Method of Moments Tests of Contingent Claims Asset Pricing Models
Author: Peter Bossaerts
Publisher:
Published: 1988
Total Pages: 49
ISBN-13:
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Author: Peter Bossaerts
Publisher:
Published: 1988
Total Pages: 49
ISBN-13:
DOWNLOAD EBOOKAuthor: Pierre Hillion
Publisher:
Published: 1989
Total Pages: 33
ISBN-13:
DOWNLOAD EBOOKAuthor: Pierre Hillion
Publisher:
Published: 1989
Total Pages: 33
ISBN-13:
DOWNLOAD EBOOKAuthor: Andrew Wen-Chuan Lo
Publisher:
Published: 1984
Total Pages: 41
ISBN-13:
DOWNLOAD EBOOKAuthor: Mr.Andreas A. Jobst
Publisher: International Monetary Fund
Published: 2013-02-27
Total Pages: 93
ISBN-13: 1475557531
DOWNLOAD EBOOKThe recent global financial crisis has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Current macroprudential policy and surveillance (MPS) efforts are aimed establishing a regulatory framework that helps mitigate the risk from systemic linkages with a view towards enhancing the resilience of the financial sector. This paper presents a forward-looking framework ("Systemic CCA") to measure systemic solvency risk based on market-implied expected losses of financial institutions with practical applications for the financial sector risk management and the system-wide capital assessment in top-down stress testing. The suggested approach uses advanced contingent claims analysis (CCA) to generate aggregate estimates of the joint default risk of multiple institutions as a conditional tail expectation using multivariate extreme value theory (EVT). In addition, the framework also helps quantify the individual contributions to systemic risk and contingent liabilities of the financial sector during times of stress.
Author: Laszlo Matyas
Publisher: Cambridge University Press
Published: 1999-04-13
Total Pages: 332
ISBN-13: 9780521669672
DOWNLOAD EBOOKThe generalized method of moments (GMM) estimation has emerged as providing a ready to use, flexible tool of application to a large number of econometric and economic models by relying on mild, plausible assumptions. The principal objective of this volume is to offer a complete presentation of the theory of GMM estimation as well as insights into the use of these methods in empirical studies. It is also designed to serve as a unified framework for teaching estimation theory in econometrics. Contributors to the volume include well-known authorities in the field based in North America, the UK/Europe, and Australia. The work is likely to become a standard reference for graduate students and professionals in economics, statistics, financial modeling, and applied mathematics.
Author: Christian Gourieroux
Publisher: Oxford University Press
Published: 1996
Total Pages: 185
ISBN-13: 0198774753
DOWNLOAD EBOOKHigh speed computing has enabled a new generation of statistical econometrics to become available. The simulation of problems that previously were too unwieldy to solve because of large integrals is now possible.
Author: Moorad Choudhry
Publisher: Elsevier
Published: 2015-08-28
Total Pages: 268
ISBN-13: 0080999417
DOWNLOAD EBOOKEach new chapter of the Second Edition covers an aspect of the fixed income market that has become relevant to investors but is not covered at an advanced level in existing textbooks. This is material that is pertinent to the investment decisions but is not freely available to those not originating the products. Professor Choudhry’s method is to place ideas into contexts in order to keep them from becoming too theoretical. While the level of mathematical sophistication is both high and specialized, he includes a brief introduction to the key mathematical concepts. This is a book on the financial markets, not mathematics, and he provides few derivations and fewer proofs. He draws on both his personal experience as well as his own research to bring together subjects of practical importance to bond market investors and analysts. Presents practitioner-level theories and applications, never available in textbooks Focuses on financial markets, not mathematics Covers relative value investing, returns analysis, and risk estimation
Author: Peter Albert Abken
Publisher:
Published: 1994
Total Pages: 44
ISBN-13:
DOWNLOAD EBOOKAuthor: Bruno Biais
Publisher: Oxford University Press, USA
Published: 2001
Total Pages: 388
ISBN-13: 9780199243211
DOWNLOAD EBOOKThis text reflects research by European scholars into financial economics. Topics include asset pricing in perfect markets, take-over bids, and the interplay between banks and financial markets.