Structural Vs Reduced Form Models

Download Structural Vs Reduced Form Models full books in PDF, epub, and Kindle. Read online Structural Vs Reduced Form Models ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!

Structural vs Reduced Form Models

Author : Robert A. Jarrow
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

DOWNLOAD NOW!

Book Synopsis Structural vs Reduced Form Models by : Robert A. Jarrow

Download or read book Structural vs Reduced Form Models written by Robert A. Jarrow and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper compares structural versus reduced form credit risk models from an information based perspective. We show that the difference between these two model types can be characterized in terms of the information assumed known by the modeler. Structural models assume that the modeler has the same information set as the firm's manager - complete knowledge of all the firm's assets and liabilities. In most situations, this knowledge leads to predictable default time. In contracts, reduced form models assume that the modeler has the same information set as the market - incomplete knowledge of the firm's condition. In most cases, the imperfect knowledge leads to an inaccessible default time. As such, we argue that the key distinction between structural and reduced form models is not whether the default is predictable or inaccessible, but whether the information set is observed by the market or not. Consequently, for pricing and hedging, reduced form models are the preferred methodology.

The Credit Market Handbook

Author : H. Gifford Fong
Publisher : John Wiley & Sons
ISBN 13 : 0471787191
Total Pages : 254 pages
Book Rating : 4.4/5 (717 download)

DOWNLOAD NOW!

Book Synopsis The Credit Market Handbook by : H. Gifford Fong

Download or read book The Credit Market Handbook written by H. Gifford Fong and published by John Wiley & Sons. This book was released on 2006-02-02 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt: In The Credit Market Handbook, financial expert and Editor H. Gifford Fong has assembled a group of prominent professionals and academics familiar with the credit arena. In each chapter, a different expert analyzes a different issue related to today's dynamic credit market, including portfolio credit risk, valuation models, and the importance of modeling credit default. In bringing together these noted authors and their work, Fong provides you with a rich framework of research in the area of credit analysis. Some of the topics discussed within this comprehensive guide include: * Estimating default probabilities implicit in equity prices * Structural versus reduced form models: a new information-based perspective * Valuing high-yield bonds * Predictions of default probabilities in structural models of debt * And much more Filled with in-depth insight and expert advice, this invaluable resource offers you the critical information you need to succeed within today's credit market.

Differences in the Ability of Structural and Reduced-Form Models to Improve Pricing Decisions

Author : Bernd Skiera
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)

DOWNLOAD NOW!

Book Synopsis Differences in the Ability of Structural and Reduced-Form Models to Improve Pricing Decisions by : Bernd Skiera

Download or read book Differences in the Ability of Structural and Reduced-Form Models to Improve Pricing Decisions written by Bernd Skiera and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Although structural modeling as a means to improve pricing decisions often appears in prestigious academic journals, its consideration in pricing textbooks remains rather limited, and knowledge about its benefits and limitations in comparison to reduced-form models is scarce among “structural nonexperts”. This article outlines for these “structural nonexperts” which different abilities structural and reduced form models have to improve pricing decisions. Therefore, it uses a popular textbook example that fails to consider the abilities of both models, which are the abilities to capture the effects of consumers' responses and changes in cost structure on prices. It outlines that the major advantages of structural models are the ability to capture competitors' reactions and the description of new market equilibriums, which come at the costs of assumptions that usually prevent structural models to further improve prices. The beauty of the simple example provided is that it enables nontechnical readers to easily understand the major differences between structural and reduced-form models.

Structural and Reduced-form Models

Author : Ashley M. Funk
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (756 download)

DOWNLOAD NOW!

Book Synopsis Structural and Reduced-form Models by : Ashley M. Funk

Download or read book Structural and Reduced-form Models written by Ashley M. Funk and published by . This book was released on 2011 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper evaluates the structural form model of John Rust's 1987 paper, Optimal Replacement of GMC Bus Engines: An Empirical Model of Harold Zurcher, by using reduced-form models to evaluate the same data and interpret the results. The question is whether reduced-form modeling such as probit and logit models can be as useful as structural models for prediction.

Reduced Form Vs. Structural Estimation of Models of Industrial Organization

Author : Stephen Martin
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (635 download)

DOWNLOAD NOW!

Book Synopsis Reduced Form Vs. Structural Estimation of Models of Industrial Organization by : Stephen Martin

Download or read book Reduced Form Vs. Structural Estimation of Models of Industrial Organization written by Stephen Martin and published by . This book was released on 1978 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Introduction to Structural Equation Models

Author : Otis Dudley Duncan
Publisher : Elsevier
ISBN 13 : 148329532X
Total Pages : 193 pages
Book Rating : 4.4/5 (832 download)

DOWNLOAD NOW!

Book Synopsis Introduction to Structural Equation Models by : Otis Dudley Duncan

Download or read book Introduction to Structural Equation Models written by Otis Dudley Duncan and published by Elsevier. This book was released on 2014-06-28 with total page 193 pages. Available in PDF, EPUB and Kindle. Book excerpt: Introduction to Structural Equation Models prepares the reader to understand the recent sociological literature on the use of structural equation models in research, and discusses methodological questions pertaining to such models. The material in first seven chapters is almost entirely standard, with the remaining four introducing progressively more open-ended issues, seducing the reader into beginning to think for himself about the properties of models or even to suggest problems that may intrigue the advanced student.

Does Modeling Framework Matter? A Comparative Study of Structural and Reduced-Form Models

Author : Yalin Gündüz
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

DOWNLOAD NOW!

Book Synopsis Does Modeling Framework Matter? A Comparative Study of Structural and Reduced-Form Models by : Yalin Gündüz

Download or read book Does Modeling Framework Matter? A Comparative Study of Structural and Reduced-Form Models written by Yalin Gündüz and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study provides a rigorous empirical comparison of structural and reduced-form credit risk frameworks. The literature differentiates between structural models that are based on modeling of the evolution of the balance sheet of the issuer, and reduced-form models that specify credit risk exogenously by a hazard rate process. Until now, there has been no common agreement in academia and practice on which model framework better captures credit risk. As major difference we focus on the discriminative modeling of the default time. In contrast to the previous literature, we calibrate both approaches to the same data set, apply comparable estimation techniques, and assess the out-of-sample prediction quality on the same time series of CDS prices. As our empirical implementations of both approaches rely on the same market information we are able to judge whether empirically the model structure itself makes an important difference. Interestingly, our study shows that the models' prediction power are quite close on average indicating that for pricing purposes the modeling type does not greatly matter compared to the input data used. Still, the reduced-form approach outperforms the structural for investment-grade names and longer maturities. In contrast the structural approach performs better for shorter maturities and sub-investment grade names.

Structural Macroeconometrics

Author : David N. DeJong
Publisher : Princeton University Press
ISBN 13 : 1400840503
Total Pages : 435 pages
Book Rating : 4.4/5 (8 download)

DOWNLOAD NOW!

Book Synopsis Structural Macroeconometrics by : David N. DeJong

Download or read book Structural Macroeconometrics written by David N. DeJong and published by Princeton University Press. This book was released on 2011-10-03 with total page 435 pages. Available in PDF, EPUB and Kindle. Book excerpt: The revised edition of the essential resource on macroeconometrics Structural Macroeconometrics provides a thorough overview and in-depth exploration of methodologies, models, and techniques used to analyze forces shaping national economies. In this thoroughly revised second edition, David DeJong and Chetan Dave emphasize time series econometrics and unite theoretical and empirical research, while taking into account important new advances in the field. The authors detail strategies for solving dynamic structural models and present the full range of methods for characterizing and evaluating empirical implications, including calibration exercises, method-of-moment procedures, and likelihood-based procedures, both classical and Bayesian. The authors look at recent strides that have been made to enhance numerical efficiency, consider the expanded applicability of dynamic factor models, and examine the use of alternative assumptions involving learning and rational inattention on the part of decision makers. The treatment of methodologies for obtaining nonlinear model representations has been expanded, and linear and nonlinear model representations are integrated throughout the text. The book offers a rich array of implementation algorithms, sample empirical applications, and supporting computer code. Structural Macroeconometrics is the ideal textbook for graduate students seeking an introduction to macroeconomics and econometrics, and for advanced students pursuing applied research in macroeconomics. The book's historical perspective, along with its broad presentation of alternative methodologies, makes it an indispensable resource for academics and professionals.

Uncertain Structural Specification and Reduced Form Estimation

Author : Esfandiar Maasoumi
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (833 download)

DOWNLOAD NOW!

Book Synopsis Uncertain Structural Specification and Reduced Form Estimation by : Esfandiar Maasoumi

Download or read book Uncertain Structural Specification and Reduced Form Estimation written by Esfandiar Maasoumi and published by . This book was released on 1977 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Does Modeling Framework Matter?

Author : Yalın Gündüz
Publisher :
ISBN 13 : 9783865587015
Total Pages : 0 pages
Book Rating : 4.5/5 (87 download)

DOWNLOAD NOW!

Book Synopsis Does Modeling Framework Matter? by : Yalın Gündüz

Download or read book Does Modeling Framework Matter? written by Yalın Gündüz and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Structural and Reduced Form Models

Author :
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (96 download)

DOWNLOAD NOW!

Book Synopsis Structural and Reduced Form Models by :

Download or read book Structural and Reduced Form Models written by and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Reduced Form vs. Structural Models of Credit Risk

Author : Navneet Arora
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

DOWNLOAD NOW!

Book Synopsis Reduced Form vs. Structural Models of Credit Risk by : Navneet Arora

Download or read book Reduced Form vs. Structural Models of Credit Risk written by Navneet Arora and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we empirically compare two structural models (basic Merton and Vasicek-Kealhofer (VK)) and one reduced-form model (Hull-White (HW)) of credit risk. We propose here that two useful purposes for credit models are default discrimination and relative value analysis. We test the ability of the Merton and VK models to discriminate defaulters from non-defaulters based on default probabilities generated from information in the equity market. We test the ability of the HW model to discriminate defaulters from non-defaulters based on default probabilities generated from information in the bond market. We find the VK and the HW models exhibit comparable accuracy ratios as well as substantially outperform the simple Merton model. We also test the ability of each model to predict spreads in the credit default swap (CDS) market as an indication of each model's strength as a relative value analysis tool. We find the VK model tends to do the best across the full sample and relative sub-samples except for cases where an issuer has many bonds in the market. In this case, the HW model tends to do the best. The empirical evidence will assist market participants in determining which model is most useful based on their purpose in hand. On the structural side, a basic Merton model is not good enough; appropriate modifications to the framework make a difference. On the reduced-form side, the quality and quantity of data make a difference; many traded issuers will not be well modeled in this way unless they issue more traded debt. In addition, bond spreads at shorter tenors (less than two years) tend to be less correlated with CDS spreads. This makes accurate calibration of the term-structure of credit risk difficult from bond data.

Generalized Latent Variable Modeling

Author : Anders Skrondal
Publisher : CRC Press
ISBN 13 : 1135443408
Total Pages : 523 pages
Book Rating : 4.1/5 (354 download)

DOWNLOAD NOW!

Book Synopsis Generalized Latent Variable Modeling by : Anders Skrondal

Download or read book Generalized Latent Variable Modeling written by Anders Skrondal and published by CRC Press. This book was released on 2004-05-11 with total page 523 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book unifies and extends latent variable models, including multilevel or generalized linear mixed models, longitudinal or panel models, item response or factor models, latent class or finite mixture models, and structural equation models. Following a gentle introduction to latent variable modeling, the authors clearly explain and contrast a wide range of estimation and prediction methods from biostatistics, psychometrics, econometrics, and statistics. They present exciting and realistic applications that demonstrate how researchers can use latent variable modeling to solve concrete problems in areas as diverse as medicine, economics, and psychology. The examples considered include many nonstandard response types, such as ordinal, nominal, count, and survival data. Joint modeling of mixed responses, such as survival and longitudinal data, is also illustrated. Numerous displays, figures, and graphs make the text vivid and easy to read. About the authors: Anders Skrondal is Professor and Chair in Social Statistics, Department of Statistics, London School of Economics, UK Sophia Rabe-Hesketh is a Professor of Educational Statistics at the Graduate School of Education and Graduate Group in Biostatistics, University of California, Berkeley, USA.

Reduced Forms of Rational Expectations Models

Author : L. Broze
Publisher : Routledge
ISBN 13 : 1136457739
Total Pages : 134 pages
Book Rating : 4.1/5 (364 download)

DOWNLOAD NOW!

Book Synopsis Reduced Forms of Rational Expectations Models by : L. Broze

Download or read book Reduced Forms of Rational Expectations Models written by L. Broze and published by Routledge. This book was released on 2013-06-17 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive exposition of rational expectations models is provided here, working up from simple univariate models to more sophisticated multivariate and non-linear models.

Analysing the Structure of Economic Models

Author : J.P. Ancot
Publisher : Springer Science & Business Media
ISBN 13 : 9789024728947
Total Pages : 270 pages
Book Rating : 4.7/5 (289 download)

DOWNLOAD NOW!

Book Synopsis Analysing the Structure of Economic Models by : J.P. Ancot

Download or read book Analysing the Structure of Economic Models written by J.P. Ancot and published by Springer Science & Business Media. This book was released on 1984-03-31 with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding the structure of a large econometric model is rather like the art of winetasting or like the art of playing a musical instrument. The quality of a wine results from a complex combination of various elements such as its colour which should be clear and crystalline, its smell which can be decomposed into a general aroma and a variety of particular characteristics, more or less persistent depending on the type and the age of the wine, its taste, of course, which again is a complex system whose equilibrium and charm depend on the whole set of ingredients: alcohol, tannin, glycerine, sugar, acidity . . . Similarly, a clarinetist's musicianship depends on the quality of his instrument, on his embouchure, fingering, tonguing and articu lation techniques, on his sense for rhythm, phasing and tone colour. However, the enchantment produced by a Romanee-Conti or by a brilliant performance of Brahm's F minor sonata for clarinet and piano arises from a process which is at the same time time much simpler and much more complex than the straightforward juxtaposition of individual causal relations. In recent years econometricians and macro-economists have been challenged by the problem of keeping abreast with an ever increasing number of increasingly more complex large econometric models. The necessity of developing systematic analytical tools to study the often implicit and hidden structure of these models has become more evident.

Structural Versus Reduced-form Models of Long-term Interest Rate Determination

Author : Benjamin M. Friedman
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (249 download)

DOWNLOAD NOW!

Book Synopsis Structural Versus Reduced-form Models of Long-term Interest Rate Determination by : Benjamin M. Friedman

Download or read book Structural Versus Reduced-form Models of Long-term Interest Rate Determination written by Benjamin M. Friedman and published by . This book was released on 1978 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Handbook of Econometrics

Author : James Joseph Heckman
Publisher : Elsevier
ISBN 13 : 0444506314
Total Pages : 1013 pages
Book Rating : 4.4/5 (445 download)

DOWNLOAD NOW!

Book Synopsis Handbook of Econometrics by : James Joseph Heckman

Download or read book Handbook of Econometrics written by James Joseph Heckman and published by Elsevier. This book was released on 2007 with total page 1013 pages. Available in PDF, EPUB and Kindle. Book excerpt: As conceived by the founders of the Econometric Society, econometrics is a field that uses economic theory and statistical methods to address empirical problems in economics. It is a tool for empirical discovery and policy analysis. The chapters in this volume embody this vision and either implement it directly or provide the tools for doing so. This vision is not shared by those who view econometrics as a branch of statistics rather than as a distinct field of knowledge that designs methods of inference from data based on models of human choice ...