Systemic Contingent Claims Analysis
Systemic Contingent Claims Analysis

Author: Mr.Andreas A. Jobst

Publisher: International Monetary Fund

Published: 2013-02-27

Total Pages: 93

ISBN-13: 1475557531

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The 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.

Generalized Method of Moments Estimation
Generalized Method of Moments Estimation

Author: Laszlo Matyas

Publisher: Cambridge University Press

Published: 1999-04-13

Total Pages: 332

ISBN-13: 9780521669672

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The 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.

Simulation-based Econometric Methods
Simulation-based Econometric Methods

Author: Christian Gourieroux

Publisher: Oxford University Press

Published: 1996

Total Pages: 185

ISBN-13: 0198774753

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High 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.

Advanced Fixed Income Analysis
Advanced Fixed Income Analysis

Author: Moorad Choudhry

Publisher: Elsevier

Published: 2015-08-28

Total Pages: 268

ISBN-13: 0080999417

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Each 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

New Research in Financial Markets
New Research in Financial Markets

Author: Bruno Biais

Publisher: Oxford University Press, USA

Published: 2001

Total Pages: 388

ISBN-13: 9780199243211

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This 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.