Conclusion
........................................................................453
Chapter
28
Tail Risk Reduction Strategies
....................................................457
Lerby M. Ergun and Philip A. Stork
28.1.
Introduction
......................................................................457
28.2.
Data and Methodology
....................................................459
28.3.
Empirical Results
.............................................................460
28.4.
Conclusion
........................................................................469
Chapter
29
Identification and Valuation Implications of Financial
Market Spirals
.................................................................................471
Pankaj K. Jain, Ajay K. Mishra and Thomas H. Mclnish
29.1.
Introduction
......................................................................471
29.2.
Literature Review
.............................................................472
29.3.
Darà
and Descriptive Statistics
.......................................474
29.4.
Results
...............................................................................479
29.5.
Conclusion
........................................................................482
Chapter
30
A Rating-Based Approach to Pricing Sovereign
Credit Risk
........................................................................................485
Marco Rossi and
Gabriele Zinna
30.1.
Introduction
................................................................ 485
30.2.
Literature Review and Methodology
.............................487
30.3.
Dataset
.........................................................
4g9
30.4.
Transition Matrices Estimation
.............................. 439
CONTENTS
XV
30.5.
Asset Pricing
.....................................................................492
30.6.
Conclusions
......................................................................498
Notes
.................................................................................499
Chapter
31
Optimal Portfolio Choice, Derivatives and Event Risk
..........501
Matthias Muck and Stefan
Weisheit
31.1.
Introduction
......................................................................501
31.2.
Model
................................................................................503
31.3.
Parameter Estimation
......................................................507
31.4.
Optimal Portfolios
............................................................509
31.5.
Conclusion
........................................................................516
Chapter
32
Valuation and Pricing Concepts in Accounting
and Banking Regulation
...............................................................519
Christopher Kullmann
32.1.
Introduction
......................................................................519
32.2.
Accounting
........................................................................520
32.3.
Banking Regulation
.........................................................526
32.4.
Critical Assessment
.........................................................528
32.5.
Conclusion
........................................................................529
Chapter
33
Regulation, Regulatory Uncertainty and the Stock
Market: The Case of Short Sale Bans
.......................................531
Abraham Lioui and Michelle Sisto
33.1.
Introduction
......................................................................531
33.2.
Classical Models: Theoretical Models of
Constraining Short Sales
................................................533
33.3.
Empirical Evidence Prior to the
2008
Financial
Crisis
..................................................................................535
33.4.
Empirical Evidence from and Since the Financial
Crisis of
2008....................................................................539
33.5.
Future Challenges
............................................................542
XVI
CONTENTS
Chapter
34 Quantitative
Easing,
Financial
Risk
and Portfolio Diversification
........................................................
54!>
Modena
Matteo, Lossani Marco and Borello
Giuliana
34.1.
Introduction
......................................................................
545
34.2.
Financial Markets and Macro-Finance Indicators
Before and After
2006.....................................................549
34.3.
Risk Aversion, Risk
Premia
and the Discounting
Process
..............................................................................
558
34.4.
Concluding Remarks
.......................................................566
Chapter
35
Revisiting Interest Rate Pricing Models from an Indian
Perspective: Lessons and Challenges
.......................................571
Rituparna Das and Michael C.S. Wong
35.1.
Introduction
......................................................................571
35.2.
Success and Lessons
......................................................572
35.3.
Challenges
........................................................................574
35.4.
Conclusion
........................................................................582
Chapter
36
Investment Opportunities in Australia s Healthcare
Stock Markets After the Recent Global Financial Crisis
.....585
Jonathan Penm, Betty Chaar and
Rebekán
Moles
36.1.
Introduction
......................................................................585
36.2.
Patterned Vecm Modeling and Causality
Measurement
...................................................................589
36.3.
Data and Empirical Vecm Findings
................................593
36.4.
Conclusion
...................................................................... 597
Chapter
37
Predicting ASX Health Care Stock Index Movements
After the Recent Financial Crisis Using Patterned
Neural Networks
........................................................ 599
Jonathan Penm, Betty Chaar, Rebekah Moles and Jack Penm
37.1.
Introduction
.................................................
37.2.
Construction of a Polynomial Neural Networks
Using a Patterned
VAR
.........................................
602
CONTENTS XVII
37.3. Data
and Empirical Sparse-Patterned
VAR
Findings...
605
37.4.
Conclusion
........................................................................609
Index
.................................................................................................................611
|
| any_adam_object | 1 |
| author2 | Wehn, Carsten 1975- |
| author2_role | edt |
| author2_variant | c w cw |
| author_GND | (DE-588)130317764 |
| author_facet | Wehn, Carsten 1975- |
| building | Verbundindex |
| bvnumber | BV042066814 |
| classification_rvk | QK 620 |
| ctrlnum | (OCoLC)851167889 (DE-599)HBZHT017439355 |
| dewey-full | 332.63221 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.63221 |
| dewey-search | 332.63221 |
| dewey-sort | 3332.63221 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV042066814 |
| illustrated | Not Illustrated |
| indexdate | 2024-12-20T17:01:23Z |
| institution | BVB |
| isbn | 9780124158757 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-027507570 |
| oclc_num | 851167889 |
| open_access_boolean | |
| owner | DE-473 DE-BY-UBG |
| owner_facet | DE-473 DE-BY-UBG |
| physical | XXXIII, 622 S. graf. Darst. |
| publishDate | 2013 |
| publishDateSearch | 2013 |
| publishDateSort | 2013 |
| publisher | Elsevier [u.a.] |
| record_format | marc |
| spellingShingle | Rethinking valuation and pricing models lessons learned from the crisis and future challenges Preismodell (DE-588)4175626-5 gnd Finanzkrise (DE-588)7635855-0 gnd Kapitalmarkt (DE-588)4029578-3 gnd Wertpapierkurs (DE-588)4065681-0 gnd |
| subject_GND | (DE-588)4175626-5 (DE-588)7635855-0 (DE-588)4029578-3 (DE-588)4065681-0 |
| title | Rethinking valuation and pricing models lessons learned from the crisis and future challenges |
| title_auth | Rethinking valuation and pricing models lessons learned from the crisis and future challenges |
| title_exact_search | Rethinking valuation and pricing models lessons learned from the crisis and future challenges |
| title_full | Rethinking valuation and pricing models lessons learned from the crisis and future challenges ed. by Carsten Wehn ... |
| title_fullStr | Rethinking valuation and pricing models lessons learned from the crisis and future challenges ed. by Carsten Wehn ... |
| title_full_unstemmed | Rethinking valuation and pricing models lessons learned from the crisis and future challenges ed. by Carsten Wehn ... |
| title_short | Rethinking valuation and pricing models |
| title_sort | rethinking valuation and pricing models lessons learned from the crisis and future challenges |
| title_sub | lessons learned from the crisis and future challenges |
| topic | Preismodell (DE-588)4175626-5 gnd Finanzkrise (DE-588)7635855-0 gnd Kapitalmarkt (DE-588)4029578-3 gnd Wertpapierkurs (DE-588)4065681-0 gnd |
| topic_facet | Preismodell Finanzkrise Kapitalmarkt Wertpapierkurs |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027507570&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT wehncarsten rethinkingvaluationandpricingmodelslessonslearnedfromthecrisisandfuturechallenges |