Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Download Stochastic Modeling Prediction And Pricing Ofdefault Risk full books in PDF, epub, and Kindle. Read online Stochastic Modeling Prediction And Pricing Ofdefault Risk ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Author : Huaming Zhai
Publisher :
ISBN 13 :
Total Pages : 526 pages
Book Rating : 4.:/5 (89 download)
Download or read book Stochastic Modeling, Prediction and Pricing Ofdefault Risk written by Huaming Zhai and published by . This book was released on 1995 with total page 526 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Howard M. Taylor
Publisher : Academic Press
ISBN 13 : 1483269272
Total Pages : 410 pages
Book Rating : 4.4/5 (832 download)
Download or read book An Introduction to Stochastic Modeling written by Howard M. Taylor and published by Academic Press. This book was released on 2014-05-10 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: An Introduction to Stochastic Modeling provides information pertinent to the standard concepts and methods of stochastic modeling. This book presents the rich diversity of applications of stochastic processes in the sciences. Organized into nine chapters, this book begins with an overview of diverse types of stochastic models, which predicts a set of possible outcomes weighed by their likelihoods or probabilities. This text then provides exercises in the applications of simple stochastic analysis to appropriate problems. Other chapters consider the study of general functions of independent, identically distributed, nonnegative random variables representing the successive intervals between renewals. This book discusses as well the numerous examples of Markov branching processes that arise naturally in various scientific disciplines. The final chapter deals with queueing models, which aid the design process by predicting system performance. This book is a valuable resource for students of engineering and management science. Engineers will also find this book useful.
Author : Giuseppe Montesi
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (13 download)
Download or read book Risk Analysis Probability of Default written by Giuseppe Montesi and published by . This book was released on 2015 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: We present a stochastic simulation model for estimating forward-looking corporate probability of default and loss given default. We formulate the model in a discrete time frame, apply capital-budgeting techniques to define the relationships that identify the default condition, and solve the model by Monte Carlo simulation. First, we present the model; then we show how to extend the model to estimate company specific loss given default, expected loss and unexpected loss as well. Subsequently, we compare the RAPD model with option/contingent models, inasmuch as both models use the same definition of the event of default. The focus of this paper is on the theoretical and modeling aspects of the new methodological approach proposed; however we also present an application of the method that represents just one example of its possible implementations, and the results of a comparative test (covering RAPD, Altman Z-score, two option-contingent models and S&P ratings) which in our opinion constitutes a preliminary positive empirical support of the validity of the RAPD Approach. Conclusive remarks end the paper.
Author : Darrell Duffie
Publisher : OUP Oxford
ISBN 13 : 019150047X
Total Pages : 122 pages
Book Rating : 4.1/5 (915 download)
Download or read book Measuring Corporate Default Risk written by Darrell Duffie and published by OUP Oxford. This book was released on 2011-06-23 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book, based on the author's Clarendon Lectures in Finance, examines the empirical behaviour of corporate default risk. A new and unified statistical methodology for default prediction, based on stochastic intensity modeling, is explained and implemented with data on U.S. public corporations since 1980. Special attention is given to the measurement of correlation of default risk across firms. The underlying work was developed in a series of collaborations over roughly the past decade with Sanjiv Das, Andreas Eckner, Guillaume Horel, Nikunj Kapadia, Leandro Saita, and Ke Wang. Where possible, the content based on methodology has been separated from the substantive empirical findings, in order to provide access to the latter for those less focused on the mathematical foundations. A key finding is that corporate defaults are more clustered in time than would be suggested by their exposure to observable common or correlated risk factors. The methodology allows for hidden sources of default correlation, which are particularly important to include when estimating the likelihood that a portfolio of corporate loans will suffer large default losses. The data also reveal that a substantial amount of power for predicting the default of a corporation can be obtained from the firm's "distance to default," a volatility-adjusted measure of leverage that is the basis of the theoretical models of corporate debt pricing of Black, Scholes, and Merton. The findings are particularly relevant in the aftermath of the financial crisis, which revealed a lack of attention to the proper modelling of correlation of default risk across firms.
Author : Marouan Iben Taarit
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (13 download)
Download or read book Pricing Derivatives with Credit Risk written by Marouan Iben Taarit and published by . This book was released on 2017 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: We address in this paper new developments in pricing derivatives within a default event. Based on stochastic expansion arguments, the pricing is made under a generic stochastic model for the default intensity. The derivative's price is expressed through a deterministic proxy for the default intensity to which is added an explicit summation of terms involving only Greeks computed under the proxy model. The impacts of the intensity's volatility and the correlation between the default and the remaining risk processes become explicit and can be directly estimated. In addition, the accuracy of our formulas does minimally depend on the smoothness of the payoff function, which makes our approach very suitable for pricing in real market situations.
Author : Jitka Dupacova
Publisher : Springer Science & Business Media
ISBN 13 : 1402008406
Total Pages : 394 pages
Book Rating : 4.4/5 (2 download)
Download or read book Stochastic Modeling in Economics and Finance written by Jitka Dupacova and published by Springer Science & Business Media. This book was released on 2002-08-31 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: Unlike other books that focus only on selected specific subjects this book provides both a broad and rich cross-section of contemporary approaches to stochastic modeling in finance and economics; it is decision making oriented. The material ranges from common tools to solutions of sophisticated system problems and applications. In Part I, the fundamentals of financial thinking and elementary mathematical methods of finance are presented. The method of presentation is simple enough to bridge the elements of financial arithmetic and complex models of financial math developed in the later parts. It covers characteristics of cash flows, yield curves, and valuation of securities. Part II is devoted to the allocation of funds and risk management: classics (Markowitz theory of portfolio), capital asset pricing model, arbitrage pricing theory, asset & liability management, value at risk. The method explanation takes into account the computational aspects. Part III explains modeling aspects of multistage stochastic programming on a relatively accessible level. It includes a survey of existing software, links to parametric, multiobjective and dynamic programming, and to probability and statistics. It focuses on scenario-based problems with the problems of scenario generation and output analysis discussed in detail and illustrated within a case study. Selected examples of successful applications in finance, production planning and management of technological processes and electricity generation are presented. Throughout, the emphasis is on the appropriate use of the techniques, rather than on the underlying mathematical proofs and theories. In Part IV, the sections devoted to stochastic calculus cover also more advanced topics such as DDS Theorem or extremal martingale measures, which make it possible to treat more delicate models in Mathematical Finance (complete markets, optimal control, etc.) Audience: Students and researchers in probability and statistics, econometrics, operations research and various fields of finance, economics, engineering, and insurance.
Author : Darrell Duffie
Publisher : Princeton University Press
ISBN 13 : 1400829178
Total Pages : 415 pages
Book Rating : 4.4/5 (8 download)
Download or read book Credit Risk written by Darrell Duffie and published by Princeton University Press. This book was released on 2012-01-12 with total page 415 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book, two of America's leading economists provide the first integrated treatment of the conceptual, practical, and empirical foundations for credit risk pricing and risk measurement. Masterfully applying theory to practice, Darrell Duffie and Kenneth Singleton model credit risk for the purpose of measuring portfolio risk and pricing defaultable bonds, credit derivatives, and other securities exposed to credit risk. The methodological rigor, scope, and sophistication of their state-of-the-art account is unparalleled, and its singularly in-depth treatment of pricing and credit derivatives further illuminates a problem that has drawn much attention in an era when financial institutions the world over are revising their credit management strategies. Duffie and Singleton offer critical assessments of alternative approaches to credit-risk modeling, while highlighting the strengths and weaknesses of current practice. Their approach blends in-depth discussions of the conceptual foundations of modeling with extensive analyses of the empirical properties of such credit-related time series as default probabilities, recoveries, ratings transitions, and yield spreads. Both the "structura" and "reduced-form" approaches to pricing defaultable securities are presented, and their comparative fits to historical data are assessed. The authors also provide a comprehensive treatment of the pricing of credit derivatives, including credit swaps, collateralized debt obligations, credit guarantees, lines of credit, and spread options. Not least, they describe certain enhancements to current pricing and management practices that, they argue, will better position financial institutions for future changes in the financial markets. Credit Risk is an indispensable resource for risk managers, traders or regulators dealing with financial products with a significant credit risk component, as well as for academic researchers and students.
Author : Don R. Rich
Publisher :
ISBN 13 :
Total Pages : 418 pages
Book Rating : 4.:/5 (38 download)
Download or read book Incorporating Default Risk Into the Black-Scholes Model Using Stochastic Barrier Option Pricing Theory written by Don R. Rich and published by . This book was released on 1993 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jan Klobucnik
Publisher : GRIN Verlag
ISBN 13 : 3656543585
Total Pages : 154 pages
Book Rating : 4.6/5 (565 download)
Download or read book Company Valuation and Bankruptcy Prediction written by Jan Klobucnik and published by GRIN Verlag. This book was released on 2013-11-18 with total page 154 pages. Available in PDF, EPUB and Kindle. Book excerpt: Doctoral Thesis / Dissertation from the year 2013 in the subject Economics - Finance, grade: summa cum laude, University of Cologne, language: English, abstract: The contribution of this study is manifold and relevant for academics and practitioners alike. It adds to the literature in the fields of corporate finance, financial accounting and stochastic modeling. In particular, this dissertation provides answers to the following questions: given the less efficient markets, can specialists as financial analysts provide additional information, which contain investment value? How can the true value of a company be determined with publicly available data and can discrepancies between fundamental and market values be exploited? Finally, is it possible to assess the firm’s financial health and its likelihood of failure several years into the future? Adressing these questions, the study first illustrates the company valuation assessment by financial analysts as summarized in their target prices and the information processing by analysts and investors in detail. Second, this thesis offers a novel empirical implementation of a model for fundamental company valuation that employs accounting data. In this context it demonstrates severe over- and undervaluation from a fundamental perspective in the U.S. technology sector over the last 20 years. Both the analysts’ company valuation captured by their target prices and the implementation of the fundamental company valuation model translate into significant investment value before and after transaction costs, which supports the notion of non-efficient markets. Finally, one major contribution is to evaluate a new approach for bankruptcy prediction that is based on stochastic processes. It is theoretically appealing and performs better especially for longer forecast horizons than standard methods.
Author : José González-Barrios
Publisher : American Mathematical Soc.
ISBN 13 : 0821834665
Total Pages : 282 pages
Book Rating : 4.8/5 (218 download)
Download or read book Stochastic Models written by José González-Barrios and published by American Mathematical Soc.. This book was released on 2003 with total page 282 pages. Available in PDF, EPUB and Kindle. Book excerpt: The volume includes lecture notes and research papers by participants of the Seventh Symposium on Probability and Stochastic Processes held in Mexico City. The lecture notes introduce recent advances in stochastic calculus with respect to fractional Brownian motion, principles of large deviations and of minimum entropy concerning equilibrium prices in random economic systems, and give a complete and thorough survey of credit risk theory. The research papers cover areas such as financial markets, Gaussian processes, stochastic differential equations, stochastic integration, quantum dynamical semigroups, self-intersection local times, etc. Readers should have a basic background in probability theory, stochastic integration, and stochastic differential equations. The book is suitable for graduate students and research mathematicians interested in probability, stochastic processes, and risk theory.
Author : Nicolas Privault
Publisher : World Scientific
ISBN 13 : 9814401641
Total Pages : 243 pages
Book Rating : 4.8/5 (144 download)
Download or read book Elementary Introduction To Stochastic Interest Rate Modeling, An (2nd Edition) written by Nicolas Privault and published by World Scientific. This book was released on 2012-05-04 with total page 243 pages. Available in PDF, EPUB and Kindle. Book excerpt: Interest rate modeling and the pricing of related derivatives remain subjects of increasing importance in financial mathematics and risk management. This book provides an accessible introduction to these topics by a step-by-step presentation of concepts with a focus on explicit calculations. Each chapter is accompanied with exercises and their complete solutions, making the book suitable for advanced undergraduate and graduate level students.This second edition retains the main features of the first edition while incorporating a complete revision of the text as well as additional exercises with their solutions, and a new introductory chapter on credit risk. The stochastic interest rate models considered range from standard short rate to forward rate models, with a treatment of the pricing of related derivatives such as caps and swaptions under forward measures. Some more advanced topics including the BGM model and an approach to its calibration are also covered.
Author : Andrea Bertagna
Publisher :
ISBN 13 :
Total Pages : 18 pages
Book Rating : 4.:/5 (13 download)
Download or read book Internal Default Risk Model written by Andrea Bertagna and published by . This book was released on 2018 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a new default risk model for market risk that is consistent with the requirements put forward by the Fundamental Review of the Trading Book. In particular, the model features correlated default times and stochastic recovery rates by exploiting the observed correlation between default frequency and average recoveries in historical data. Besides setting the mathematical background, we present numerical results and impacts of the various model parameters.
Author : Daniel Janocha
Publisher : GRIN Verlag
ISBN 13 : 3656987599
Total Pages : 103 pages
Book Rating : 4.6/5 (569 download)
Download or read book Stochastic Modeling of Stock Prices Incorporating Jump Diffusion and Shot Noise Models written by Daniel Janocha and published by GRIN Verlag. This book was released on 2016-08-01 with total page 103 pages. Available in PDF, EPUB and Kindle. Book excerpt: Master's Thesis from the year 2016 in the subject Mathematics - Stochastics, grade: 1,7, Technical University of Darmstadt (Forschungsgebiet Stochastik), course: Mathematik - Finanzmathematik, language: English, abstract: In this thesis, we present a stochastic model for stock prices incorporating jump diffusion and shot noise models based on the work of Altmann, Schmidt and Stute ("A Shot Noise Model For Financial Assets") and on its continuation by Schmidt and Stute ("Shot noise processes and the minimal martingale measure"). These papers differ in modeling the decay of the jump effect: Whereas it is deterministic in the first paper, it is stochastic in the last paper. In general, jump effects exist because of overreaction due to news in the press, due to illiquidity or due to incomplete information, i.e. because certain information are available only to few market participants. In financial markets, jump effects fade away as time passes: On the one hand, if the stock price falls, new investors are motivated to buy the stock. On the other hand, a rise of the stock price may lead to profit-taking, i.e. some investors sell the stock in order to lock in gains. Shot noise models are based on Merton's jump diffusion models where the decline of the jump effect after a price jump is neglected. In contrast to jump diffusion models, shot noise models respect the decay of jump effects. In complete markets, the so-called equivalent martingale measure is used to price European options and for hedging. Since stock price models incorporating jumps describe incomplete markets, the equivalent martingale measure cannot be determined uniquely. Hence, in this thesis, we deduce the so-called equivalent minimal martingale measure, both in discrete and continuous time. In contrast to Merton's jump diffusion models and to the well-known pricing model of Black and Scholes, the presented shot noise models are able to reproduce volatility smile effects which can be observed in financial markets.
Author : Carsten Wehn
Publisher : Academic Press
ISBN 13 : 0124158889
Total Pages : 657 pages
Book Rating : 4.1/5 (241 download)
Download or read book Rethinking Valuation and Pricing Models written by Carsten Wehn and published by Academic Press. This book was released on 2012-12-17 with total page 657 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is widely acknowledged that many financial modelling techniques failed during the financial crisis, and in our post-crisis environment many techniques are being reconsidered. This single volume provides a guide to lessons learned for practitioners and a reference for academics. Including reviews of traditional approaches, real examples, and case studies, contributors consider portfolio theory; methods for valuing equities and equity derivatives, interest rate derivatives, and hybrid products; and techniques for calculating risks and implementing investment strategies. Describing new approaches without losing sight of their classical antecedents, this collection of original articles presents a timely perspective on our post-crisis paradigm. Highlights pre-crisis best classical practices, identifies post-crisis key issues, and examines emerging approaches to solving those issues Singles out key factors one must consider when valuing or calculating risks in the post-crisis environment Presents material in a homogenous, practical, clear, and not overly technical manner
Author : Hans Gersbach (Economiste)
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (731 download)
Download or read book Default risk in stochastic volatility models written by Hans Gersbach (Economiste) and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Cheng-Few Lee
Publisher : Springer Science & Business Media
ISBN 13 : 0387771174
Total Pages : 1700 pages
Book Rating : 4.3/5 (877 download)
Download or read book Handbook of Quantitative Finance and Risk Management written by Cheng-Few Lee and published by Springer Science & Business Media. This book was released on 2010-06-14 with total page 1700 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This two-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.
Author : Darrell Duffie
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (129 download)
Download or read book Multi-Period Corporate Default Prediction with Stochastic Covariates written by Darrell Duffie and published by . This book was released on 2014 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide maximum likelihood estimators of term structures of conditional probabilities of corporate default, incorporating the dynamics of firm-specific and macroeconomic covariates. For U.S. Industrial firms, based on over 390,000 firm-months of data spanning 1980 to 2004, the level and shape of the estimated term structure of conditional future default probabilities depends on a firm's distance to default (a volatility-adjusted measure of leverage), on the firm's trailing stock return, on trailing Samp;P 500 returns, and on U.S. interest rates, among other covariates. Variation in a firm's distance to default has a substantially greater effect on the term structure of future default hazard rates than does a comparatively significant change in any of the other covariates. Default intensities are estimated to be lower with higher short-term interest rates. The out-of-sample predictive performance of the model is an improvement over that of other available models.
