Structural Approach Of Credit Risk With Jump Diffusion Process

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Structural Approach of Credit Risk with Jump Diffusion Process

Author : Thanh Binh Dao
Publisher : LAP Lambert Academic Publishing
ISBN 13 : 9783845409061
Total Pages : 180 pages
Book Rating : 4.4/5 (9 download)

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Book Synopsis Structural Approach of Credit Risk with Jump Diffusion Process by : Thanh Binh Dao

Download or read book Structural Approach of Credit Risk with Jump Diffusion Process written by Thanh Binh Dao and published by LAP Lambert Academic Publishing. This book was released on 2011-07 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Structural Approach of Credit Risk with Jump Diffusion Process" proposes three essays in the modelling of the firm's asset value as a jump diffusion process within the structural approach of credit risk. The first essay deals with the modelling of a perpetual coupon debt structure using two different jump diffusion processes: double exponential and uniform. The second models a debt structure of roll-over perpetual, where the firm's asset value follows a double exponential jump diffusion process. The third develops a model with zero coupon debt structure, and takes into account a stopping time marked by an important negative jump. In our essays, we obtain almost closed form formulae for the debt, equity and firm values, as well as the endogenous default barrier and credit spreads. Levels of credit spreads obtained are closer to the market data and confirm the existence of an optimal capital structure, which takes into account the risk free rate, pay-out ratio, firm risk, tax rate, default costs, and jump intensity & sizes.These essays are designed to provide academic and practitioners with useful and insightful knowledge of credit risk, default event as well as credit spreada.

A Jump-diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities

Author : Chunsheng Zhou
Publisher :
ISBN 13 :
Total Pages : 64 pages
Book Rating : 4.E/5 ( download)

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Book Synopsis A Jump-diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities by : Chunsheng Zhou

Download or read book A Jump-diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities written by Chunsheng Zhou and published by . This book was released on 1997 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Credit Risk: Modeling, Valuation and Hedging

Author : Tomasz R. Bielecki
Publisher : Springer Science & Business Media
ISBN 13 : 9783540675938
Total Pages : 524 pages
Book Rating : 4.6/5 (759 download)

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Book Synopsis Credit Risk: Modeling, Valuation and Hedging by : Tomasz R. Bielecki

Download or read book Credit Risk: Modeling, Valuation and Hedging written by Tomasz R. Bielecki and published by Springer Science & Business Media. This book was released on 2004-01-22 with total page 524 pages. Available in PDF, EPUB and Kindle. Book excerpt: The motivation for the mathematical modeling studied in this text on developments in credit risk research is the bridging of the gap between mathematical theory of credit risk and the financial practice. Mathematical developments are covered thoroughly and give the structural and reduced-form approaches to credit risk modeling. Included is a detailed study of various arbitrage-free models of default term structures with several rating grades.

Non-gaussian Merton-black-scholes Theory

Author : Svetlana Boyarchenko
Publisher : World Scientific
ISBN 13 : 9814488615
Total Pages : 421 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis Non-gaussian Merton-black-scholes Theory by : Svetlana Boyarchenko

Download or read book Non-gaussian Merton-black-scholes Theory written by Svetlana Boyarchenko and published by World Scientific. This book was released on 2002-03-28 with total page 421 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces an analytically tractable and computationally effective class of non-Gaussian models for shocks (regular Lévy processes of the exponential type) and related analytical methods similar to the initial Merton-Black-Scholes approach, which the authors call the Merton-Black-Scholes theory.The authors have chosen applications interesting for financial engineers and specialists in financial economics, real options, and partial differential equations (especially pseudodifferential operators); specialists in stochastic processes will benefit from the use of the pseudodifferential operators technique in non-Gaussian situations. The authors also consider discrete time analogues of perpetual American options and the problem of the optimal choice of capital, and outline several possible directions in which the methods of the book can be developed further.Taking account of a diverse audience, the book has been written in such a way that it is simple at the beginning and more technical in further chapters, so that it is accessible to graduate students in relevant areas and mathematicians without prior knowledge of finance or economics.

Sustainable Statistical and Data Science Methods and Practices

Author : O. Olawale Awe
Publisher : Springer Nature
ISBN 13 : 3031413520
Total Pages : 433 pages
Book Rating : 4.0/5 (314 download)

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Book Synopsis Sustainable Statistical and Data Science Methods and Practices by : O. Olawale Awe

Download or read book Sustainable Statistical and Data Science Methods and Practices written by O. Olawale Awe and published by Springer Nature. This book was released on 2024-01-05 with total page 433 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume gathers papers presented at the LISA 2020 Sustainability Symposium in Kumasi, Ghana, May 2–6, 2022. They focus on sustainable methods and practices of using statistics and data science to address real-world problems. From utilizing social media for statistical collaboration to predicting obesity among rural women, and from analyzing inflation in Nigeria using machine learning to teaching data science in Africa, this book explores the intersection of data, statistics, and sustainability. With practical applications, code snippets, and case studies, this book offers valuable insights for researchers, policymakers, and data enthusiasts alike. The LISA 2020 Global Network aims to enhance statistical and data science capability in developing countries through the creation of a network of collaboration laboratories (also known as “stat labs”). These stat labs are intended to serve as engines for development by training the next generation of collaborative statisticians and data scientists, providing research infrastructure for researchers, data producers, and decision-makers, and enabling evidence-based decision-making that has a positive impact on society. The research conducted at LISA 2020 focuses on practical methods and applications for sustainable growth of statistical capacity in developing nations.

Econometric Methods and Their Applications in Finance, Macro and Related Fields

Author : Kaddour Hadri
Publisher : World Scientific
ISBN 13 : 9814513474
Total Pages : 616 pages
Book Rating : 4.8/5 (145 download)

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Book Synopsis Econometric Methods and Their Applications in Finance, Macro and Related Fields by : Kaddour Hadri

Download or read book Econometric Methods and Their Applications in Finance, Macro and Related Fields written by Kaddour Hadri and published by World Scientific. This book was released on 2014 with total page 616 pages. Available in PDF, EPUB and Kindle. Book excerpt: The volume aims at providing an outlet for some of the best papers presented at the 15th Annual Conference of the African Econometric Society, which is one of the OC chaptersOCO of the International Econometric Society. Many of these papers represent the state of the art in financial econometrics and applied econometric modeling, and some also provide useful simulations that shed light on the models'' ability to generate meaningful scenarios for forecasting and policy analysis. Contents: Financial Econometrics and International Finance: Modeling Interest Rates Using Reducible Stochastic Differential Equations: A Copula-Based Multivariate Approach (Ruijun Bu, Ludovic Giet, Kaddour Hadri and Michel Lubrano); Financial Risk Management Using Asymmetric Heavy-Tailed Distribution and Nonlinear Dependence Structures of Asset Returns Under Discontinuous Dynamics (Alaa El-Shazly); Modeling Time-Varying Dependence in the Term Structure of Interest Rates (Diaa Noureldin); Nonlinear Filtering and Market Implied Rating for a Jump-Diffusion Structural Model of Credit Risk (Alaa El-Shazly); Time-Varying Optimal Weights for International Asset Allocation in African and South Asian Markets (Dalia El-Edel); Econometric Theory and Methods: Econometric Methods for Ordered Responses: Some Recent Developments (Franco Peracchi); Which Quantile Is the Most Informative? Maximum Likelihood, Maximum Entropy and Quantile Regression (Anil K Bera, Antonio F Galvao Jr., Gabriel V Montes-Rojas, Sung Y Park); The Experimetrics of Fairness (Anna Conte and Peter Moffatt); Uniform in Bandwidth Tests of Specification for Conditional Moment Restrictions Models (Pascal Lavergne and Pierre Nguimkeu); Joint LM Test for Homoscedasticity in a Two Way Error Components Model (Eugene Kouassi, Joel Sango, J M BossonBrou and Kern O Kymn); An Approximation to the Distribution of the Pooled Estimator When the Time Series Equation Is One of a Complete System (Ghazal Amer and William Mikhail); Monetary, Labor, Environmental and Other Econometric Applications: Monetary Policy and the Role of the Exchange Rate in Egypt (Tarek Morsi and Mai El-Mossallamy); International Migration, Remittances and Household Poverty Status in Egypt (Rania Roushdy, Ragui Assaad and Ali Rashed); Determinants of Job Quality and Wages of the Working Poor: Evidence From 1998OCo2006 Egypt Labor Market Panel Survey (Mona Said); A Contract-Theoretic Model of Conservation Agreements (Heidi Gjertsen, Theodore Groves, David A Miller, Eduard Niesten, Dale Squires and Joel Watson); Household Environment and Child Health in Egypt (Mahmoud Hailat and Franco Peracchi); Modeling the Relationship between Natural Resource Abundance, Economic Growth, and the Environment: A Cross-Country Study (Hala Abou-Ali and Yasmine M Abdelfattah); Global Cement Industry: Competitive and Institutional Frameworks (Tarek H Selim and Ahmed S Salem); On the Occurrence of Ponzi Schemes in Presence of Credit Restrictions Penalizing Default (Abdelkrim Seghir); Is Targeted Advertising Always Beneficial? (Nada Ben Elhadj-Ben Brahim, Rim Lahmandi-Ayed and Didier Laussel). Readership: Graduate students and researchers in the fields of econometrics, economic theory, applied econometrics.

Handbook of Quantitative Finance and Risk Management

Author : Cheng-Few Lee
Publisher : Springer Science & Business Media
ISBN 13 : 0387771174
Total Pages : 1700 pages
Book Rating : 4.3/5 (877 download)

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Book Synopsis Handbook of Quantitative Finance and Risk Management by : Cheng-Few Lee

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.

Advances in Portfolio Construction and Implementation

Author : Alan Scowcroft
Publisher : Elsevier
ISBN 13 : 0080471846
Total Pages : 384 pages
Book Rating : 4.0/5 (84 download)

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Book Synopsis Advances in Portfolio Construction and Implementation by : Alan Scowcroft

Download or read book Advances in Portfolio Construction and Implementation written by Alan Scowcroft and published by Elsevier. This book was released on 2003-06-25 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern Portfolio Theory explores how risk averse investors construct portfolios in order to optimize market risk against expected returns. The theory quantifies the benefits of diversification.Modern Portfolio Theory provides a broad context for understanding the interactions of systematic risk and reward. It has profoundly shaped how institutional portfolios are managed, and has motivated the use of passive investment management techniques, and the mathematics of MPT is used extensively in financial risk management.Advances in Portfolio Construction and Implementation offers practical guidance in addition to the theory, and is therefore ideal for Risk Mangers, Actuaries, Investment Managers, and Consultants worldwide. Issues are covered from a global perspective and all the recent developments of financial risk management are presented. Although not designed as an academic text, it should be useful to graduate students in finance.*Provides practical guidance on financial risk management*Covers the latest developments in investment portfolio construction*Full coverage of the latest cutting edge research on measuring portfolio risk, alternatives to mean variance analysis, expected returns forecasting, the construction of global portfolios and hedge portfolios (funds)

The Oxford Handbook of Credit Derivatives

Author : Alexander Lipton
Publisher : OUP Oxford
ISBN 13 : 0191648256
Total Pages : 828 pages
Book Rating : 4.1/5 (916 download)

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Book Synopsis The Oxford Handbook of Credit Derivatives by : Alexander Lipton

Download or read book The Oxford Handbook of Credit Derivatives written by Alexander Lipton and published by OUP Oxford. This book was released on 2013-01-17 with total page 828 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the late 1990s, the spectacular growth of a secondary market for credit through derivatives has been matched by the emergence of mathematical modelling analysing the credit risk embedded in these contracts. This book aims to provide a broad and deep overview of this modelling, covering statistical analysis and techniques, modelling of default of both single and multiple entities, counterparty risk, Gaussian and non-Gaussian modelling, and securitisation. Both reduced-form and firm-value models for the default of single entities are considered in detail, with extensive discussion of both their theoretical underpinnings and practical usage in pricing and risk. For multiple entity modelling, the now notorious Gaussian copula is discussed with analysis of its shortcomings, as well as a wide range of alternative approaches including multivariate extensions to both firm-value and reduced form models, and continuous-time Markov chains. One important case of multiple entities modelling - counterparty risk in credit derivatives - is further explored in two dedicated chapters. Alternative non-Gaussian approaches to modelling are also discussed, including extreme-value theory and saddle-point approximations to deal with tail risk. Finally, the recent growth in securitisation is covered, including house price modelling and pricing models for asset-backed CDOs. The current credit crisis has brought modelling of the previously arcane credit markets into the public arena. Lipton and Rennie with their excellent team of contributors, provide a timely discussion of the mathematical modelling that underpins both credit derivatives and securitisation. Though technical in nature, the pros and cons of various approaches attempt to provide a balanced view of the role that mathematical modelling plays in the modern credit markets. This book will appeal to students and researchers in statistics, economics, and finance, as well as practitioners, credit traders, and quantitative analysts

Credit Risk Valuation

Author : Manuel Ammann
Publisher : Springer Science & Business Media
ISBN 13 : 3662064251
Total Pages : 259 pages
Book Rating : 4.6/5 (62 download)

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Book Synopsis Credit Risk Valuation by : Manuel Ammann

Download or read book Credit Risk Valuation written by Manuel Ammann and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 259 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers an advanced introduction to models of credit risk valuation, concentrating on firm-value and reduced-form approaches and their application. Also included are new models for valuing derivative securities with credit risk. The book provides detailed descriptions of the state-of-the-art martingale methods and advanced numerical implementations based on multivariate trees used to price derivative credit risk. Numerical examples illustrate the effects of credit risk on the prices of financial derivatives.

Credit Derivatives

Author : Mark J. P. Anson
Publisher : John Wiley & Sons
ISBN 13 : 0471652385
Total Pages : 353 pages
Book Rating : 4.4/5 (716 download)

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Book Synopsis Credit Derivatives by : Mark J. P. Anson

Download or read book Credit Derivatives written by Mark J. P. Anson and published by John Wiley & Sons. This book was released on 2004-02-01 with total page 353 pages. Available in PDF, EPUB and Kindle. Book excerpt: An essential guide to credit derivatives Credit derivatives has become one of the fastest-growing areas of interest in global derivatives and risk management. Credit Derivatives takes the reader through an in-depth explanation of an investment tool that has been increasingly used to manage credit risk in banking and capital markets. Anson discusses everything from the basics of why credit risk is important to accounting and tax implications of credit derivatives. Key topics covered in this essential guidebook include: credit swaps; credit forwards; credit linked notes; and credit derivative pricing models. Anson also discusses the implications of credit risk management as well as credit derivative regulation. Using charts, examples, basic investment theory, and elementary mathematics, Credit Derivatives illustrates the real-world practice and applications of credit derivatives products. Mark J. P. Anson (Sacramento, CA) is the Chief Investment Officer at Calpers. Frank J. Fabozzi (New Hope, PA) is a Fellow of the International Center for Finance at Yale University. Moorad Choudhry (Surrey, UK) is a Vice President in Structured Finance Services with JP Morgan Chase Bank in London. Ren-Raw Chen is an Assistant and Associate Professor at the Rutgers University Faculty of Management.

Credit Risk: Modeling, Valuation and Hedging

Author : Tomasz R. Bielecki
Publisher : Springer Science & Business Media
ISBN 13 : 3662048213
Total Pages : 517 pages
Book Rating : 4.6/5 (62 download)

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Book Synopsis Credit Risk: Modeling, Valuation and Hedging by : Tomasz R. Bielecki

Download or read book Credit Risk: Modeling, Valuation and Hedging written by Tomasz R. Bielecki and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 517 pages. Available in PDF, EPUB and Kindle. Book excerpt: The motivation for the mathematical modeling studied in this text on developments in credit risk research is the bridging of the gap between mathematical theory of credit risk and the financial practice. Mathematical developments are covered thoroughly and give the structural and reduced-form approaches to credit risk modeling. Included is a detailed study of various arbitrage-free models of default term structures with several rating grades.

Innovations In Insurance, Risk- And Asset Management - Proceedings Of The Innovations In Insurance, Risk- And Asset Management Conference

Download Innovations In Insurance, Risk- And Asset Management - Proceedings Of The Innovations In Insurance, Risk- And Asset Management Conference PDF Online Free

Author : Kathrin Glau
Publisher : World Scientific
ISBN 13 : 9813272570
Total Pages : 468 pages
Book Rating : 4.8/5 (132 download)

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Book Synopsis Innovations In Insurance, Risk- And Asset Management - Proceedings Of The Innovations In Insurance, Risk- And Asset Management Conference by : Kathrin Glau

Download or read book Innovations In Insurance, Risk- And Asset Management - Proceedings Of The Innovations In Insurance, Risk- And Asset Management Conference written by Kathrin Glau and published by World Scientific. This book was released on 2018-09-14 with total page 468 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers recent developments in the interdisciplinary fields of actuarial science, quantitative finance, risk- and asset management. The authors are leading experts from academia and practice who participated in Innovations in Insurance, Risk- and Asset Management, an international conference held at the Technical University of Munich in 2017.The topics covered include the mathematics of extreme risks, systemic risk, model uncertainty, interest rate and hybrid models, alternative investments, dynamic investment strategies, quantitative risk management, asset liability management, liability driven investments, and behavioral finance.This timely selection of topics is highly relevant for the financial industry and addresses current issues both from an academic as well as from a practitioner's point of view.

Credit Risk

Author : Darrell Duffie
Publisher : Princeton University Press
ISBN 13 : 1400829178
Total Pages : 415 pages
Book Rating : 4.4/5 (8 download)

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Book Synopsis Credit Risk by : Darrell Duffie

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.

Nonlinear Mathematics for Uncertainty and its Applications

Author : Shoumei Li
Publisher : Springer Science & Business Media
ISBN 13 : 364222833X
Total Pages : 708 pages
Book Rating : 4.6/5 (422 download)

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Book Synopsis Nonlinear Mathematics for Uncertainty and its Applications by : Shoumei Li

Download or read book Nonlinear Mathematics for Uncertainty and its Applications written by Shoumei Li and published by Springer Science & Business Media. This book was released on 2011-07-21 with total page 708 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume is a collection of papers presented at the international conference on Nonlinear Mathematics for Uncertainty and Its Applications (NLMUA2011), held at Beijing University of Technology during the week of September 7--9, 2011. The conference brought together leading researchers and practitioners involved with all aspects of nonlinear mathematics for uncertainty and its applications. Over the last fifty years there have been many attempts in extending the theory of classical probability and statistical models to the generalized one which can cope with problems of inference and decision making when the model-related information is scarce, vague, ambiguous, or incomplete. Such attempts include the study of nonadditive measures and their integrals, imprecise probabilities and random sets, and their applications in information sciences, economics, finance, insurance, engineering, and social sciences. The book presents topics including nonadditive measures and nonlinear integrals, Choquet, Sugeno and other types of integrals, possibility theory, Dempster-Shafer theory, random sets, fuzzy random sets and related statistics, set-valued and fuzzy stochastic processes, imprecise probability theory and related statistical models, fuzzy mathematics, nonlinear functional analysis, information theory, mathematical finance and risk managements, decision making under various types of uncertainty, and others.

Applied Operational Research

Author : Kaveh Sheibani
Publisher : ORLAB Analytics
ISBN 13 :
Total Pages : 564 pages
Book Rating : 4./5 ( download)

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Book Synopsis Applied Operational Research by : Kaveh Sheibani

Download or read book Applied Operational Research written by Kaveh Sheibani and published by ORLAB Analytics. This book was released on 2010-08-25 with total page 564 pages. Available in PDF, EPUB and Kindle. Book excerpt: These proceedings gather contributions presented at the 2nd International Conference on Applied Operational Research (ICAOR 2010) in Turku, Finland, August 25-27, 2010, published in the series Lecture Notes in Management Science (LNMS). The conference covers all aspects of Operational Research and Management Science (OR/MS) with a particular emphasis on applications.

Stochastic Models

Author : Donald Andrew Dawson
Publisher : American Mathematical Soc.
ISBN 13 : 9780821810637
Total Pages : 492 pages
Book Rating : 4.8/5 (16 download)

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Book Synopsis Stochastic Models by : Donald Andrew Dawson

Download or read book Stochastic Models written by Donald Andrew Dawson and published by American Mathematical Soc.. This book was released on 2000 with total page 492 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the refereed proceedings of the International Conference on Stochastic Models held in Ottawa (ON, Canada) in honor of Professor Donald A. Dawson. Contributions to the volume were written by students and colleagues of Professor Dawson, many of whom are eminent researchers in their own right. A main theme of the book is the development and study of the Dawson-Watanabe "superprocess", a fundamental building block in modelling interaction particle systems undergoing reproduction and movement. The volume also contains an excellent review article by Professor Dawson and a complete list of his work. This comprehensive work offers a wide assortment of articles on Markov processes, branching processes, mathematical finance, filtering, queueing networks, time series, and statistics. It should be of interest to a broad mathematical audience.