Risk and Equilibrium Prices of Contingent Claims with Application to Italian Securities
Author: R. Cesari
Publisher:
Published: 1987
Total Pages:
ISBN-13:
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Author: R. Cesari
Publisher:
Published: 1987
Total Pages:
ISBN-13:
DOWNLOAD EBOOKAuthor: Riccardo Cesari
Publisher:
Published: 1988
Total Pages: 506
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: British Library. Document Supply Centre
Publisher:
Published: 1988
Total Pages: 456
ISBN-13:
DOWNLOAD EBOOKAuthor: G. Ottaviani
Publisher: Springer Science & Business Media
Published: 2012-12-06
Total Pages: 123
ISBN-13: 3642578462
DOWNLOAD EBOOKPublished with the contribution of the Italian insurance company, INA, this volume contains the invited contributions presented at the 3rd International AFIR Colloquium. In the spirit of actuarial tradition, the colloquium paid attention to the link between the theoretical approach and the operative problems of financial markets and institutions, and insurance companies in particular. The book is thus an important reference work for students and researchers of actuarial sciences and finance, and is also recommended to practitioners with theoretical interests.
Author: Rita L. D'Ecclesia
Publisher: Springer Science & Business Media
Published: 2012-12-06
Total Pages: 271
ISBN-13: 3642469574
DOWNLOAD EBOOKThe articles included in the volume cover a range of diverse topics linked by a common theme: the use of formal modelling techniques to promote better understanding of financial markets and improve management of financial operations. Apart from a theoretical discussion, most of the papers model validation or verification using market data. This collection of articles sets the framework for other studies that could link theory and practice.
Author: Jack Revell
Publisher: Springer
Published: 2016-07-27
Total Pages: 320
ISBN-13: 134923141X
DOWNLOAD EBOOKMany of the problems that have been brewing in the West European banking industry have come to the boil in the years since 1990. The essays collected in this volume focus in particular on competition, organisation and strategy, regulation and crises, and securities markets and financial centres.
Author: Riccardo Cesari
Publisher:
Published: 1989
Total Pages: 48
ISBN-13:
DOWNLOAD EBOOKAuthor: Bruno Biais
Publisher: Springer
Published: 2006-11-15
Total Pages: 322
ISBN-13: 3540683569
DOWNLOAD EBOOKFinancial Mathematics is an exciting, emerging field of application. The five sets of course notes in this book provide a bird's eye view of the current "state of the art" and directions of research. For graduate students it will therefore serve as an introduction to the field while reseachers will find it a compact source of reference. The reader is expected to have a good knowledge of the basic mathematical tools corresponding to an introductory graduate level and sufficient familiarity with probabilistic methods, in particular stochastic analysis.
Author: Jiro Akahori
Publisher: World Scientific
Published: 2004
Total Pages: 410
ISBN-13: 9812387781
DOWNLOAD EBOOKThis book contains articles on stochastic processes (stochastic calculus and Malliavin calculus, functionals of Brownian motions and Levy processes, stochastic control and optimization problems, stochastic numerics, and so on) and their applications to problems in mathematical finance. Examples of topics are applications of Malliavin calculus and numerical analysis to a new simulation scheme for calculating the price of financial derivatives, applications of the asymptotic expansion method in Malliavin calculus to financial problems, semimartingale decompositions under an enlargement of filtrations in connection with insider problems, and the problem of transaction costs in connection with stochastic control and optimization problems.