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World Scientific Reference On Contingent Claims Analysis In Corporate Finance
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Book Synopsis World Scientific Reference on Contingent Claims Analysis in Corporate Finance by : Dan Galai
Download or read book World Scientific Reference on Contingent Claims Analysis in Corporate Finance written by Dan Galai and published by . This book was released on 2019 with total page 2036 pages. Available in PDF, EPUB and Kindle. Book excerpt: V.1. Foundations of CCA and equity valuation -- v. 2. Corporate debt valuation with CCA -- v. 3. Empirical testing and applications of CCA -- v. 4. Contingent claims approach for banks and sovereign debt.
Book Synopsis World Scientific Reference On Contingent Claims Analysis In Corporate Finance (In 4 Volumes) by : Michel Crouhy
Download or read book World Scientific Reference On Contingent Claims Analysis In Corporate Finance (In 4 Volumes) written by Michel Crouhy and published by World Scientific. This book was released on 2019-01-21 with total page 2039 pages. Available in PDF, EPUB and Kindle. Book excerpt: Black and Scholes (1973) and Merton (1973, 1974) (hereafter referred to as BSM) introduced the contingent claim approach (CCA) to the valuation of corporate debt and equity. The BSM modeling framework is also named the 'structural' approach to risky debt valuation. The CCA considers all stakeholders of the corporation as holding contingent claims on the assets of the corporation. Each claim holder has different priorities, maturities and conditions for payouts. It is based on the principle that all the assets belong to all the liability holders.The BSM modeling framework gives the basic fundamental version of the structural model where default is assumed to occur when the net asset value of the firm at the maturity of the pure-discount debt becomes negative, i.e., market value of the assets of the firm falls below the face value of the firm's liabilities. In a regime of limited liability, the shareholders of the firm have the option to default on the firm's debt. Equity can be viewed as a European call option on the firm's assets with a strike price equal to the face value of the firm's debt. Actually, CCA can be used to value all the components of the firm's liabilities, equity, warrants, debt, contingent convertible debt, guarantees, etc.In the four volumes we present the major academic research on CCA in corporate finance starting from 1973, with seminal papers of Black and Scholes (1973) and Merton (1973, 1974). Volume I covers the foundation of CCA and contributions on equity valuation. Volume II focuses on corporate debt valuation and the capital structure of the firm. Volume III presents empirical evidence on the valuation of debt instruments as well as applications of the CCA to various financial arrangements. The papers in Volume IV show how to apply the CCA to analyze sovereign credit risk, contingent convertible bonds (CoCos), deposit insurance and loan guarantees. Volume 1: Foundations of CCA and Equity ValuationVolume 1 presents the seminal papers of Black and Scholes (1973) and Merton (1973, 1974). This volume also includes papers that specifically price equity as a call option on the corporation. It introduces warrants, convertible bonds and taxation as contingent claims on the corporation. It highlights the strong relationship between the CCA and the Modigliani-Miller (M&M) Theorems, and the relation to the Capital Assets Pricing Model (CAPM). Volume 2: Corporate Debt Valuation with CCAVolume 2 concentrates on corporate bond valuation by introducing various types of bonds with different covenants as well as introducing various conditions that trigger default. While empirical evidence indicates that the simple Merton's model underestimates the credit spreads, additional risk factors like jumps can be used to resolve it. Volume 3: Empirical Testing and Applications of CCAVolume 3 includes papers that look at issues in corporate finance that can be explained with the CCA approach. These issues include the effect of dividend policy on the valuation of debt and equity, the pricing of employee stock options and many other issues of corporate governance. Volume 4: Contingent Claims Approach for Banks and Sovereign DebtVolume 4 focuses on the application of the contingent claim approach to banks and other financial intermediaries. Regulation of the banking industry led to the creation of new financial securities (e.g., CoCos) and new types of stakeholders (e.g., deposit insurers).
Book Synopsis The Role of Contingent Claims Analysis in Corporate Finance by : Scott P. Mason
Download or read book The Role of Contingent Claims Analysis in Corporate Finance written by Scott P. Mason and published by . This book was released on 1984 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Systemic Contingent Claims Analysis by : Mr.Andreas A. Jobst
Download or read book Systemic Contingent Claims Analysis written by Mr.Andreas A. Jobst and published by International Monetary Fund. This book was released on 2013-02-27 with total page 93 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent global financial crisis has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Current macroprudential policy and surveillance (MPS) efforts are aimed establishing a regulatory framework that helps mitigate the risk from systemic linkages with a view towards enhancing the resilience of the financial sector. This paper presents a forward-looking framework ("Systemic CCA") to measure systemic solvency risk based on market-implied expected losses of financial institutions with practical applications for the financial sector risk management and the system-wide capital assessment in top-down stress testing. The suggested approach uses advanced contingent claims analysis (CCA) to generate aggregate estimates of the joint default risk of multiple institutions as a conditional tail expectation using multivariate extreme value theory (EVT). In addition, the framework also helps quantify the individual contributions to systemic risk and contingent liabilities of the financial sector during times of stress.
Book Synopsis Sustainable Agricultural Marketing and Agribusiness Development by : Brighton Nyagadza
Download or read book Sustainable Agricultural Marketing and Agribusiness Development written by Brighton Nyagadza and published by CABI. This book was released on 2023-10-31 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt: The future of Africa and the whole globe is dependent on sustainable agribusiness management. This book offers insights to a wide range of agricultural marketing and agribusiness management practices with a focus on sustainability. It is designed to provide academics and graduate students in business studies with a comprehensive treatment of the nature of agricultural marketing and agribusiness management, as well as sustainability transitions and related practices in certain regions of the world (particularly in Africa). The text also serves as an invaluable resource for agricultural marketing practitioners requiring more than anecdotal evidence on the structure and operation of agricultural marketing and agribusiness management, as well as sustainability in different organisations and geographical areas. It allows the reader to compare and contrast agricultural marketing and agribusiness management, as well as sustainability practices across different research methodologies and settings. The book provides a unique mix of theory, reviews, primary research findings and case studies.
Book Synopsis Contingent Claims Analysis in Corporate Finance by : Gunnar Grass
Download or read book Contingent Claims Analysis in Corporate Finance written by Gunnar Grass and published by . This book was released on 2009 with total page 151 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Handbook of Alternative Data in Finance, Volume I by : Gautam Mitra
Download or read book Handbook of Alternative Data in Finance, Volume I written by Gautam Mitra and published by CRC Press. This book was released on 2023-07-12 with total page 478 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Alternative Data in Finance, Volume I motivates and challenges the reader to explore and apply Alternative Data in finance. The book provides a robust and in-depth overview of Alternative Data, including its definition, characteristics, difference from conventional data, categories of Alternative Data, Alternative Data providers, and more. The book also offers a rigorous and detailed exploration of process, application and delivery that should be practically useful to researchers and practitioners alike. Features Includes cutting edge applications in machine learning, fintech, and more Suitable for professional quantitative analysts, and as a resource for postgraduates and researchers in financial mathematics Features chapters from many leading researchers and practitioners
Book Synopsis Options - 45 Years Since The Publication Of The Black-scholes-merton Model: The Gershon Fintech Center Conference by : David Gershon
Download or read book Options - 45 Years Since The Publication Of The Black-scholes-merton Model: The Gershon Fintech Center Conference written by David Gershon and published by World Scientific. This book was released on 2022-12-21 with total page 554 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains contributions by the best-known and consequential researchers who, over several decades, shaped the field of financial engineering. It presents a comprehensive and unique perspective on the historical development and the current state of derivatives research. The book covers classical and modern approaches to option pricing, realized and implied volatilities, classical and rough stochastic processes, and contingent claims analysis in corporate finance. The book is invaluable for students, academic researchers, and practitioners working with financial derivatives, market regulation, trading, risk management, and corporate decision-making.
Book Synopsis Artificial Neural Networks and Machine Learning – ICANN 2022 by : Elias Pimenidis
Download or read book Artificial Neural Networks and Machine Learning – ICANN 2022 written by Elias Pimenidis and published by Springer Nature. This book was released on 2022-09-06 with total page 817 pages. Available in PDF, EPUB and Kindle. Book excerpt: The 4-volumes set of LNCS 13529, 13530, 13531, and 13532 constitutes the proceedings of the 31st International Conference on Artificial Neural Networks, ICANN 2022, held in Bristol, UK, in September 2022. The total of 255 full papers presented in these proceedings was carefully reviewed and selected from 561 submissions. ICANN 2022 is a dual-track conference featuring tracks in brain inspired computing and machine learning and artificial neural networks, with strong cross-disciplinary interactions and applications.
Book Synopsis Data-Driven Approaches for Effective Managerial Decision Making by : Anubha
Download or read book Data-Driven Approaches for Effective Managerial Decision Making written by Anubha and published by IGI Global. This book was released on 2023-05-08 with total page 354 pages. Available in PDF, EPUB and Kindle. Book excerpt: In todays competitive market, a manager must be able to look at data, understand it, analyze it, and then interpret it to design a smart business strategy. Big data is also a valuable source of information on how customers interact with firms through various mediums such as social media platforms, online reviews, and many more. The applications and uses of business analytics are numerous and must be further studied to ensure they are utilized appropriately. Data-Driven Approaches for Effective Managerial Decision Making investigates management concepts and applications using data analytics and outlines future research directions. The book also addresses contemporary advancements and innovations in the field of management. Covering key topics such as big data, business intelligence, and artificial intelligence, this reference work is ideal for managers, business owners, industry professionals, researchers, scholars, academicians, practitioners, instructors, and students.
Book Synopsis Proceedings of International Joint Conference on Advances in Computational Intelligence by : Mohammad Shorif Uddin
Download or read book Proceedings of International Joint Conference on Advances in Computational Intelligence written by Mohammad Shorif Uddin and published by Springer Nature. This book was released on 2023-06-15 with total page 729 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book gathers outstanding research papers presented at the 6th International Joint Conference on Advances in Computational Intelligence (IJCACI 2022), held in hybrid mode during October 15 – 16, 2022. IJCACI 2022 is jointly organized by Jahangirnagar University (JU), Bangladesh and South Asian University (SAU), India. The book presents the novel contributions in areas of computational intelligence and it serves as a reference material for advance research. The topics covered are collective intelligence, soft computing, optimization, cloud computing, machine learning, intelligent software, robotics, data science, data security, big data analytics, and signal and natural language processing.
Book Synopsis Proceedings of the 2022 2nd International Conference on Economic Development and Business Culture (ICEDBC 2022) by : Yushi Jiang
Download or read book Proceedings of the 2022 2nd International Conference on Economic Development and Business Culture (ICEDBC 2022) written by Yushi Jiang and published by Springer Nature. This book was released on 2023-05-11 with total page 1906 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is an open access book. With the support of universities and the research of AEIC Academic Exchange Center, The 2nd International Conference on Economic Development and Business Culture (ICEDBC 2022) will be held in Dali from June 24th to 26th. Compared with previous conferences, it will discuss more in-depth economic independent innovation, open cooperation and innovative business culture under the background of the new development stage, new situation and new journey era. There will be a broad exchange environment. Well-known experts, scholars or entrepreneurs in the field will be invited to make keynote reports. Contributing authors are also very welcome to actively participate in the conference and build an academic exchange ceremony.
Book Synopsis Supercomputing by : Vladimir Voevodin
Download or read book Supercomputing written by Vladimir Voevodin and published by Springer Nature. This book was released on 2022-12-15 with total page 713 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the refereed proceedings of the 8th Russian Supercomputing Days on Supercomputing, RuSCDays 2022, which took place in Moscow, Russia, in September 2022. The 49 full papers and 1 short paper presented in this volume were carefully reviewed and selected from 94 submissions. The papers are organized in the following topical sections: Supercomputer Simulation; HPC, BigData, AI: Architectures, Technologies, Tools; Distributed and Cloud Computing.
Book Synopsis The Contingent Claims Approach to Corporate Vulnerability Analysis by : Michael Gapen
Download or read book The Contingent Claims Approach to Corporate Vulnerability Analysis written by Michael Gapen and published by . This book was released on 2008 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we examine the ability of the contingent claims approach (CCA) to identify corporate sector and economy-wide vulnerabilities. We apply the Moody`s M/Risk model, which uses aggregated CCA principles, to assess vulnerabilities retroactively in two historical country cases. The results indicate that the method may prove helpful in identifying corporate sector vulnerabilities and estimating the associated value of risk transfer across interrelated balance sheets of the corporate, financial, and public sectors.
Book Synopsis Quantitative Risk and Portfolio Management by : Kenneth Winston
Download or read book Quantitative Risk and Portfolio Management written by Kenneth Winston and published by Cambridge University Press. This book was released on 2023-09-30 with total page 647 pages. Available in PDF, EPUB and Kindle. Book excerpt: A book combining the rigour of academic finance with the pragmatism of hands-on finance.
Download or read book Bridging the GAAP written by Zvi Wiener and published by World Scientific. This book was released on 2012 with total page 305 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bridging the GAAP: Recent Advances in Finance and Accounting lies at the intersection of the two disciplines. The readings in this volume bridge the gap between finance and accounting by looking at diverse topics in accounting and finance and by providing interesting points of view regarding their interface. Most of the chapters concentrate on the topic of fair value accounting and on the extent to which accounting numbers mirror the financial situation of the firm. This book combines new developments in the areas of theoretical and empirical finance and accounting, and emphasizes the convergence of these two disciplines to better serve researchers, investors and the general public. The papers contained in this volume will help scholars, practitioners and investors better understand the similarities and differences between these two important fields of study.
Book Synopsis Applied Corporate Finance by : Aswath Damodaran
Download or read book Applied Corporate Finance written by Aswath Damodaran and published by John Wiley & Sons. This book was released on 2014-10-27 with total page 663 pages. Available in PDF, EPUB and Kindle. Book excerpt: Aswath Damodaran, distinguished author, Professor of Finance, and David Margolis, Teaching Fellow at the NYU Stern School of Business, has delivered the newest edition of Applied Corporate Finance. This readable text provides the practical advice students and practitioners need rather than a sole concentration on debate theory, assumptions, or models. Like no other text of its kind, Applied Corporate Finance, 4th Edition applies corporate finance to real companies. It now contains six real-world core companies to study and follow. Business decisions are classified for students into three groups: investment, financing, and dividend decisions.
