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Forecasting Initial Margin Requirements A Model Evaluation
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Download or read book The xVA Challenge written by Jon Gregory and published by John Wiley & Sons. This book was released on 2020-07-07 with total page 709 pages. Available in PDF, EPUB and Kindle. Book excerpt: A thoroughly updated and expanded edition of the xVA challenge The period since the global financial crisis has seen a major re-appraisal of derivatives valuation, generally expressed in the form of valuation adjustments (‘xVAs’). The quantification of xVA is now seen as fundamental to derivatives pricing and valuation. The xVA topic has been complicated and further broadened by accounting standards and regulation. All users of derivatives need to have a good understanding of the implications of xVA. The pricing and valuation of the different xVA terms has become a much studied topic and many aspects are in constant debate both in industry and academia. Discussing counterparty credit risk in detail, including the many risk mitigants, and how this leads to the different xVA terms Explains why banks have undertaken a dramatic reappraisal of the assumptions they make when pricing, valuing and managing derivatives Covers what the industry generally means by xVA and how it is used by banks, financial institutions and end-users of derivatives Explains all of the underlying regulatory capital (e.g. SA-CCR, SA-CVA) and liquidity requirements (NSFR and LCR) and their impact on xVA Underscores why banks have realised the significant impact that funding costs, collateral effects and capital charges have on valuation Explains how the evolution of accounting standards to cover CVA, DVA, FVA and potentially other valuation adjustments Explains all of the valuation adjustments – CVA, DVA, FVA, ColVA, MVA and KVA – in detail and how they fit together Covers quantification of xVA terms by discussing modelling and implementation aspects. Taking into account the nature of the underlying market dynamics and new regulatory environment, this book brings readers up to speed on the latest developments on the topic.
Book Synopsis From Security to Community Detection in Social Networking Platforms by : Panagiotis Karampelas
Download or read book From Security to Community Detection in Social Networking Platforms written by Panagiotis Karampelas and published by Springer. This book was released on 2019-04-09 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on novel and state-of-the-art scientific work in the area of detection and prediction techniques using information found generally in graphs and particularly in social networks. Community detection techniques are presented in diverse contexts and for different applications while prediction methods for structured and unstructured data are applied to a variety of fields such as financial systems, security forums, and social networks. The rest of the book focuses on graph-based techniques for data analysis such as graph clustering and edge sampling. The research presented in this volume was selected based on solid reviews from the IEEE/ACM International Conference on Advances in Social Networks, Analysis, and Mining (ASONAM '17). Chapters were then improved and extended substantially, and the final versions were rigorously reviewed and revised to meet the series standards. This book will appeal to practitioners, researchers and students in the field.
Book Synopsis AI and Financial Technology by : Paolo Giudici
Download or read book AI and Financial Technology written by Paolo Giudici and published by Frontiers Media SA. This book was released on 2020-01-14 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt: This eBook is a collection of articles from a Frontiers Research Topic. Frontiers Research Topics are very popular trademarks of the Frontiers Journals Series: they are collections of at least ten articles, all centered on a particular subject. With their unique mix of varied contributions from Original Research to Review Articles, Frontiers Research Topics unify the most influential researchers, the latest key findings and historical advances in a hot research area! Find out more on how to host your own Frontiers Research Topic or contribute to one as an author by contacting the Frontiers Editorial Office: frontiersin.org/about/contact.
Book Synopsis Evaluation of the Forecasting Capability of Selected Valuation Models for a Long-Term Equity Investment by : Susanne Hakuba
Download or read book Evaluation of the Forecasting Capability of Selected Valuation Models for a Long-Term Equity Investment written by Susanne Hakuba and published by ibidem-Verlag / ibidem Press. This book was released on 2012-02-13 with total page 121 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the 1990s, the global stock market experienced the birth of the new technology sector and an extraordinary increase in values. However, the surge of stock values came to an end in 2000 when stock markets dropped significantly. Especially the technology sector suffered greatly, and a high amount of wealth was erased by sharply falling markets. Could it have been possible to predict stock prices in such a market environment and, therefore, enable the equity investor to invest in undervalued stocks, if there were any? The key question for an investor in this context is whether an investment is fairly priced at the time of investment. This is of importance if one believes that stock prices can be overvalued or undervalued at times but adjust to their true values in the long-term. To form an opinion on whether an investment is fairly priced or not, i.e. overvalued or undervalued, an investor needs a valuation model. Such a model provides a theoretically correct value which can be used as a benchmark for the decision. In her study, Sussane Hakuba examines the forecasting capability of two selected valuation models for long-term equity investments over a nine-quarter time horizon (from the 4th quarter of 1999 to the 4th quarter of 2000): a) the two-stage free cash flow to equity (FCFE) model andb) the dividend discount model (DDM) as applied by JPMorgan Fleming. Susanne Hakuba looks at the application of the two equity valuation models analyzed including theory on the models, their inputs, and assumptions made. In addition, she provides discussion of the stock valuations performed and comes to conclusions and recommendations for future valuations applying the models examined.
Book Synopsis Scientific and Technical Aerospace Reports by :
Download or read book Scientific and Technical Aerospace Reports written by and published by . This book was released on 1994 with total page 892 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Modern Portfolio Theory and Investment Analysis by : Edwin J. Elton
Download or read book Modern Portfolio Theory and Investment Analysis written by Edwin J. Elton and published by John Wiley & Sons. This book was released on 2009-11-16 with total page 748 pages. Available in PDF, EPUB and Kindle. Book excerpt: An update of a classic book in the field, Modern Portfolio Theory examines the characteristics and analysis of individual securities as well as the theory and practice of optimally combining securities into portfolios. It stresses the economic intuition behind the subject matter while presenting advanced concepts of investment analysis and portfolio management. Readers will also discover the strengths and weaknesses of modern portfolio theory as well as the latest breakthroughs.
Book Synopsis Philosophico-Methodological Analysis of Prediction and its Role in Economics by : Wenceslao J. Gonzalez
Download or read book Philosophico-Methodological Analysis of Prediction and its Role in Economics written by Wenceslao J. Gonzalez and published by Springer. This book was released on 2015-02-19 with total page 375 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book develops a philosophico-methodological analysis of prediction and its role in economics. Prediction plays a key role in economics in various ways. It can be seen as a basic science, as an applied science and in the application of this science. First, it is used by economic theory in order to test the available knowledge. In this regard, prediction has been presented as the scientific test for economics as a science. Second, prediction provides a content regarding the possible future that can be used for prescription in applied economics. Thus, it can be used as a guide for economic policy, i.e., as knowledge concerning the future to be employed for the resolution of specific problems. Third, prediction also has a role in the application of this science in the public arena. This is through the decision-making of the agents — individuals or organizations — in quite different settings, both in the realm of microeconomics and macroeconomics. Within this context, the research is organized in five parts, which discuss relevant aspects of the role of prediction in economics: I) The problem of prediction as a test for a science; II) The general orientation in methodology of science and the problem of prediction as a scientific test; III) The methodological framework of social sciences and economics: Incidence for prediction as a test; IV) Epistemology and methodology of economic prediction: Rationality and empirical approaches and V) Methodological aspects of economic prediction: From description to prescription. Thus, the book is of interest for philosophers and economists as well as policy-makers seeking to ascertain the roots of their performance. The style used lends itself to a wide audience.
Book Synopsis Reliability and Risk Evaluation of Wind Integrated Power Systems by : Roy Billinton
Download or read book Reliability and Risk Evaluation of Wind Integrated Power Systems written by Roy Billinton and published by Springer Science & Business Media. This book was released on 2013-03-15 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt: The world is witnessing a rapid growth in wind and other renewable based electricity generation due to environmental concerns associated with electricity generation from the conventional sources. Wind power behaves quite differently than conventional electric power generating units due to its intermittent and diffuse nature. System planners and operators face the variability and uncertainty of wind power availability, and therefore, encounter considerable challenges in making decisions to maintain the adequacy and security of wind integrated power systems. This volume intends to bring out the original research work of researchers from academia and industry in understanding, quantifying and managing the risks associated with the uncertainty in wind variability in order to plan and operate a modern power system integrated with a significant proportion of wind power generation with an acceptable level of reliability. Accurate modeling of wind power variability and proper incorporation of the models in reliability and risk evaluation is very important for the planning and operation of electric power systems, and will play a crucial role in defining the requirement of various types of resources and services, such as storage and ancillary services in power systems.
Book Synopsis Counterparty Credit Risk Modelling by : Michael Pykhtin
Download or read book Counterparty Credit Risk Modelling written by Michael Pykhtin and published by Riskbooks. This book was released on 2005-01 with total page 399 pages. Available in PDF, EPUB and Kindle. Book excerpt: To enhance your understanding of the risk management, pricing and regulation of counterparty credit risk, this new title offers the most detailed and comprehensive coverage available. Michael Pykhtin, a globally respected expert in credit risk, has combed the industry's most important organisations to assemble a winning team of specialist contributors - presenting you with the definitive insider view.
Book Synopsis International Convergence of Capital Measurement and Capital Standards by :
Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Computational Science and Its Applications – ICCSA 2021 by : Osvaldo Gervasi
Download or read book Computational Science and Its Applications – ICCSA 2021 written by Osvaldo Gervasi and published by Springer Nature. This book was released on 2021-09-10 with total page 749 pages. Available in PDF, EPUB and Kindle. Book excerpt: The ten-volume set LNCS 12949 – 12958 constitutes the proceedings of the 21st International Conference on Computational Science and Its Applications, ICCSA 2021, which was held in Cagliari, Italy, during September 13 – 16, 2021. The event was organized in a hybrid mode due to the Covid-19 pandemic.The 466 full and 18 short papers presented in these proceedings were carefully reviewed and selected from 1588 submissions. The books cover such topics as multicore architectures, mobile and wireless security, sensor networks, open source software, collaborative and social computing systems and tools, cryptography, human computer interaction, software design engineering, and others. Part III of the set icludes papers on Information Systems and Technologies and the proceeding of the following workshops: International Workshop on Automatic landform classification: spatial methods and applications (ALCSMA 2021); International Workshop on Application of Numerical Analysis to Imaging Science (ANAIS 2021); International Workshop on Advances in information Systems and Technologies for Emergency management, risk assessment and mitigationbased on the Resilience concepts (ASTER 2021); International Workshop on Advances in Web Based Learning (AWBL 2021).
Book Synopsis Smoothing, Forecasting and Prediction of Discrete Time Series by : Robert Goodell Brown
Download or read book Smoothing, Forecasting and Prediction of Discrete Time Series written by Robert Goodell Brown and published by Courier Corporation. This book was released on 2004-01-01 with total page 486 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computer application techniques are applied to routine short-term forecasting and prediction in this classic of operations research. The text begins with a consideration of data sources and sampling intervals, progressing to discussions of time series models and probability models. An extensive overview of smoothing techniques surveys the mathematical techniques for periodically raising the estimates of coefficients in forecasting problems. Sections on forecasting and error measurement and analysis are followed by an exploration of alternatives and the applications of the forecast to specific problems, and a treatment of the handling of systems design problems ranges from observed data to decision rules. 1963 ed.
Download or read book Management Science written by and published by . This book was released on 1986 with total page 596 pages. Available in PDF, EPUB and Kindle. Book excerpt: Issues for Feb. 1965-Aug. 1967 include Bulletin of the Institute of Management Sciences.
Book Synopsis Empirical Asset Pricing by : Wayne Ferson
Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-12 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
Book Synopsis Intelligent Human Systems Integration 2020 by : Tareq Ahram
Download or read book Intelligent Human Systems Integration 2020 written by Tareq Ahram and published by Springer Nature. This book was released on 2020-01-22 with total page 1313 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents cutting-edge research on innovative human systems integration and human–machine interaction, with an emphasis on artificial intelligence and automation, as well as computational modeling and simulation. It covers a wide range of applications in the areas of design, construction and operation of products, systems and services, and discusses the human factors in a wide range of settings. Gathering the proceedings of the 3rd International Conference on Intelligent Human Systems Integration (IHSI 2020), held on February 19–21, 2020, in Modena, Italy, the book’s goal is to advance the theory and applications of artificial cognitive systems and improve human-artificial systems collaboration. Special emphasis is placed on automotive design, autonomous vehicles and the applications of artificial intelligence. The book offers a timely survey and source of inspiration for human factors engineers, automotive engineers, IT developers and UX designers who are working to shape the future of automated intelligent systems.
Book Synopsis Business Cycles, Indicators, and Forecasting by : James H. Stock
Download or read book Business Cycles, Indicators, and Forecasting written by James H. Stock and published by University of Chicago Press. This book was released on 2008-04-15 with total page 350 pages. Available in PDF, EPUB and Kindle. Book excerpt: The inability of forecasters to predict accurately the 1990-1991 recession emphasizes the need for better ways for charting the course of the economy. In this volume, leading economists examine forecasting techniques developed over the past ten years, compare their performance to traditional econometric models, and discuss new methods for forecasting and time series analysis.
Book Synopsis Forecasting with Exponential Smoothing by : Rob Hyndman
Download or read book Forecasting with Exponential Smoothing written by Rob Hyndman and published by Springer Science & Business Media. This book was released on 2008-06-19 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt: Exponential smoothing methods have been around since the 1950s, and are still the most popular forecasting methods used in business and industry. However, a modeling framework incorporating stochastic models, likelihood calculation, prediction intervals and procedures for model selection, was not developed until recently. This book brings together all of the important new results on the state space framework for exponential smoothing. It will be of interest to people wanting to apply the methods in their own area of interest as well as for researchers wanting to take the ideas in new directions. Part 1 provides an introduction to exponential smoothing and the underlying models. The essential details are given in Part 2, which also provide links to the most important papers in the literature. More advanced topics are covered in Part 3, including the mathematical properties of the models and extensions of the models for specific problems. Applications to particular domains are discussed in Part 4.
