Encyclopedia of financial models. Volume III

Encyclopedia of financial models Volume III Volume III. /

An essential reference dedicated to a wide array of financial models, issues in financial modeling, and mathematical and statistical tools for financial modeling The need for serious coverage of financial modeling has never been greater, especially with the size, diversity, and efficiency of modern...

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Detalles Bibliográficos
Otros Autores: Fabozzi, Frank J., editor (editor)
Formato: Libro electrónico
Idioma:Inglés
Publicado: Hoboken, New Jersey : John Wiley & Sons, Inc 2013.
Edición:1st edition
Materias:
Investments > Management > Encyclopedias.
Portfolio management > Encyclopedias.
Ver en Biblioteca Universitat Ramon Llull:https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009629460406719
Tabla de Contenidos:
  • Intro
  • ENCYCLOPEDIA OF FINANCIAL MODELS
  • About the Editor
  • Contents
  • Contributors
  • Preface
  • Guide to the Encyclopedia of Financial Models
  • Mortgage-Backed Securities Analysis and Valuation
  • Valuing Mortgage-Backed and Asset-Backed Securities
  • CASH-FLOW YIELD ANALYSIS
  • ZERO-VOLATILITY SPREAD
  • VALUATION USING MONTE CARLO SIMULATION AND OAS ANALYSIS
  • Simulating Interest Rate Paths and Cash Flows
  • Calculating the Present Value of a Bond Class for a Scenario Interest Rate Path
  • Option-Adjusted Spread
  • Option Cost
  • Simulated Average Life
  • MEASURING INTEREST RISK
  • Duration
  • Convexity
  • KEY POINTS
  • NOTES
  • REFERENCES
  • The Active-Passive Decomposition Model for MBS
  • PATH-DEPENDENCE AND PRICING PARTIAL DIFFERENTIAL EQUATION
  • EXTENDED ACTIVE-PASSIVE DECOMPOSITION MODEL
  • The Details
  • How the Model Works Forward
  • How the Model Works in Backward Induction
  • Initializing the Burnout Factor
  • EXTENSIONS AND NUANCES
  • Computing Interest Rate Sensitivities Directly Off a Pricing Tree
  • More Components, More Prepay Sources
  • Residual Sources of Path-Dependence
  • Modeling Prepayments Universally: Refinancing Speed as a Function of Price
  • KEY POINTS
  • NOTES
  • REFERENCES
  • Analysis of Nonagency Mortgage-Backed Securities
  • FACTORS IMPACTING RETURNS FROM NONAGENCY MBS
  • The Amount and Timing of Principal Return
  • Deal-Specific Factors
  • UNDERSTANDING THE EVOLUTION OF CREDIT PERFORMANCE WITHIN A TRANSACTION
  • THE PROCESS OF ESTIMATING PRIVATE-LABEL MBS RETURNS
  • Differentiating between Collateral and Tranche Losses
  • The Interaction of Credit Inputs
  • Evaluating Available Credit Support
  • Yield and Loss Matrix Analysis
  • Model-Generated Analysis
  • Interpreting the Outputs
  • KEY POINTS
  • NOTES
  • REFERENCES
  • Measurement of Prepayments for Residential Mortgage-Backed Securities.
  • PREPAYMENT TERMINOLOGY
  • CALCULATING PREPAYMENT SPEEDS
  • Conditional Prepayment Rate
  • PSA Prepayment Benchmark
  • Prospectus Prepayment Curve
  • Prepayment Conventions for Securities Backed by Home Equity and Manufactured Housing Loans
  • DELINQUENCY, DEFAULT, AND LOSS TERMINOLOGY
  • Delinquency Measures
  • Default Measures
  • Loss Severity Measures
  • KEY POINTS
  • NOTES
  • REFERENCES
  • Prepayments and Factors Influencing the Return of Principal for Residential Mortgage-Backed Securities
  • PREPAYMENT FUNDAMENTALS
  • Turnover
  • Refinancing
  • FACTORS INFLUENCING PREPAYMENT SPEEDS
  • Borrower Inefficiencies
  • Product Choices and Transitions
  • Changes in Homeowner Equity and Credit
  • Time
  • DEFAULTS AND "INVOLUNTARY" PREPAYMENTS
  • Factors Influencing Default Frequency and Credit Performance
  • Voluntary and Involuntary Prepayments
  • Interactions Between Prepayments and Defaults
  • KEY POINTS
  • NOTES
  • REFERENCES
  • Operational Risk
  • Operational Risk
  • OPERATIONAL RISK DEFINED
  • OPERATIONAL RISK EXPOSURE INDICATORS
  • CLASSIFICATION OF OPERATIONAL RISK
  • Internal versus External Operational Losses
  • Direct versus Indirect Operational Losses
  • Expected versus Unexpected Operational Losses
  • Operational Risk Type, Event Type, and Loss Type
  • Operational Loss Severity and Frequency
  • KEY POINTS
  • NOTES
  • REFERENCES
  • Operational Risk Models
  • OPERATIONAL RISK MODELS
  • Models Based on Top-Down Approaches
  • Models Based on Bottom-Up Approaches
  • SPECIFICS OF OPERATIONAL LOSS DATA
  • Scarcity of Available Historical Data
  • Data Arrival Process
  • Loss Severity Process
  • Dependence Between Business Units
  • KEY POINTS
  • NOTES
  • REFERENCES
  • Modeling Operational Loss Distributions
  • APPROACHES TO OPERATIONAL RISK MODELING
  • NONPARAMETRIC APPROACH: EMPIRICAL DISTRIBUTION FUNCTION.
  • PARAMETRIC APPROACH: CONTINUOUS LOSS DISTRIBUTIONS
  • Exponential Distribution
  • Lognormal Distribution
  • Weibull Distribution
  • Gamma Distribution
  • Beta Distribution
  • Pareto Distribution
  • Burr Distribution
  • EXTENSION: MIXTURE LOSS DISTRIBUTIONS
  • A NOTE ON THE TAIL BEHAVIOR
  • EMPIRICAL EVIDENCE WITH OPERATIONAL LOSS DATA
  • Studies with Real Data
  • Studies with Simulated Data
  • KEY POINTS
  • NOTES
  • REFERENCES
  • Optimization Tools
  • Robust Portfolio Optimization
  • THE ROBUST OPTIMIZATION APPROACH
  • Selecting Uncertainty Sets from Statistical Procedures
  • Clarifying a Misconception about Robust Optimization
  • THE RELATIONSHIP TO BAYESIAN METHODS AND ECONOMIC THEORY
  • USING ROBUST PORTFOLIO OPTIMIZATION IN PRACTICE
  • Effect of Robust Portfolio Optimization Formulations on Performance
  • PRACTICAL CONSIDERATIONS FOR ROBUST PORTFOLIO ALLOCATION
  • FUTURE DIRECTIONS
  • KEY POINTS
  • REFERENCES
  • Introduction to Stochastic Programming and Its Applications to Finance
  • WHAT IS STOCHASTIC PROGRAMMING?
  • Stochastic Programming in Finance
  • STOCHASTIC PROGRAMMING VERSUS OTHER METHODS IN FINANCE
  • Static versus Dynamic Models in Financial Planning
  • Static versus Dynamic Models in Financial Planning
  • Continuous-Time Models versus Stochastic Programming
  • A GENERAL MULTISTAGE STOCHASTIC PROGRAMMING MODEL FOR FINANCIAL PLANNING
  • Model Formulation
  • Modeling Future Uncertainties (Scenario Generation)
  • KEY POINTS
  • REFERENCES
  • Probability Theory
  • Concepts of Probability Theory
  • HISTORICAL DEVELOPMENT OF ALTERNATIVE APPROACHES TO PROBABILITY
  • Probability as Relative Frequencies
  • Axiomatic System
  • SET OPERATIONS AND PRELIMINARIES
  • Set Operations
  • Right-Continuous and Non-decreasing Functions
  • Outcome, Space, and Events
  • The Measurable Space
  • PROBABILITY MEASURE
  • RANDOM VARIABLE.
  • Random Variables on a Countable Space
  • Random Variables on an Uncountable Space
  • KEY POINTS
  • NOTES
  • REFERENCES
  • Discrete Probability Distributions
  • DISCRETE LAW
  • Random Variable on the Countable Space
  • Mean and Variance
  • BERNOULLI DISTRIBUTION
  • BINOMIAL DISTRIBUTION
  • Application to the Binomial Stock Price Model
  • Application to the Binomial Interest Rate Model
  • HYPERGEOMETRIC DISTRIBUTION
  • Application
  • MULTINOMIAL DISTRIBUTION
  • Multinomial Stock Price Model
  • POISSON DISTRIBUTION
  • Application to Credit Risk Modeling for a Bond Portfolio
  • DISCRETE UNIFORM DISTRIBUTION
  • Application to the Multinomial Stock Price Model
  • APPENDIX B BINOMIAL AND MULTINOMIAL COEFFICIENTS
  • BINOMIAL COEFFICIENT
  • Derivation of the Binomial Coefficient
  • MULTINOMIAL COEFFICIENT
  • KEY POINTS
  • NOTE
  • REFERENCE
  • Continuous Probability Distributions
  • CONTINUOUS PROBABILITY DISTRIBUTION DESCRIBED
  • DISTRIBUTION FUNCTION
  • DENSITY FUNCTION
  • Requirements on the Density Function
  • CONTINUOUS RANDOM VARIABLE
  • COMPUTING PROBABILITIES FROM THE DENSITY FUNCTION
  • LOCATION PARAMETERS
  • DISPERSION PARAMETERS
  • Moments of Higher Order
  • KEY POINTS
  • NOTES
  • REFERENCES
  • Continuous Probability Distributions with Appealing Statistical Properties
  • NORMAL DISTRIBUTION
  • Properties of the Normal Distribution
  • Applications to Stock Returns
  • CHI-SQUARE DISTRIBUTION
  • Application to Modeling Short-Term Interest Rates
  • STUDENT'S t-DISTRIBUTION
  • Application to Stock Returns
  • F-DISTRIBUTION
  • EXPONENTIAL DISTRIBUTION
  • Applications in Finance
  • RECTANGULAR DISTRIBUTION
  • GAMMA DISTRIBUTION
  • Erlang Distribution
  • BETA DISTRIBUTION
  • LOG-NORMAL DISTRIBUTION
  • Application to Modeling Asset Returns
  • KEY POINTS
  • NOTES
  • REFERENCE
  • Continuous Probability Distributions Dealing with Extreme Events.
  • GENERALIZED EXTREME VALUE DISTRIBUTION
  • GENERALIZED PARETO DISTRIBUTION
  • NORMAL INVERSE GAUSSIAN DISTRIBUTION
  • Normal Distribution versus Normal Inverse Gaussian Distribution
  • α-STABLE DISTRIBUTION
  • KEY POINTS
  • REFERENCES
  • Stable and Tempered Stable Distributions
  • α-STABLE DISTRIBUTION
  • Definition of an α-Stable Random Variable
  • Useful Properties of an α-Stable Random Variable
  • Smoothly Truncated Stable Distribution
  • TEMPERED STABLE DISTRIBUTIONS
  • Classical Tempered Stable Distribution
  • Generalized Classical Tempered Stable Distribution
  • Modified Tempered Stable Distribution
  • Normal Tempered Stable Distribution
  • Kim-Rachev Tempered Stable Distribution
  • Rapidly Decreasing Tempered Stable Distribution
  • INFINITELY DIVISIBLE DISTRIBUTIONS
  • Exponential Moments
  • HYPERGEOMETRIC FUNCTION AND CONFLUENT HYPERGEOMETRIC FUNCTION
  • The Hypergeometric Function
  • The Confluent Hypergeometric Function
  • KEY POINTS
  • NOTES
  • REFERENCES
  • Fat Tails, Scaling, and Stable Laws
  • SCALING, STABLE LAWS, AND FAT TAILS
  • Fat Tails
  • The Class L of Fat-Tailed Distributions
  • The Law of Large Numbers and the Central Limit Theorem
  • Stable Distributions
  • EXTREME VALUE THEORY FOR IID PROCESSES
  • Maxima
  • Max-Stable Distributions
  • Generalized Extreme Value Distributions
  • Order Statistics
  • Point Process of Exceedances or Peaks over Threshold
  • Estimation
  • ELIMINATING THE ASSUMPTION OF IID SEQUENCES
  • Heavy-Tailed ARMA Processes
  • ARCH/GARCH Processes
  • Subordinated Processes
  • Markov Switching Models
  • Estimation
  • Scaling and Self-Similarity
  • KEY POINTS
  • NOTES
  • REFERENCES
  • Copulas
  • DRAWBACKS OF CORRELATION
  • OVERCOMING THE DRAWBACKS OF CORRELATION: COPULAS
  • MATHEMATICAL DEFINITION OF COPULAS
  • KEY POINTS
  • NOTES
  • REFERENCES
  • Applications of Order Statistics to Risk Management Problems.
  • PERFORMANCE OF VaR ESTIMATION.

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