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An Efficient Portfolio Loss Model Limit Distribution
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Book Synopsis An Efficient Portfolio Loss Model Limit Distribution by : Christian Fenger
Download or read book An Efficient Portfolio Loss Model Limit Distribution written by Christian Fenger and published by . This book was released on 2019 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: We here derive a loss process constent with model presented in Fenger 2019. We focus on the losses in infinitely small forward periods. It was heuristically observed in Fenger 2019 that the loss became a jump process, which is here rigorously shown. For the forward period size going to zero, we derive that the process is a nonhomogeneous Poisson process with variable jump rate, independent of the forward period size.We find that the distribution of the loss is almost independent of forward period size and that the difference can be quickly quantified.
Book Synopsis Computation of Loss Distribution Based on the Structural Model for Credit Portfolios by : Meng Han
Download or read book Computation of Loss Distribution Based on the Structural Model for Credit Portfolios written by Meng Han and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit risk analysis and management at the portfolio level is a challenging issue for financial institutions due to their portfolios' large size, heterogeneity and complex correlation structure. In this thesis, we propose several new asymptotic methods and exact methods to compute the distribution and VaR of a loan portfolio's loss in the CreditMatrics framework. For asymptotic methods, we give an approximation based on the Central Limit Theorem (CLT), which gives more accurate approximations to the conditional portfolio loss probabilities compared with existing approximations. For exact methods, we improve the efficiency by exploiting the sparsity that often arises in the obligors' conditional losses. A sparse convolution method and a sparse FFT method are proposed, which enjoy significant speedups compared with the straightforward convolution method. We also construct truncated versions of the sparse convolution method and the sparse FFT method to further improve their efficiency. To control the aliasing errors and roundoff errors incurred in the truncated sparse FFT method, an optimal exponential windowing approach is developed as well. For lumpy portfolios, we introduce hybrid methods which combine an asymptotic approximation with Monte Carlo simulation or one of exact methods to achieve a good balance between efficiency and accuracy.
Book Synopsis Maximum Loss Portfolio Selection with L[subscript]p Norm Elliptical Returns and a Generalization of the Mean-variance Model by : Ismail Ceylan
Download or read book Maximum Loss Portfolio Selection with L[subscript]p Norm Elliptical Returns and a Generalization of the Mean-variance Model written by Ismail Ceylan and published by . This book was released on 2009 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Computing the Portfolio Loss Distribution Using Factor Models by : Luisa Simion
Download or read book Computing the Portfolio Loss Distribution Using Factor Models written by Luisa Simion and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Large Portfolio Asymptotics for Loss from Default by : Kay Giesecke
Download or read book Large Portfolio Asymptotics for Loss from Default written by Kay Giesecke and published by . This book was released on 2020 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: We prove a law of large numbers for the loss from default and use it for approximating the distribution of the loss from default in large, potentially heterogenous portfolios. The density of the limiting measure is shown to solve a non-linear stochastic PDE, and certain moments of the limiting measure are shown to satisfy an infinite system of SDEs. The solution to this system leads to the distribution of the limiting portfolio loss, which we propose as an approximation to the loss distribution for a large portfolio. Numerical tests illustrate the accuracy of the approximation, and highlight its computational advantages over a direct Monte Carlo simulation of the original stochastic system.
Book Synopsis Fat-Tailed and Skewed Asset Return Distributions by : Svetlozar T. Rachev
Download or read book Fat-Tailed and Skewed Asset Return Distributions written by Svetlozar T. Rachev and published by John Wiley & Sons. This book was released on 2005-09-15 with total page 385 pages. Available in PDF, EPUB and Kindle. Book excerpt: While mainstream financial theories and applications assume that asset returns are normally distributed, overwhelming empirical evidence shows otherwise. Yet many professionals don’t appreciate the highly statistical models that take this empirical evidence into consideration. Fat-Tailed and Skewed Asset Return Distributions examines this dilemma and offers readers a less technical look at how portfolio selection, risk management, and option pricing modeling should and can be undertaken when the assumption of a non-normal distribution for asset returns is violated. Topics covered in this comprehensive book include an extensive discussion of probability distributions, estimating probability distributions, portfolio selection, alternative risk measures, and much more. Fat-Tailed and Skewed Asset Return Distributions provides a bridge between the highly technical theory of statistical distributional analysis, stochastic processes, and econometrics of financial returns and real-world risk management and investments.
Book Synopsis Optimal Portfolio Modeling by : Philip McDonnell
Download or read book Optimal Portfolio Modeling written by Philip McDonnell and published by John Wiley & Sons. This book was released on 2008-05-02 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt: Optimal Portfolio Modeling is an easily accessible introduction to portfolio modeling for those who prefer an intuitive approach to this discipline. While early chapters provide engaging insights on the statistical properties of markets, this book quickly moves on to illustrate invaluable trading and risk control models based on popular programs such as Excel and the statistical modeling language R. This reliable resource presents modeling formulas that will allow you to effectively maximize the performance, minimize the drawdown, and manage the risk of your portfolio.
Book Synopsis Portfolio Theory and Management by : H. Kent Baker
Download or read book Portfolio Theory and Management written by H. Kent Baker and published by Oxford University Press. This book was released on 2013-01-07 with total page 798 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio management is an ongoing process of constructing portfolios that balances an investor's objectives with the portfolio manager's expectations about the future. This dynamic process provides the payoff for investors. Portfolio management evaluates individual assets or investments by their contribution to the risk and return of an investor's portfolio rather than in isolation. This is called the portfolio perspective. Thus, by constructing a diversified portfolio, a portfolio manager can reduce risk for a given level of expected return, compared to investing in an individual asset or security. According to modern portfolio theory (MPT), investors who do not follow a portfolio perspective bear risk that is not rewarded with greater expected return. Portfolio diversification works best when financial markets are operating normally compared to periods of market turmoil such as the 2007-2008 financial crisis. During periods of turmoil, correlations tend to increase thus reducing the benefits of diversification. Portfolio management today emerges as a dynamic process, which continues to evolve at a rapid pace. The purpose of Portfolio Theory and Management is to take readers from the foundations of portfolio management with the contributions of financial pioneers up to the latest trends emerging within the context of special topics. The book includes discussions of portfolio theory and management both before and after the 2007-2008 financial crisis. This volume provides a critical reflection of what worked and what did not work viewed from the perspective of the recent financial crisis. Further, the book is not restricted to the U.S. market but takes a more global focus by highlighting cross-country differences and practices. This 30-chapter book consists of seven sections. These chapters are: (1) portfolio theory and asset pricing, (2) the investment policy statement and fiduciary duties, (3) asset allocation and portfolio construction, (4) risk management, (V) portfolio execution, monitoring, and rebalancing, (6) evaluating and reporting portfolio performance, and (7) special topics.
Book Synopsis Optimal Bank Recovery by : Mr.C. A. E. Goodhart
Download or read book Optimal Bank Recovery written by Mr.C. A. E. Goodhart and published by International Monetary Fund. This book was released on 2015-09-30 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: Banks’ living wills involve both recovery and resolution. Since it may not always be clear when recovery plans or actions should be triggered, there is a role for an objective metric to trigger recovery. We outline how such a metric could be constructed meeting criteria of (i) adequate loss absorption; (ii) distinguishing between weak and sound banks; (iii) little susceptibility to manipulation; (iv) timeliness; (v) scalable from the individual bank to the system. We show how this would have worked in the U.K., during 2007–11. This approach has the added advantage that it could be extended to encompass a whole ladder of sanctions of increasing severity as capital erodes.
Book Synopsis Applications of Stochastic Programming by : Stein W. Wallace
Download or read book Applications of Stochastic Programming written by Stein W. Wallace and published by SIAM. This book was released on 2005-01-01 with total page 724 pages. Available in PDF, EPUB and Kindle. Book excerpt: Consisting of two parts, this book presents papers describing publicly available stochastic programming systems that are operational. It presents a diverse collection of application papers in areas such as production, supply chain and scheduling, gaming, environmental and pollution control, financial modeling, telecommunications, and electricity.
Book Synopsis Portfolio Selection by : Harry Markowitz
Download or read book Portfolio Selection written by Harry Markowitz and published by Yale University Press. This book was released on 2008-10-01 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: Embracing finance, economics, operations research, and computers, this book applies modern techniques of analysis and computation to find combinations of securities that best meet the needs of private or institutional investors.
Book Synopsis A Guide to IMF Stress Testing by : Ms.Li L Ong
Download or read book A Guide to IMF Stress Testing written by Ms.Li L Ong and published by International Monetary Fund. This book was released on 2014-12-23 with total page 610 pages. Available in PDF, EPUB and Kindle. Book excerpt: The IMF has had extensive involvement in the stress testing of financial systems in its member countries. This book presents the methods and models that have been developed by IMF staff over the years and that can be applied to the gamut of financial systems. An added resource for readers is the companion CD-Rom, which makes available the toolkit with some of the models presented in the book (also located at elibrary.imf.org/page/stress-test-toolkit).
Book Synopsis Portfolio Selection by : Harry M. Markowitz
Download or read book Portfolio Selection written by Harry M. Markowitz and published by Yale University Press. This book was released on 2008-10-01 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: Applies modern techniques of analysis and computation to the problem of finding combinations of securities that best meet the needs of the private institutional investor. Written primarily with the nonmathematician in mind, although it contains mathematical development of the subject in appendixes.
Book Synopsis The Sortino Framework for Constructing Portfolios by : Frank A. Sortino
Download or read book The Sortino Framework for Constructing Portfolios written by Frank A. Sortino and published by Elsevier. This book was released on 2009-11-27 with total page 177 pages. Available in PDF, EPUB and Kindle. Book excerpt: The most common way of constructing portfolios is to use traditional asset allocation strategies, which match the client’s risk appetite to a weighted allocation strategy of fixed income, equities, and other types of assets. This method focuses on how the money is allocated, rather than on future returns.The Sortino method presents an innovative change from this traditional approach. Rather than using the client’s risk as the main factor, this method uses the client’s desired return. Only book to describe the Sortino method and Desired Target ReturnTM in a way that enables portfolio managers to adopt the method Software to implement the portfolio construction method is included free of charge to book buyers on a password protected Elsevier website. Book buyers can use the software to construct portfolios using this method right away, in real time. They can also load in their current portfolios and measure them against these measures The Sortino method has been tested over 20 years at the Pension Research Institute. Portfolio managers can be confident of the success of the method, even returns in the economic crisis, in which the method has still beaten all S&P benchmarks
Download or read book Loss Models written by Stuart A. Klugman and published by John Wiley & Sons. This book was released on 2012-01-25 with total page 758 pages. Available in PDF, EPUB and Kindle. Book excerpt: An update of one of the most trusted books on constructing and analyzing actuarial models Written by three renowned authorities in the actuarial field, Loss Models, Third Edition upholds the reputation for excellence that has made this book required reading for the Society of Actuaries (SOA) and Casualty Actuarial Society (CAS) qualification examinations. This update serves as a complete presentation of statistical methods for measuring risk and building models to measure loss in real-world events. This book maintains an approach to modeling and forecasting that utilizes tools related to risk theory, loss distributions, and survival models. Random variables, basic distributional quantities, the recursive method, and techniques for classifying and creating distributions are also discussed. Both parametric and non-parametric estimation methods are thoroughly covered along with advice for choosing an appropriate model. Features of the Third Edition include: Extended discussion of risk management and risk measures, including Tail-Value-at-Risk (TVaR) New sections on extreme value distributions and their estimation Inclusion of homogeneous, nonhomogeneous, and mixed Poisson processes Expanded coverage of copula models and their estimation Additional treatment of methods for constructing confidence regions when there is more than one parameter The book continues to distinguish itself by providing over 400 exercises that have appeared on previous SOA and CAS examinations. Intriguing examples from the fields of insurance and business are discussed throughout, and all data sets are available on the book's FTP site, along with programs that assist with conducting loss model analysis. Loss Models, Third Edition is an essential resource for students and aspiring actuaries who are preparing to take the SOA and CAS preliminary examinations. It is also a must-have reference for professional actuaries, graduate students in the actuarial field, and anyone who works with loss and risk models in their everyday work. To explore our additional offerings in actuarial exam preparation visit www.wiley.com/go/actuarialexamprep.
Book Synopsis Statistical Portfolio Estimation by : Masanobu Taniguchi
Download or read book Statistical Portfolio Estimation written by Masanobu Taniguchi and published by CRC Press. This book was released on 2017-09-01 with total page 389 pages. Available in PDF, EPUB and Kindle. Book excerpt: The composition of portfolios is one of the most fundamental and important methods in financial engineering, used to control the risk of investments. This book provides a comprehensive overview of statistical inference for portfolios and their various applications. A variety of asset processes are introduced, including non-Gaussian stationary processes, nonlinear processes, non-stationary processes, and the book provides a framework for statistical inference using local asymptotic normality (LAN). The approach is generalized for portfolio estimation, so that many important problems can be covered. This book can primarily be used as a reference by researchers from statistics, mathematics, finance, econometrics, and genomics. It can also be used as a textbook by senior undergraduate and graduate students in these fields.
Book Synopsis Introduction To Finance: Financial Management And Investment Management by : Pamela Peterson Drake
Download or read book Introduction To Finance: Financial Management And Investment Management written by Pamela Peterson Drake and published by World Scientific. This book was released on 2021-12-20 with total page 829 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers the fundamentals of financial management and investment management without getting into the highly technical topics and mathematical rigor. It also provides a practitioner-oriented approach to financial and investment management.The field of finance covers several specialty areas. The two most important ones which set the foundations for the other specialty areas are financial management and investment management, and these are the two major topics covered in the book. After touching on the basics — the financial system and the players, financial statements, and mathematics of finance — the authors then cover financial management and investment management in greater depth. For financial management the authors focus on financial strategy and financial planning, dividend policy, corporate financing decisions, entrepreneurial finance, financial risk management, and capital budgeting decisions. The investment management coverage includes the different types of risks faced in investing, company analysis, valuing common stock, portfolio selection, asset pricing theory, and investing in common stocks and bonds. The last chapter of the book covers financial derivatives and how they are used in finance to control risk.
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