Download or read book Essays on the Impact of Incomplete Information written by Chuen Hwa Leon and published by . This book was released on 2004 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Pricing Financial Assets written by Muinul Haq Chowdhury and published by . This book was released on 1999 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Organization with Incomplete Information written by Mukul Majumdar and published by Cambridge University Press. This book was released on 1998-09-13 with total page 372 pages. Available in PDF, EPUB and Kindle. Book excerpt: There have been systematic attempts over the last twenty-five years to explore the implications of decision making with incomplete information and to model an 'economic man' as an information-processing organism. These efforts are associated with the work of Roy Radner, who joins other analysts in this collection to offer accessible overviews of the existing literature on topics such as Walrasian equilibrium with incomplete markets, rational expectations equilibrium, learning, Markovian games, dynamic game-theoretic models of organization, and experimental work on mechanism selection. Some essays also take up relatively new themes related to bounded rationality, complexity of decisions, and economic survival. The collection overall introduces models that add to the toolbox of economists, expand the boundaries of economic analysis, and enrich our understanding of the inefficiencies and complexities of organizational design in the presence of uncertainty.
Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-12 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
Download or read book Essays on Information and Asset Prices written by Brian Louis Betker and published by . This book was released on 1991 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Advances in Credit Risk Modeling and Management written by Frédéric Vrins and published by MDPI. This book was released on 2020-07-01 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit risk remains one of the major risks faced by most financial and credit institutions. It is deeply connected to the real economy due to the systemic nature of some banks, but also because well-managed lending facilities are key for wealth creation and technological innovation. This book is a collection of innovative papers in the field of credit risk management. Besides the probability of default (PD), the major driver of credit risk is the loss given default (LGD). In spite of its central importance, LGD modeling remains largely unexplored in the academic literature. This book proposes three contributions in the field. Ye & Bellotti exploit a large private dataset featuring non-performing loans to design a beta mixture model. Their model can be used to improve recovery rate forecasts and, therefore, to enhance capital requirement mechanisms. François uses instead the price of defaultable instruments to infer the determinants of market-implied recovery rates and finds that macroeconomic and long-term issuer specific factors are the main determinants of market-implied LGDs. Cheng & Cirillo address the problem of modeling the dependency between PD and LGD using an original, urn-based statistical model. Fadina & Schmidt propose an improvement of intensity-based default models by accounting for ambiguity around both the intensity process and the recovery rate. Another topic deserving more attention is trade credit, which consists of the supplier providing credit facilities to his customers. Whereas this is likely to stimulate exchanges in general, it also magnifies credit risk. This is a difficult problem that remains largely unexplored. Kanapickiene & Spicas propose a simple but yet practical model to assess trade credit risk associated with SMEs and microenterprises operating in Lithuania. Another topical area in credit risk is counterparty risk and all other adjustments (such as liquidity and capital adjustments), known as XVA. Chataignier & Crépey propose a genetic algorithm to compress CVA and to obtain affordable incremental figures. Anagnostou & Kandhai introduce a hidden Markov model to simulate exchange rate scenarios for counterparty risk. Eventually, Boursicot et al. analyzes CoCo bonds, and find that they reduce the total cost of debt, which is positive for shareholders. In a nutshell, all the featured papers contribute to shedding light on various aspects of credit risk management that have, so far, largely remained unexplored.
Download or read book Essays in Macroeconomics written by Yuriy Gorodnichenko and published by . This book was released on 2007 with total page 492 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Finance written by Nicholas Xerxes Wonder and published by . This book was released on 2001 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Dissertation Abstracts International written by and published by . This book was released on 2008 with total page 592 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The New Palgrave Dictionary of Economics written by and published by Springer. This book was released on 2016-05-18 with total page 7493 pages. Available in PDF, EPUB and Kindle. Book excerpt: The award-winning The New Palgrave Dictionary of Economics, 2nd edition is now available as a dynamic online resource. Consisting of over 1,900 articles written by leading figures in the field including Nobel prize winners, this is the definitive scholarly reference work for a new generation of economists. Regularly updated! This product is a subscription based product.
Download or read book Information Geometry written by and published by Elsevier. This book was released on 2021-09-26 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt: The subject of information geometry blends several areas of statistics, computer science, physics, and mathematics. The subject evolved from the groundbreaking article published by legendary statistician C.R. Rao in 1945. His works led to the creation of Cramer-Rao bounds, Rao distance, and Rao-Blackawellization. Fisher-Rao metrics and Rao distances play a very important role in geodesics, econometric analysis to modern-day business analytics. The chapters of the book are written by experts in the field who have been promoting the field of information geometry and its applications. - Written by experts for users of information geometry - Basics to advanced readers are equally taken care - Origins and Clarity on Foundations
Download or read book Three Essays on Asset Pricing Model with Heterogenous Agents written by Tae-Jin Kang and published by . This book was released on 1991 with total page 174 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Information and Learning in Markets written by Xavier Vives and published by Princeton University Press. This book was released on 2010-01-25 with total page 422 pages. Available in PDF, EPUB and Kindle. Book excerpt: The ways financial analysts, traders, and other specialists use information and learn from each other are of fundamental importance to understanding how markets work and prices are set. This graduate-level textbook analyzes how markets aggregate information and examines the impacts of specific market arrangements--or microstructure--on the aggregation process and overall performance of financial markets. Xavier Vives bridges the gap between the two primary views of markets--informational efficiency and herding--and uses a coherent game-theoretic framework to bring together the latest results from the rational expectations and herding literatures. Vives emphasizes the consequences of market interaction and social learning for informational and economic efficiency. He looks closely at information aggregation mechanisms, progressing from simple to complex environments: from static to dynamic models; from competitive to strategic agents; and from simple market strategies such as noncontingent orders or quantities to complex ones like price contingent orders or demand schedules. Vives finds that contending theories like informational efficiency and herding build on the same principles of Bayesian decision making and that "irrational" agents are not needed to explain herding behavior, booms, and crashes. As this book shows, the microstructure of a market is the crucial factor in the informational efficiency of prices. Provides the most complete analysis of the ways markets aggregate information Bridges the gap between the rational expectations and herding literatures Includes exercises with solutions Serves both as a graduate textbook and a resource for researchers, including financial analysts
Download or read book Asset Pricing written by Bing Cheng and published by World Scientific. This book was released on 2008 with total page 91 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern asset pricing models play a central role in finance and economic theory and applications. This book introduces a structural theory to evaluate these asset pricing models and throws light on the existence of Equity Premium Puzzle. Based on the structural theory, some algebraic (valuation-preserving) operations are developed in asset spaces and pricing kernel spaces. This has a very important implication leading to practical guidance in portfolio management and asset allocation in the global financial industry. The book also covers topics, such as the role of over-confidence in asset pricing modeling, relationship of the portfolio insurance with option and consumption-based asset pricing models, etc.
Download or read book Essays in Financial Economics written by Joel M. Vanden and published by . This book was released on 1999 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Journal of Econometrics written by and published by . This book was released on 1998 with total page 840 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Financial Markets and Incomplete Information written by Sudipto Bhattacharya and published by Rowman & Littlefield Publishers. This book was released on 1989 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: Major themes in theoretical financial economics since 1973 are presented through reprinted articles, each followed by a substantial essay by a leading scholar in the field. These original papers were written expressly for these volumes and provide a critical discussion and overview of the topic. The books thus present a broad spectrum of viewpoints with an emphasis on the work on valuation, economics of uncertainty, and taxation which pertains to the problems of financial markets and corporations.
