Download or read book Fat Tailed and Skewed Asset Return Distributions written by Svetlozar T. Rachev and published by John Wiley & Sons. This book was released on 2005-09-15 with total page 385 pages. Available in PDF, EPUB and Kindle. Book excerpt: While mainstream financial theories and applications assume that asset returns are normally distributed, overwhelming empirical evidence shows otherwise. Yet many professionals don’t appreciate the highly statistical models that take this empirical evidence into consideration. Fat-Tailed and Skewed Asset Return Distributions examines this dilemma and offers readers a less technical look at how portfolio selection, risk management, and option pricing modeling should and can be undertaken when the assumption of a non-normal distribution for asset returns is violated. Topics covered in this comprehensive book include an extensive discussion of probability distributions, estimating probability distributions, portfolio selection, alternative risk measures, and much more. Fat-Tailed and Skewed Asset Return Distributions provides a bridge between the highly technical theory of statistical distributional analysis, stochastic processes, and econometrics of financial returns and real-world risk management and investments.
Download or read book Three Essays on Financial Markets and Institutions written by Marcos Rietti Souto and published by . This book was released on 2005 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Risk Management Strategic Thinking and Leadership in the Financial Services Industry written by Hasan Dinçer and published by Springer. This book was released on 2016-12-19 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a broad overview of risk management in the banking industry, with a special focus on strategic thinking and decision-making. It reveals the broader context behind decision models and approaches to risk management in the financial industry, linking the regulatory landscape for capital management and risk to strategic thinking, together with behavioral and cultural assessments.
Download or read book Geoffrey Chew Architect Of The Bootstrap written by Lars Brink and published by World Scientific. This book was released on 2021-12-02 with total page 319 pages. Available in PDF, EPUB and Kindle. Book excerpt: This special volume is dedicated to Geoffrey Chew who passed away on April 12, 2019, at age 94. He is best known as the architect and passionate champion of the bootstrap concept, sometimes called nuclear democracy. His work influenced generations of particle physicists. His passion for physics was an inspiration for his many students and associates. From the Chew-Low theory for meson-nucleon scattering to Analytic S-Matrix, Regge Poles, and Bootstrap principle, his originality left its mark in ways that continue to the present. With contributions from Chew's former collaborators, students, and friends, the book will cover various facets of his life and impact on physics.Contributors include Steven Weinberg, Steven Frautschi, Gabriele Veneziano, Peter Landshoff, Carl Rosenzweig, Basarab Nicolescu, William Frazer, David Gross, John Schwartz, Ling-Lie Chau, Chung-I Tan, Richard Brower, Carleton DeTar, R Shankar, David Kaiser, Fritjof Capra, and others.
Download or read book The Known the Unknown and the Unknowable in Financial Risk Management written by Francis X. Diebold and published by Princeton University Press. This book was released on 2010-04-19 with total page 391 pages. Available in PDF, EPUB and Kindle. Book excerpt: A clear understanding of what we know, don't know, and can't know should guide any reasonable approach to managing financial risk, yet the most widely used measure in finance today--Value at Risk, or VaR--reduces these risks to a single number, creating a false sense of security among risk managers, executives, and regulators. This book introduces a more realistic and holistic framework called KuU --the K nown, the u nknown, and the U nknowable--that enables one to conceptualize the different kinds of financial risks and design effective strategies for managing them. Bringing together contributions by leaders in finance and economics, this book pushes toward robustifying policies, portfolios, contracts, and organizations to a wide variety of KuU risks. Along the way, the strengths and limitations of "quantitative" risk management are revealed. In addition to the editors, the contributors are Ashok Bardhan, Dan Borge, Charles N. Bralver, Riccardo Colacito, Robert H. Edelstein, Robert F. Engle, Charles A. E. Goodhart, Clive W. J. Granger, Paul R. Kleindorfer, Donald L. Kohn, Howard Kunreuther, Andrew Kuritzkes, Robert H. Litzenberger, Benoit B. Mandelbrot, David M. Modest, Alex Muermann, Mark V. Pauly, Til Schuermann, Kenneth E. Scott, Nassim Nicholas Taleb, and Richard J. Zeckhauser. Introduces a new risk-management paradigm Features contributions by leaders in finance and economics Demonstrates how "killer risks" are often more economic than statistical, and crucially linked to incentives Shows how to invest and design policies amid financial uncertainty
Download or read book Statistical Consequences of Fat Tails written by Nassim Nicholas Taleb and published by . This book was released on 2020-06-30 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The book investigates the misapplication of conventional statistical techniques to fat tailed distributions and looks for remedies, when possible. Switching from thin tailed to fat tailed distributions requires more than "changing the color of the dress." Traditional asymptotics deal mainly with either n=1 or n=∞, and the real world is in between, under the "laws of the medium numbers"-which vary widely across specific distributions. Both the law of large numbers and the generalized central limit mechanisms operate in highly idiosyncratic ways outside the standard Gaussian or Levy-Stable basins of convergence. A few examples: - The sample mean is rarely in line with the population mean, with effect on "naïve empiricism," but can be sometimes be estimated via parametric methods. - The "empirical distribution" is rarely empirical. - Parameter uncertainty has compounding effects on statistical metrics. - Dimension reduction (principal components) fails. - Inequality estimators (Gini or quantile contributions) are not additive and produce wrong results. - Many "biases" found in psychology become entirely rational under more sophisticated probability distributions. - Most of the failures of financial economics, econometrics, and behavioral economics can be attributed to using the wrong distributions. This book, the first volume of the Technical Incerto, weaves a narrative around published journal articles.
Download or read book Credit Risk written by Georg Bol and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt: New developments in measuring, evaluating and managing credit risk are discussed in this volume. Addressing both practitioners in the banking sector and resesarch institutions, the book provides a manifold view on one of the most-discussed topics in finance. Among the subjects treated are important issues, such as: the consequences of the new Basel Capital Accord (Basel II), different applications of credit risk models, and new methodologies in rating and measuring credit portfolio risk. The volume provides an overview of recent developments as well as future trends: a state-of-the-art compendium in the area of credit risk.
Download or read book ACRN Proceedings in Finance and Risk Series 13 written by Dr. Othmar M. Lehner and published by ACRN Publishing House. This book was released on 2014-03-06 with total page 575 pages. Available in PDF, EPUB and Kindle. Book excerpt: Proceedings of the 14th FRAP Finance, Risk and Accounting Perspectives conference taking place in Cambridge UK.
Download or read book Essays on Risk and Uncertainty in Economics and Finance written by Jorge Mario Uribe Gil and published by Ed. Universidad de Cantabria. This book was released on 2022-11-22 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book adds to the resolution of two problems in finance and economics: i) what is macro-financial uncertainty? : How to measure it? How is it different from risk? How important is it for the financial markets? And ii) what sort of asymmetries underlie financial risk and uncertainty propagation across the global financial markets? That is, how risk and uncertainty change according to factors such as market states or market participants. In Chapter 2, which is entitled “Momentum Uncertainties”, the relationship between macroeconomic uncertainty and the abnormal returns of a momentum trading strategy in the stock market is studies. We show that high levels of uncertainty in the economy impact negatively and significantly the returns of a portfolio of stocks that consist of buying past winners and selling past losers. High uncertainty reduces below zero the abnormal returns of momentum, extinguishes the Sharpe ratio of the momentum strategy, while increases the probability of momentum crashes both by increasing the skewness and the kurtosis of the momentum return distribution. Uncertainty acts as an economic regime that underlies abrupt changes over time of the returns generated by momentum strategies. In Chapter 3, “Measuring Uncertainty in the Stock Market”, a new index for measuring stock market uncertainty on a daily basis is proposed. The index considers the inherent differentiation between uncertainty and the common variations between the series. The second contribution of chapter 3 is to show how this financial uncertainty index can also serve as an indicator of macroeconomic uncertainty. Finally, the dynamic relationship between uncertainty and the series of consumption, interest rates, production and stock market prices, among others, is analized. In chapter 4: “Uncertainty, Systemic Shocks and the Global Banking Sector: Has the Crisis Modified their Relationship?” we explore the stability of systemic risk and uncertainty propagation among financial institutions in the global economy, and show that it has remained stable over the last decade. Additionally, a new simple tool for measuring the resilience of financial institutions to these systemic shocks is provided. We examine the characteristics and stability of systemic risk and uncertainty, in relation to the dynamics of the banking sector stock returns. This sort of evidence is supportive of past claims, made in the field of macroeconomics, which hold that during the global financial crisis the financial system may have faced stronger versions of traditional shocks rather than a new type of shock. In chapter 5, “Currency downside risk, liquidity, and financial stability”, downside risk propagation across global currency markets and the ways in which it is related to liquidity is analyzed. Two primary contributions to the literature follow. First, tail-spillovers between currencies in the global FX market are estimated. This index is easy to build and does not require intraday data, which constitutes an important advantage. Second, we show that turnover is related to risk spillovers in global currency markets. Chapter 6 is entitled “Spillovers from the United States to Latin American and G7 Stock Markets: A VAR-Quantile Analysis”. This chapter contributes to the studies of contagion, market integration and cross-border spillovers during both regular and crisis episodes by carrying out a multivariate quantile analysis. It focuses on Latin American stock markets, which have been characterized by a highly positive dynamic in recent decades, in terms of market capitalization and liquidity ratios, after a far-reaching process of market liberalization and reforms to pension funds across the continent during the 80s and 90s. We document smaller dependences between the LA markets and the US market than those between the US and the developed economies, especially in the highest and lowest quantiles.
Download or read book Computational Methods in Financial Engineering written by Erricos Kontoghiorghes and published by Springer Science & Business Media. This book was released on 2008-02-26 with total page 425 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computational models and methods are central to the analysis of economic and financial decisions. Simulation and optimisation are widely used as tools of analysis, modelling and testing. The focus of this book is the development of computational methods and analytical models in financial engineering that rely on computation. The book contains eighteen chapters written by leading researchers in the area on portfolio optimization and option pricing; estimation and classification; banking; risk and macroeconomic modelling. It explores and brings together current research tools and will be of interest to researchers, analysts and practitioners in policy and investment decisions in economics and finance.
Download or read book The Complex Dynamics of Economic Interaction written by Mauro Gallegati and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 404 pages. Available in PDF, EPUB and Kindle. Book excerpt: The economy is examined by the authors as a complex interactive system. The emphasis is on the direct interaction between agents rather than on the indirect and autonomous interaction through the market mechanism. Contributions from economists and physicists emphasise the consequences for aggregate behaviour of the interaction between agents with limited rationality. Models of financial markets which exhibit many of the stylised facts of empirical markets such as bubbles, herd behaviour and long memory are presented. This includes contributions on bargaining, buyer-seller relations, the evolution of economic networks and several aspects of macro-economic behaviour. This book will be of interest to all those interested in the foundations of collective social and economic behaviour and in particular, to those concerned with the dynamics of market behaviour and recent applications of physics to economics.
Download or read book Reinventing Financial Regulation written by Avinash Persaud and published by Apress. This book was released on 2015-06-22 with total page 261 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reinventing Financial Regulation offers an analysis of the fundamental flaws that plague the current system of financial regulation, one built around ideas of "risk-sensitivity" and "capital adequacy." Author Avinash Persaud argues that while some sensible reforms have been introduced, a fresh approach—centered on risk capacity—is required. When the entire regime is compromised, simply slapping bandages on each new wound will do nothing to cure the underlying disease. Reinventing Financial Regulation goes beyond an urgent call to fix our profoundly troubled and damaged financial markets. It is a blueprint for an effective financial regulation system that could very well save the future of finance. What would a well-regulated financial system look like? Until now, policymakers, financial experts, and leading academics have been content to avoid facing this question head–on. We have been offered piecemeal reforms that ultimately leave the global financial system exposed to different versions of the same risks that so recently brought it to its knees. The world economy literally cannot afford to dodge this question any longer. Persaud's goal to bring clarity and a powerful simplicity to the financial regulation process results in a systematic and apolitical framework for fixing the world's fractured financial industry and transforming its regulation—not just for today's financial climate, but once and for all.
Download or read book ESG Frameworks for Sustainable Business Practices written by Ajithakumari Vijayappan Nair, Biju and published by IGI Global. This book was released on 2024-08-14 with total page 519 pages. Available in PDF, EPUB and Kindle. Book excerpt: As businesses worldwide strive to embrace sustainability in their operations, they often need help with a significant challenge: the inadequacy of traditional Corporate Social Responsibility (CSR) practices in meeting modern sustainability needs. Despite increasing regulatory pressure and societal expectations, many organizations need help implementing effective Environmental, Social, and Governance (ESG) strategies aligning with their core business goals. This gap between intent and implementation highlights the urgent need for a comprehensive and practical guide to navigating the complexities of sustainable business practices. ESG Frameworks for Sustainable Business Practices solve this pressing challenge by offering a systematic and insightful analysis of global ESG frameworks. Synthesizing current research and industry best practices provides a clear roadmap for organizations looking to integrate sustainability into their core strategies. Through an in-depth exploration of topics such as ESG disclosure, sustainable investments, and the role of regulations in ESG practices, this book equips readers with the knowledge and tools needed to drive meaningful change within their organizations.
Download or read book Incerto written by Nassim Nicholas Taleb and published by Random House Trade. This book was released on 2021-05-04 with total page 1873 pages. Available in PDF, EPUB and Kindle. Book excerpt: The landmark five-book series--all together in one boxed set The Incerto is an investigation of opacity, luck, uncertainty, probability, human error, risk, and decision making when we don't understand the world, expressed in the form of a personal essay with autobiographical sections, stories, parables, and philosophical, historical, and scientific discussions, in non-overlapping volumes that can be accessed in any order. The main thread is that while there is inordinate uncertainty about what is going on, there is great certainty as to what one should do about it. This boxed set includes: FOOLED BY RANDOMNESS THE BLACK SWAN THE BED OF PROCRUSTES ANTIFRAGILE SKIN IN THE GAME
Download or read book Advanced Modelling in Mathematical Finance written by Jan Kallsen and published by Springer. This book was released on 2016-12-01 with total page 508 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Festschrift resulted from a workshop on “Advanced Modelling in Mathematical Finance” held in honour of Ernst Eberlein’s 70th birthday, from 20 to 22 May 2015 in Kiel, Germany. It includes contributions by several invited speakers at the workshop, including several of Ernst Eberlein’s long-standing collaborators and former students. Advanced mathematical techniques play an ever-increasing role in modern quantitative finance. Written by leading experts from academia and financial practice, this book offers state-of-the-art papers on the application of jump processes in mathematical finance, on term-structure modelling, and on statistical aspects of financial modelling. It is aimed at graduate students and researchers interested in mathematical finance, as well as practitioners wishing to learn about the latest developments.
Download or read book Dissertation Abstracts International written by and published by . This book was released on 2007 with total page 554 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Variations in Economic Analysis written by J. Richard Aronson and published by Springer Science & Business Media. This book was released on 2010-01-14 with total page 161 pages. Available in PDF, EPUB and Kindle. Book excerpt: For over fifty years, Eli Schwartz has inspired generations of economists through his prolific publications and dedicated in teaching. In 2008, the Martindale Center for the Study of Private Enterprise at Lehigh University invited prominent academics and practitioners—including Nobel Prize recipients, Robert Solow and Harry Markowitz, and former Chairman of the Economic Advisers to Ronald Reagan, Murray Weidenbaum—to contribute pieces that reflect their own approaches to issues that Schwartz has explored over the long span of his career. The twelve original essays cover a range of topics, including tax reform, corporate finance, fiscal policy, banking, economic growth, and globalization, representing a variety of methodologies, including economic theory, econometrics, and case analysis. The collection emphasizes the underlying connections among seemingly disparate facets of economic activity, and underscores the tremendous influence of Schwartz on economic analysis, policy, and leadership today.
