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Var Methodology For Non Gaussian Finance
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Book Synopsis VaR Methodology for Non-Gaussian Finance by : Marine Habart-Corlosquet
Download or read book VaR Methodology for Non-Gaussian Finance written by Marine Habart-Corlosquet and published by John Wiley & Sons. This book was released on 2013-05-06 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt: With the impact of the recent financial crises, more attention must be given to new models in finance rejecting “Black-Scholes-Samuelson” assumptions leading to what is called non-Gaussian finance. With the growing importance of Solvency II, Basel II and III regulatory rules for insurance companies and banks, value at risk (VaR) – one of the most popular risk indicator techniques plays a fundamental role in defining appropriate levels of equities. The aim of this book is to show how new VaR techniques can be built more appropriately for a crisis situation. VaR methodology for non-Gaussian finance looks at the importance of VaR in standard international rules for banks and insurance companies; gives the first non-Gaussian extensions of VaR and applies several basic statistical theories to extend classical results of VaR techniques such as the NP approximation, the Cornish-Fisher approximation, extreme and a Pareto distribution. Several non-Gaussian models using Copula methodology, Lévy processes along with particular attention to models with jumps such as the Merton model are presented; as are the consideration of time homogeneous and non-homogeneous Markov and semi-Markov processes and for each of these models. Contents 1. Use of Value-at-Risk (VaR) Techniques for Solvency II, Basel II and III. 2. Classical Value-at-Risk (VaR) Methods. 3. VaR Extensions from Gaussian Finance to Non-Gaussian Finance. 4. New VaR Methods of Non-Gaussian Finance. 5. Non-Gaussian Finance: Semi-Markov Models.
Book Synopsis Financial Modeling Under Non-Gaussian Distributions by : Eric Jondeau
Download or read book Financial Modeling Under Non-Gaussian Distributions written by Eric Jondeau and published by Springer Science & Business Media. This book was released on 2007-04-05 with total page 541 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines non-Gaussian distributions. It addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. The book is written for non-mathematicians who want to model financial market prices so the emphasis throughout is on practice. There are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other financial time series.
Book Synopsis Handbook Of Heavy-tailed Distributions In Asset Management And Risk Management by : Michele Leonardo Bianchi
Download or read book Handbook Of Heavy-tailed Distributions In Asset Management And Risk Management written by Michele Leonardo Bianchi and published by World Scientific. This book was released on 2019-03-08 with total page 598 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study of heavy-tailed distributions allows researchers to represent phenomena that occasionally exhibit very large deviations from the mean. The dynamics underlying these phenomena is an interesting theoretical subject, but the study of their statistical properties is in itself a very useful endeavor from the point of view of managing assets and controlling risk. In this book, the authors are primarily concerned with the statistical properties of heavy-tailed distributions and with the processes that exhibit jumps. A detailed overview with a Matlab implementation of heavy-tailed models applied in asset management and risk managements is presented. The book is not intended as a theoretical treatise on probability or statistics, but as a tool to understand the main concepts regarding heavy-tailed random variables and processes as applied to real-world applications in finance. Accordingly, the authors review approaches and methodologies whose realization will be useful for developing new methods for forecasting of financial variables where extreme events are not treated as anomalies, but as intrinsic parts of the economic process.
Book Synopsis Nonlinear Valuation and Non-Gaussian Risks in Finance by : Dilip B. Madan
Download or read book Nonlinear Valuation and Non-Gaussian Risks in Finance written by Dilip B. Madan and published by Cambridge University Press. This book was released on 2022-02-03 with total page 283 pages. Available in PDF, EPUB and Kindle. Book excerpt: Explore how market valuation must abandon linearity to deliver efficient resource allocation.
Book Synopsis Financial Information and Brand Value by : Sandra Rmadi-Saïd
Download or read book Financial Information and Brand Value written by Sandra Rmadi-Saïd and published by John Wiley & Sons. This book was released on 2020-12-11 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt: The brand is the companyÂs most important asset. In their financial statements, companies are faced with a lack of accounting recognition for the brands they have created, and value recognition for the brands they have acquired. This book studies the nature, characteristics and determinants of brand information published in companies annual and financial reports. It presents case studies on the methods of evaluating and developing brands, and analyzes annual reports published by listed companies, whose brands appear in international rankings. It reflects on the inadequacy of information and disclosed data to demonstrate the value of brands and the need to ensure that more reliable and relevant financial information is available to investors. Financial Information and Brand Value goes beyond the simple application of conceptual frameworks in order for the reader to master the practices related to brand valuation.
Download or read book Financial Management written by Aldo Levy and published by John Wiley & Sons. This book was released on 2018-04-16 with total page 408 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book combines the fundamentals of finance with relevance and effectiveness. It allows for the practice of this subject and covers all the programs of business schools, universities' finance courses, and engineering schools. This book is a relevant tool to acquire all the knowledge required for examination success and the achievement of proven practical competences.
Book Synopsis Innovation and Financial Markets by : Georges Kayanakis
Download or read book Innovation and Financial Markets written by Georges Kayanakis and published by John Wiley & Sons. This book was released on 2021-03-31 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt: Combining insights from academic research and practical examples, this book aims to better understand the link between financial markets and innovation management. First, we are back to the very definition of innovation and what it means for financial and non-financial companies. Then, we analyze if efficient innovation management by companies is recognized and valued by financial markets. Finally, we focus on innovation within the financial sector: does it really create value outside the financial sector itself. Are Financial innovations value … or risk creators?
Book Synopsis Data Analysis and Applications 4 by : Andreas Makrides
Download or read book Data Analysis and Applications 4 written by Andreas Makrides and published by John Wiley & Sons. This book was released on 2020-04-09 with total page 241 pages. Available in PDF, EPUB and Kindle. Book excerpt: Data analysis as an area of importance has grown exponentially, especially during the past couple of decades. This can be attributed to a rapidly growing computer industry and the wide applicability of computational techniques, in conjunction with new advances of analytic tools. This being the case, the need for literature that addresses this is self-evident. New publications are appearing, covering the need for information from all fields of science and engineering, thanks to the universal relevance of data analysis and statistics packages. This book is a collective work by a number of leading scientists, analysts, engineers, mathematicians and statisticians who have been working at the forefront of data analysis. The chapters included in this volume represent a cross-section of current concerns and research interests in these scientific areas. The material is divided into three parts: Financial Data Analysis and Methods, Statistics and Stochastic Data Analysis and Methods, and Demographic Methods and Data Analysis- providing the reader with both theoretical and applied information on data analysis methods, models and techniques and appropriate applications.
Book Synopsis Sustainable Enterprise Performance by : Jean-Louis Leignel
Download or read book Sustainable Enterprise Performance written by Jean-Louis Leignel and published by John Wiley & Sons. This book was released on 2019-04-26 with total page 137 pages. Available in PDF, EPUB and Kindle. Book excerpt: Sustainable Enterprise Performance details a method for evaluating an enterprise’s readiness and progress toward sustainable performance through a comprehensive set of qualitative and quantitative indicators. These indicators cover enterprise strategy for meeting both the impact of the enterprise within the framework of corporate social responsibility and the expectations of stakeholders, evolving and monitoring the product and service offerings and business processes. The second half of the book focuses more closely on fundamental determinants of performance, such as digital transformation and artificial intelligence, corporate culture, ethics and compliance, branding and e-reputation and best-practice Lean management, and provides practical measures against which companies may assess the maturity of their sustainable performance.
Book Synopsis Applied Modeling Techniques and Data Analysis 1 by : Yiannis Dimotikalis
Download or read book Applied Modeling Techniques and Data Analysis 1 written by Yiannis Dimotikalis and published by John Wiley & Sons. This book was released on 2021-05-11 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt: BIG DATA, ARTIFICIAL INTELLIGENCE AND DATA ANALYSIS SET Coordinated by Jacques Janssen Data analysis is a scientific field that continues to grow enormously, most notably over the last few decades, following rapid growth within the tech industry, as well as the wide applicability of computational techniques alongside new advances in analytic tools. Modeling enables data analysts to identify relationships, make predictions, and to understand, interpret and visualize the extracted information more strategically. This book includes the most recent advances on this topic, meeting increasing demand from wide circles of the scientific community. Applied Modeling Techniques and Data Analysis 1 is a collective work by a number of leading scientists, analysts, engineers, mathematicians and statisticians, working on the front end of data analysis and modeling applications. The chapters cover a cross section of current concerns and research interests in the above scientific areas. The collected material is divided into appropriate sections to provide the reader with both theoretical and applied information on data analysis methods, models and techniques, along with appropriate applications.
Book Synopsis Data Analysis and Related Applications, Volume 2 by : Konstantinos N. Zafeiris
Download or read book Data Analysis and Related Applications, Volume 2 written by Konstantinos N. Zafeiris and published by John Wiley & Sons. This book was released on 2022-10-25 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt: The scientific field of data analysis is constantly expanding due to the rapid growth of the computer industry and the wide applicability of computational and algorithmic techniques, in conjunction with new advances in statistical, stochastic and analytic tools. There is a constant need for new, high-quality publications to cover the recent advances in all fields of science and engineering. This book is a collective work by a number of leading scientists, computer experts, analysts, engineers, mathematicians, probabilists and statisticians who have been working at the forefront of data analysis and related applications. The chapters of this collaborative work represent a cross-section of current concerns, developments and research interests in the above scientific areas. The collected material has been divided into appropriate sections to provide the reader with both theoretical and applied information on data analysis methods, models and techniques, along with related applications.
Book Synopsis Data Analysis and Applications 1 by : Christos H. Skiadas
Download or read book Data Analysis and Applications 1 written by Christos H. Skiadas and published by John Wiley & Sons. This book was released on 2019-05-21 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: This series of books collects a diverse array of work that provides the reader with theoretical and applied information on data analysis methods, models, and techniques, along with appropriate applications. Volume 1 begins with an introductory chapter by Gilbert Saporta, a leading expert in the field, who summarizes the developments in data analysis over the last 50 years. The book is then divided into three parts: Part 1 presents clustering and regression cases; Part 2 examines grouping and decomposition, GARCH and threshold models, structural equations, and SME modeling; and Part 3 presents symbolic data analysis, time series and multiple choice models, modeling in demography, and data mining.
Book Synopsis Data Analysis and Applications 2 by : Christos H. Skiadas
Download or read book Data Analysis and Applications 2 written by Christos H. Skiadas and published by John Wiley & Sons. This book was released on 2019-05-21 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt: This series of books collects a diverse array of work that provides the reader with theoretical and applied information on data analysis methods, models and techniques, along with appropriate applications. Volume 2 begins with an introductory chapter by Gilbert Saporta, a leading expert in the field, who summarizes the developments in data analysis over the last 50 years. The book is then divided into four parts: Part 1 examines (in)dependence relationships, innovation in the Nordic countries, dentistry journals, dependence among growth rates of GDP of V4 countries, emissions mitigation, and five-star ratings; Part 2 investigates access to credit for SMEs, gender-based impacts given Southern Europe’s economic crisis, and labor market transition probabilities; Part 3 looks at recruitment at university job-placement offices and the Program for International Student Assessment; and Part 4 examines discriminants, PageRank, and the political spectrum of Germany.
Book Synopsis Investment Decision-making Using Optional Models by : David Heller
Download or read book Investment Decision-making Using Optional Models written by David Heller and published by John Wiley & Sons. This book was released on 2019-12-19 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt: In order to create value, companies must allocate their resources effectively and evaluate investment alternatives. This book examines, from a theoretical and empirical point of view, how managerial flexibility can be integrated into investment decisions through the optional approach. Unlike the traditional net present value method, the actual options take into account indeterminate elements. These lead to unpredictable cash flows at the time of the investment decision, especially in the context of complex and risky projects. The book puts into perspective the use of optional models and their interactions. The different categories of options are the subject of practical applications, through analysis of investment decisions where uncertainty is growing. Therefore, studies make it possible to consider the flexible nature of investment choices by integrating new information and risk over time.
Download or read book Patents written by Marc Baudry and published by John Wiley & Sons. This book was released on 2017-10-30 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt: The patent system is criticized today by some practitioners and economists. In fact, there is a partial disconnection between patent demographics and productivity gains, but also the development of actors who do not innovate and who develop business models that their detractors equate with a capture of annuities or a dangerous commodification of patents. This book provides a less Manichaean view of the position of patents in the system of contemporary innovation. It first recalls that these criticisms are not new, before arguing that if these criticisms have been revived, it is because of a partial shift from an integrated innovation system to a much more fragmented and open system. This shift accompanied the promotion of a more competitive economy. The authors show that this movement is coherent with a more intensive use of patents, but also one that is more focused on their signal function than on their function of direct monetary incentive to innovation.
Book Synopsis Information, Knowledge and Agile Creativity by : Stéphane Goria
Download or read book Information, Knowledge and Agile Creativity written by Stéphane Goria and published by John Wiley & Sons. This book was released on 2019-09-22 with total page 193 pages. Available in PDF, EPUB and Kindle. Book excerpt: Information, Knowledge and Agile Creativity will enlighten entrepreneurs, and is ideal for facilitating an organization’s ability to react and adapt to its environment. Creativity is a system that engenders innovation. While integral at the conception stage, it is also important before and after this phase. This book offers a collection of tools, as well as a methodology, to estimate the agility of an organization to generate and transform ideas into solutions that are not only new but also adapted to their users. To this end, this book presents strategic foresight and problem comprehension methods; tools of sharing and visual information formatting; animation tips for creativity workshops; techniques for generating ideas; and tools for visualizing and mapping ideas, information, and knowledge.
Book Synopsis Security and Privacy in the Digital Era by : Claudine Guerrier
Download or read book Security and Privacy in the Digital Era written by Claudine Guerrier and published by John Wiley & Sons. This book was released on 2016-08-29 with total page 293 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The state, that must eradicate all feelings of insecurity, even potential ones, has been caught in a spiral of exception, suspicion and oppression that may lead to a complete disappearance of liberties." —Mireille Delmas Marty, Libertés et sûreté dans un monde dangereux, 2010 This book will examine the security/freedom duo in space and time with regards to electronic communications and technologies used in social control. It will follow a diachronic path from the relative balance between philosophy and human rights, very dear to Western civilization (at the end of the 20th Century), to the current situation, where there seems to be less freedom in terms of security to the point that some scholars have wondered whether privacy should be redefined in this era. The actors involved (the Western states, digital firms, human rights organizations etc.) have seen their roles impact the legal and political science fields.
