Download or read book Three Essays on Modeling Risk written by Bret P. Mackay and published by . This book was released on 1999 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Modeling Risk written by Bret Powell Mackay and published by . This book was released on 2002 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in Risk Modeling written by Xuan Chi and published by . This book was released on 2016 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Credit Risk Modeling written by Xiaopeng Zhang and published by . This book was released on 2001 with total page 442 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Structural Credit Risk Modelling written by Radoslav Zahariev and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Modeling Financial Risk and Pricing Financial Assets written by Xiongwei Ju and published by . This book was released on 1999 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in the Theory of Credit Risk written by Clemens Mueller and published by . This book was released on 2000 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on the Risk and Distribution of a Portfolio s Future Losses written by Wei He and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This Ph.D. dissertation contains three individual and internally related essays. The first essay applies the least-squares Monte-Carlo (LSM) methodology to derive the distribution of the exotic option values at a future time. LSM presents a powerful statistical procedure that efficiently yields derivative distributions for exotic options that do not possess analytic solutions. By means of several examples, using options with closed-from solutions, this essay demonstrates the ability of LSM to produce excellent estimates of derivative distribution at a reasonable computational cost. The second and third essays compare two of the major credit risk portfolio models used by two prominent financial companies: J. P. Morgan's CreditMetrics and Credit Swiss First Boston's CreditRisk+. The second essay compares the two models from a methodological and an empirical point of view. Factor Analysis is utilized to link the different input data employed by these two models. The third essay creates a hypothetical world in which the true transition matrices are known so that a benchmark distribution of portfolio loss is derived to evaluate the model's performance. The results suggest that despite the fact that the recommendations made by each approach to a financial institution trying to determine how much economic capital to hold is different, these two models perform equally well when credit-rating-change risk is eliminated from the CreditMetrics approach.

Download or read book Essays on Qualitative and Quantitative Risk Management written by David Fritz and published by Books on Demand. This book was released on 2018-02-09 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is based on the Ph.D. thesis "Essays on Qualitative and Quantitative Risk Management" written by the author of this book. It consists out of three essays on text mining applications in finance and the validation of a credit risk model. To be more precise, the three essays address the following research questions: What kind of text mining measures are suitable in the finance area for analyzing text such as annual reports and can we use these measures to predict short-term performance or the reporting quality? Can we measure the tone of a document by using automatically calculated sentiment scores? How can we build a sentiment score, that captures keywords within a larger context? Do the chapters/sections of an annual report have a different influence on the whole content of the report? How can banks validate their credit risk model with a special focus on an analytical model? This book addresses practitioners, consultants, analysts, and bankers as well as students, researchers, and lecturers with focus on text mining applications in finance and the validation of credit risk models.

Download or read book 3 Essays on Credit Risk Modeling and the Macroeconomic Environment written by Dimitrios Papanastasiou and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Estimation and Dynamic Modelling of Multivariate Market Risks Using High Frequency Financial Data written by Valeri Voev and published by . This book was released on 2008 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Credit Risk Fixed Income and Derivatives written by Redouane Elkamhi and published by . This book was released on 2008 with total page 179 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Extensions in Risk Uncertainty and Insurance written by Christopher Andrew Whaley and published by . This book was released on 2016 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the first essay, we prove existence and uniqueness of equilibrium in a rent-seeking contest given a class of heterogeneous risk-loving players. We explore the role third-order risk attitude plays in equilibrium and find that imprudence is sufficient for risk lovers to increase rent-seeking investment above the risk-neutral outcome. Moreover, we show that rent can be fully dissipated in a standard Tullock contest when there is a large number of risk-loving players. In the second essay, we investigates the impact classic variables like medical care and lifestyle choices have on the mean, variance and skewness of a health distribution. We achieve this by positing health as output from a stochastic production process, a seemingly practical advantage over much of the deterministic literature. We leverage this unique approach to estimate how a set of explanatory variables impact the conditional moments of a health distribution. We then use these moments in a maximum entropy framework to analyze the shape impact of medical care. We find evidence of "flat of the curve'' medicine but also demonstrate the higher-order benefits of additional medical care. In the third and final essay, we investigate risk in the context of farmer and their choice of irrigation. While the benefits and utilization of crop irrigation have long been examined in agricultural economics, little attention is paid to the potential confounding relationship that may exist with other risk-management tools. Specifically, we pursue how standard crop insurance relates to irrigation. We identify irrigation as a form of self-protection, reducing the probability of crop loss due to adverse stochastic conditions. Given this, we investigate if irrigation acts as a complement to crop insurance. We test this relationship within a model of crop yields, identifying that jointly irrigated and insured lands both receive higher average yield and lead to variance and skewness effects on the overall yield distribution.

Download or read book Three Essays on Default and Model Risk written by Aydin Akgun and published by . This book was released on 2001 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Multivariate Ordinal Models in Credit Risk written by Rainer Hirk and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Modeling and Financing Weather Risk written by Jianqiang Hao and published by . This book was released on 2005 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Default Risk written by Maria del Rosario Cristina Monter Espinosa and published by . This book was released on 2008 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first essay analyses the default risk related to the Mexican external debt which exhibits a structural change at the beginning of the 90's. Different stochastic discount factors are taken into account and a comparison with market data is presented. On the second essay, credit risk is modelled by incorporating simultaneously: (a) a grace period before declaring bankruptcy (Parisian option feature), and (b) the macro economic market conditions (regime switching model). A numerical method is proposed to evaluate the model. The third essay shows how the risk of default is incorporated to the market value of assets and liabilities of a life insurance company under a regime switching model. An econometric study using life insurance data is performed, providing strong evidence of switching behaviour on the market, affecting the contingent claim valuation. Finally, a numerical method is also proposed.