Statistical Tests of Contingent Claims Asset-pricing Models
Author: Andrew Wen-Chuan Lo
Publisher:
Published: 1984
Total Pages: 41
ISBN-13:
DOWNLOAD EBOOKRead and Download eBook Full
Author: Andrew Wen-Chuan Lo
Publisher:
Published: 1984
Total Pages: 41
ISBN-13:
DOWNLOAD EBOOKAuthor: Peter Bossaerts
Publisher:
Published: 1988
Total Pages: 49
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: Pierre Hillion
Publisher:
Published: 1989
Total Pages: 33
ISBN-13:
DOWNLOAD EBOOKAuthor: Peter C. B. Phillips
Publisher:
Published: 2013
Total Pages: 31
ISBN-13:
DOWNLOAD EBOOKA new methodology is proposed to estimate theoretical prices of financial contingent-claims whose values are dependent on some other underlying financial assets. In the literature the preferred choice of estimator is usually maximum likelihood (ML). ML has strong asymptotic justification but is not necessarily the best method in finite samples. The present paper proposes instead a simulation-based method that improves the finite sample performance of the ML estimator while maintaining its good asymptotic properties. The methods are implemented and evaluated here in the Black-Scholes option pricing model and in the Vasicek bond pricing model, but have wider applicability. Monte Carlo studies show that the proposed procedures achieve bias reductions over ML estimation in pricing contingent claims. The bias reductions are sometimes accompanied by reductions in variance, leading to significant overall gains in mean squared estimation error. Empirical applications to US treasury bills highlight the differences between the bond prices implied by the simulation-based approach and those delivered by ML. Some consequences for the statistical testing of contingent-claim pricing models are discussed.
Author: Zhenyu Wang
Publisher:
Published: 2014
Total Pages: 39
ISBN-13:
DOWNLOAD EBOOKHansen and Jagannathan (1997) have developed two measures of pricing errors for asset-pricing models: the maximum pricing error in all static portfolios of the test assets and the maximum pricing error in all contingent claims of the assets. In this paper, we develop simulation-based Bayesian inference for these measures. While the literature reports that the time-varying extensions substantially reduce pricing errors of classic models on the standard test assets, our analysis shows that the reduction is much smaller based on the second measure. Those time-varying models have large pricing errors on the contingent claims of the test assets because their stochastic dis- count factors are often negative and admit arbitrage opportunities.
Author:
Publisher: Allied Publishers
Published:
Total Pages: 292
ISBN-13: 9788177648416
DOWNLOAD EBOOKAuthor: Bruno Remillard
Publisher: CRC Press
Published: 2016-04-19
Total Pages: 490
ISBN-13: 1439856958
DOWNLOAD EBOOKWhile many financial engineering books are available, the statistical aspects behind the implementation of stochastic models used in the field are often overlooked or restricted to a few well-known cases. Statistical Methods for Financial Engineering guides current and future practitioners on implementing the most useful stochastic models used in f
Author: 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.
Author: Eric John Levin
Publisher:
Published: 1980
Total Pages: 440
ISBN-13:
DOWNLOAD EBOOK