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Risk Management And Value Valuation And Asset Pricing
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Book Synopsis Risk Management And Value: Valuation And Asset Pricing by : Mondher Bellalah
Download or read book Risk Management And Value: Valuation And Asset Pricing written by Mondher Bellalah and published by World Scientific. This book was released on 2008-02-28 with total page 645 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive discussion of the issues related to risk, volatility, value and risk management. It includes a selection of the best papers presented at the Fourth International Finance Conference 2007, qualified by Professor James Heckman, the 2000 Nobel Prize Laureate in Economics, as a “high level” one. The first half of the book examines ways to manage risk and compute value-at-risk for exchange risk associated to debt portfolios and portfolios of equity. It also covers the Basel II framework implementation and securitisation. The effects of volatility and risk on the valuation of financial assets are further studied in detail.The second half of the book is dedicated to the banking industry, banking competition on the credit market, banking risk and distress, market valuation, managerial risk taking, and value in the ICT activity. With its inclusion of new concepts and recent literature, academics and risk managers will want to read this book.
Book Synopsis Investment Valuation and Asset Pricing by : James W. Kolari
Download or read book Investment Valuation and Asset Pricing written by James W. Kolari and published by Springer Nature. This book was released on 2023-01-01 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook is intended to fill a gap in undergraduate finance curriculums by providing an asset pricing text that is accessible for undergraduate finance students. It offers an overview of original works on foundational asset pricing studies that follows their historical publication chronologically throughout the text. Each chapter stays close to the original works of these major authors, including quotations, examples, graphical exhibits, and empirical results. Additionally, it includes statistical concepts and methods as applied to finance. These statistical materials are crucial to learning asset pricing, which often applies statistical tests to evaluate different asset pricing models. It offers practical examples, questions, and problems to help students check their learning and better understand the fundamentals of asset pricing., alongside including PowerPoint slides and an instructor’s manual for professors.
Book Synopsis Risk Finance and Asset Pricing by : Charles S. Tapiero
Download or read book Risk Finance and Asset Pricing written by Charles S. Tapiero and published by John Wiley & Sons. This book was released on 2010-09-24 with total page 530 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive guide to financial engineering that stresses real-world applications Financial engineering expert Charles S. Tapiero has his finger on the pulse of shifts coming to financial engineering and its applications. With an eye toward the future, he has crafted a comprehensive and accessible book for practitioners and students of Financial Engineering that emphasizes an intuitive approach to financial and quantitative foundations in financial and risk engineering. The book covers the theory from a practitioner perspective and applies it to a variety of real-world problems. Examines the cornerstone of the explosive growth in markets worldwide Presents important financial engineering techniques to price, hedge, and manage risks in general Author heads the largest financial engineering program in the world Author Charles Tapiero wrote the seminal work Risk and Financial Management.
Book Synopsis Derivatives, Risk Management & Value by : Mondher Bellalah
Download or read book Derivatives, Risk Management & Value written by Mondher Bellalah and published by World Scientific. This book was released on 2010 with total page 996 pages. Available in PDF, EPUB and Kindle. Book excerpt: 19.1. Numerical analysis and simulation techniques : an introduction to finite difference methods. 19.2. Application to European options on non-dividend paying stocks. 19.3. Valuation of American options with a composite volatility. 19.4. Simulation methods : Monte-Carlo method. ch. 20. Numerical methods and partial differential equations for European and American derivatives with complete and incomplete information. 20.1. Valuation of American calls on dividend-paying stocks. 20.2. American puts on dividend-paying stocks. 20.3. Numerical procedures in the presence of information costs : applications. 20.4. Convertible bonds. 20.5. Two-factor interest rate models and bond pricing within information uncertainty. 20.6. CBs pricing within information uncertainty -- pt. VIII. Exotic derivatives. ch. 21. Risk management : exotics and second-generation options. 21.1. Exchange options. 21.2. Forward-start options. 21.3. Pay-later options. 21.4. Simple chooser options. 21.5. Complex choosers. 21.6. Compound options. 21.7. Options on the maximum (minimum). 21.8. Extendible options. 21.9. Equity-linked foreign exchange options and quantos. 21.10. Binary barrier options. 21.11. Lookback options. ch. 22. Value at risk, credit risk, and credit derivatives. 22.1. VaR and riskmetrics : definitions and basic concepts. 22.2. Statistical and probability foundation of VaR. 22.3. A more advanced approach to VaR. 22.4. Credit valuation and the creditmetrics approach. 22.5. Default and credit-quality migration in the creditmetrics approach. 22.6. Credit-quality correlations. 22.7. Portfolio management of default risk in the Kealhofer, McQuown and Vasicek (KMV) approach. 22.8. Credit derivatives : definitions and main concepts. 22.9. The rating agencies models and the proprietary models.
Book Synopsis Principles of the Capital Asset Pricing Model and the Importance in Firm Valuation by : Nadine Pahl
Download or read book Principles of the Capital Asset Pricing Model and the Importance in Firm Valuation written by Nadine Pahl and published by GRIN Verlag. This book was released on 2009-04 with total page 77 pages. Available in PDF, EPUB and Kindle. Book excerpt: Research Paper (undergraduate) from the year 2007 in the subject Business economics - Investment and Finance, grade: 1,0, University of Applied Sciences Berlin, course: Financial Management, language: English, abstract: In everything you do, or don't do, there is a chance that something will happen that you didn't count on. Risk is the potential for unexpected things to happen. Risk aversion is a common thing among almost all investors. Investors generally dislike uncertainty or risk and agree that a safe dollar is worth more than a risky one. Therefore, investors will have to be persuaded to take higher risk by the offer of higher returns. In this investment context, the additional compensation for taking on higher risk is a higher rate of return.Every investment has a risk element: The investor will always not be certainwhether the investment will be able to generate the required income. The degree of risk defers from industry to industry but also from company to company. It is not possible to eliminate the investment risk altogether but to reduce is. Nevertheless, often there remains a risky part. According to the degree of risk, the investor demands a corresponding rate of return that is, of course, higher than the rate of return of risk-free investments. Taking on a risk should be paid off. The Capital Asset Pricing Model (CAPM) is an economic model for valuing stocks, securities, derivatives and/or assets by relating risk and expected rate of return. CAPM is based on the idea that investors demand additional expected return if they are asked to accept additional risk.
Download or read book Derivatives written by Robert E. Whaley and published by John Wiley & Sons. This book was released on 2007-02-26 with total page 962 pages. Available in PDF, EPUB and Kindle. Book excerpt: Robert Whaley has more than twenty-five years of experience in the world of finance, and with this book he shares his hard-won knowledge in the field of derivatives with you. Divided into ten information-packed parts, Derivatives shows you how this financial tool can be used in practice to create risk management, valuation, and investment solutions that are appropriate for a variety of market situations.
Book Synopsis Bank Valuation and Value-Based Management: Deposit and Loan Pricing, Performance Evaluation, and Risk Management by : Jean Dermine
Download or read book Bank Valuation and Value-Based Management: Deposit and Loan Pricing, Performance Evaluation, and Risk Management written by Jean Dermine and published by McGraw Hill Professional. This book was released on 2009-09 with total page 450 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bank Valuation & Value-Based Management provides bankers, bank regulators, auditors, and risk managers with foundational concepts and practical tools for effectively managing a bank. An expert in asset and liability management, European financial markets, and banking theory, Jean Dermine provides rigorous foundations to discuss asset and liability management at a global level, with an integrated focus on an institution’s banking book. He covers bank valuation, fund transfer pricing, deposit and loan pricing, risk management, and performance measurement, and addresses two high-profile issues for banks worldwide: portfolio credit risk and liquidity risk. This thorough and innovative guide presents insightful coverage on the hazards of measuring portfolio credit risk, the impact of liquidity risk on fund transfer pricing, and the practice of performance measurement in the banking industry. Numerous real-world examples from the U.S. subprime crisis help illustrate the nature and dynamics of these issues. Inside, you will find a framework for discussing such managerial issues as: Bank valuation Fund transfer pricing Deposit pricing Capital management Loan pricing and provisioning Securitization Measurement of interest rate risk Performance measurement At the same time that it helps readers develop an intuitive sense for asset-liability management, this practical book follows through with rigorous mathematical formulas and examples from the international banking community. In addition,exercises are incorporated throughout the text to facilitate discussions of how theoretical concepts can be applied to real-world problems. This authoritative guide to bank management also features an exclusive companion Web site, www.mhprofessional.com/bankvaluation, which includes additional chapters and exercise solutions that serve as key supplements to the core text. Creating value in banking depends on a rocksolid understanding of what drives value and the right valuation model to help make the tough decisions that will enhance shareholder value. Bank Valuation & Value-Based Management is your one-stop reference for each of these critical issues.
Book Synopsis Strategic Risk Taking by : Aswath Damodaran
Download or read book Strategic Risk Taking written by Aswath Damodaran and published by Pearson Prentice Hall. This book was released on 2008 with total page 409 pages. Available in PDF, EPUB and Kindle. Book excerpt: Groundbreaking book that redefines risk in business as potentially powerful strategically to help increase profits. bull; Get out of your "defensive crouch ": learn which risks to avoid, which to mitigate, and which to actively exploit. bull; Master risk management techniques that can drive competitive advantage, increase firm value, and enhance growth and profitability. bull; By Dr. Aswath Damodaran, one of the field's top "gurus " - known worldwide for his classic guides to corporate finance and valuation.
Book Synopsis Security Valuation and Risk Analysis: Assessing Value in Investment Decision-Making by : Kenneth S. Hackel
Download or read book Security Valuation and Risk Analysis: Assessing Value in Investment Decision-Making written by Kenneth S. Hackel and published by McGraw Hill Professional. This book was released on 2010-11-05 with total page 626 pages. Available in PDF, EPUB and Kindle. Book excerpt: A superior new replacement to traditional discounted cash flow valuation models Executives and corporate finance practitioners now have a more reliable discount rate to value companies and make important business and investment decisions. In today's market, it’s free cash flow, cost of capital and return on invested capital that really matters, and now there's a superior tool to help analyze these metrics—Security Valuation and Risk Analysis. In this pioneering book, valuation authority Kenneth Hackel presents his next-generation methodology for placing a confident value on an enterprise and identifying discrepancies in value—a system that will provide even the most well-informed investor with an important competitive advantage. At the core of Security Valuation and Risk Analysis is Hackel's successful credit model for determining an accurate fair value and reliable discount rate for a company. Using free cash flow as the basis for evaluating return on invested capital is the most effective method for determining value. Hackel takes you step by step through years of compelling evidence that shows how his method has earned outsized returns and helped turn around companies that were heading toward failure. Whether used for corporate portfolio strategy, acquisitions, or performance management, the tools presented in Security Valuation and Risk Analysis are unmatched in their accuracy and reliability. Reading through this informative book, you'll discover how to: Take advantage of early warning signs related to cash flow and credit metrics Estimate the cost of equity capital from which free cash flows are discounted Identify where management can free up resources by using a better definition of free cash flow Security Valuation and Risk Analysis provides a complete education on cash flow and credit, from how traditional analysts value a company and spot market mispricing (and why many of those traditional methods are obsolete) to working with the most recent financial innovations, including derivatives, special purpose entities, pensions, and more. Security Valuation and Risk Analysis is your answer to a credit market gone bad, from an expert who knows bad credit from good.
Book Synopsis A New Model of Capital Asset Prices by : James W. Kolari
Download or read book A New Model of Capital Asset Prices written by James W. Kolari and published by Springer Nature. This book was released on 2021-03-01 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book proposes a new capital asset pricing model dubbed the ZCAPM that outperforms other popular models in empirical tests using US stock returns. The ZCAPM is derived from Fischer Black’s well-known zero-beta CAPM, itself a more general form of the famous capital asset pricing model (CAPM) by 1990 Nobel Laureate William Sharpe and others. It is widely accepted that the CAPM has failed in its theoretical relation between market beta risk and average stock returns, as numerous studies have shown that it does not work in the real world with empirical stock return data. The upshot of the CAPM’s failure is that many new factors have been proposed by researchers. However, the number of factors proposed by authors has steadily increased into the hundreds over the past three decades. This new ZCAPM is a path-breaking asset pricing model that is shown to outperform popular models currently in practice in finance across different test assets and time periods. Since asset pricing is central to the field of finance, it can be broadly employed across many areas, including investment analysis, cost of equity analyses, valuation, corporate decision making, pension portfolio management, etc. The ZCAPM represents a revolution in finance that proves the CAPM as conceived by Sharpe and others is alive and well in a new form, and will certainly be of interest to academics, researchers, students, and professionals of finance, investing, and economics.
Book Synopsis Strategy, Value and Risk by : Jamie Rogers
Download or read book Strategy, Value and Risk written by Jamie Rogers and published by Springer Nature. This book was released on 2019-09-12 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt: The current transformation of the global economy is being driven by new fundamental innovations, digitalization, industry dynamics and climate change. The impact of this transformation in terms of value migration, industry boundaries, investment and firm continuity is vast. The fourth edition of Strategy, Value and Risk examines these issues, and how they will influence firms and industries in the future. Those aspects of the business environment that will have a significant impact on strategy, business models, investments and value are identified, and the accounting, finance, economic and quantitative principles that provide a foundation for the analysis of these issues are discussed. Part I: Strategy, Value and Risk provides the strategic, economic, accounting and financial framework. Strategy discusses technology and innovation, industry dynamics, globalization and industry concentration, climate change, industry boundaries and future value. Value discusses the accounting framework and corporate finance and investment, while Risk covers investment risk, corporate risk management and value and risk. Part II: Quantitative Analytics provides an overview of financial statistics, derivatives and derivative applications, and provides a background on the financial economics used in the analysis of physical, intangible, financial and energy assets. Part III: The Analysis of Investments, Transformation and Value examines platforms, data and analytics, the energy sector, pharmaceutical and biotech, a growth firm and media transformation, and applies the accounting, economic, financial and quantitative concepts. This fourth edition lays out scenarios that will likely shape firms and industries in the future, and has relevance to CFOs, corporate finance and investment professionals. Business model disruption, data and analytics, intangible assets and dynamic analysis are now key issues within the CFO role. Investment professionals are required to see the larger economic environment in which firms compete, assess a firm’s industry and its position within that industry, recognize which investments best serve its broad strategic goals and identify a firm’s capabilities and options. A background in the accounting, finance, economic, quantitative and valuation concepts that are relevant to the digital economy, new industries, business models and technologies is essential for finance professionals. This book addresses these issues within the context of the fundamental changes underway in the global economy, and provides applications of the techniques to illustrate the concepts.
Book Synopsis Strategy, Value and Risk by : J. Rogers
Download or read book Strategy, Value and Risk written by J. Rogers and published by Springer. This book was released on 2013-04-03 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: Updated and revised, the third edition frames strategy as delivering firm value in both the short and long term while maintaining a sustainable competitive advantage. These issues are examined through industry evolution, the rise of the information economy, financial analysis, corporate and quantitative finance, and risk management concepts.
Book Synopsis Investment Valuation by : Aswath Damodaran
Download or read book Investment Valuation written by Aswath Damodaran and published by John Wiley & Sons. This book was released on 2012-04-17 with total page 999 pages. Available in PDF, EPUB and Kindle. Book excerpt: The definitive source of information on all topics related to investment valuation tools and techniques Valuation is at the heart of any investment decision, whether that decision is buy, sell or hold. But the pricing of many assets has become a more complex task in modern markets, especially after the recent financial crisis. In order to be successful at this endeavor, you must have a firm understanding of the proper valuation techniques. One valuation book stands out as withstanding the test of time among investors and students of financial markets, Aswath Damodaran'sInvestment Valuation. Now completely revised and updated to reflect changing market conditions, this third edition comprehensively introduces investment professionals and students to the range of valuation models available and how to chose the right model for any given asset valuation scenario. This edition includes valuation techniques for a whole host of real options, start-up firms, unconventional assets, distressed companies and private equity, and real estate. All examples have been updated and new material has been added. Fully revised to incorporate valuation lessons learned from the last five years, from the market crisis and emerging markets to new types of equity investments Includes valuation practices across the life cycle of companies and emphasizes value enhancement measures, such as EVA and CFROI Contains a new chapter on probabilistic valuation techniques such as decision trees and Monte Carlo Simulation Author Aswath Damodaran is regarded as one of the best educators and thinkers on the topic of investment valuation This indispensable guide is a must read for anyone wishing to gain a better understanding of investment valuation and its methods. With it, you can take the insights and advice of a recognized authority on the valuation process and immediately put them to work for you.
Book Synopsis Ethical Asset Valuation and the Good Society by : Christian Gollier
Download or read book Ethical Asset Valuation and the Good Society written by Christian Gollier and published by Columbia University Press. This book was released on 2017-10-31 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: For all of their focus on asset prices, financial economists rarely ask if assets are priced ethically—that is, if their prices are compatible with the public good. Yet in a world facing major, possibly catastrophic problems—global warming, for instance, and growing inequality—it is now more important than ever that we allocate capital to projects that will benefit society as a whole, not just today but far into the future. In this book, Christian Gollier develops a powerful method for transforming our societal goals of collective prosperity into the cornerstone of our financial decision making. Ethical Asset Valuation and the Good Society starts by stating transparent moral principles and, from these, derives simple rules that can be used to evaluate saving and investment decisions in terms of the public good. Rather than trying to explain observed asset prices, Gollier derives what these prices ought to be in order to direct capital toward socially desirable investments. He focuses especially on the two prices that drive most financial decisions—the price of time as reflected in the interest rate and the price of risk—and explores the role these play in our long-term planning. If investment projects in renewable energy could be financed at a lower interest rate than those linked to fossil fuels, for instance, the energy transition would be easier to accomplish. Building on criticism of the short-term thinking of financial markets, Gollier suggests ways to shift investment toward the future through the discounting of the valuation of assets and investments with long-term benefits. In this sophisticated but accessible work, Gollier builds a bridge between welfare economics and finance theory to provide a framework for ethical valuation capable of establishing what asset prices should be on the basis of our shared moral values.
Book Synopsis Measuring Market Risk with Value at Risk by : Pietro Penza
Download or read book Measuring Market Risk with Value at Risk written by Pietro Penza and published by John Wiley & Sons. This book was released on 2001 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This book, Measuring Market Risk with Value at Risk by Vipul Bansal and Pietro Penza, has three advantages over earlier works on the subject. First, it takes a decidedly global approach-an essential ingredient for any comprehensive work on market risk. Second, it ties the scientifically grounded, yet intuitively appealing, VaR measure to earlier, more idiosyncratic measures of market risk that are used in specific market environs (e.g., duration in fixed income). Finally, it encompasses all of the accepted approaches to calculating a VaR measure and presents them in a clearly explained fashion with supporting illustrations and completely worked-out examples." -from the Foreword by John F. Marshall, PhD, Principal, Marshall, Tucker & Associates, LLC "Measuring Market Risk with Value at Risk offers a much-needed intellectual bridge, a translation from the esoteric realm of mathematical finance to the domain of financial managers who seek guidance in applying developments from this important field of research as well as that of MBA-level graduate instruction. I believe the authors have done a commendable job of providing a carefully crafted, highly readable, and most useful work, and intend to recommend it to all those involved in business risk management applications." -Anthony F. Herbst, PhD, Professor of Finance and C.R. and D.S. Carter Chair, The University of Texas, El Paso and Founding editor of The Journal of Financial Engineering (1991-1998) "Finally there's a book that strikes a balance between rigor and application in the area of risk management in the banking industry. This innovative book is a MUST for both novices and professionals alike." -Robert P. Yuyuenyongwatana, PhD, Associate Professor of Finance, Cameron University "Measuring Market Risk with Value at Risk is one of the most complete discussions of this emerging topic in finance that I have seen. The authors develop a logical and rigorous framework for using VaR models, providing both historical references and analytical applications." -Kevin Wynne, PhD, Associate Professor of Finance, Lubin School of Business, Pace University
Book Synopsis Fixed-Income Securities by : Lionel Martellini
Download or read book Fixed-Income Securities written by Lionel Martellini and published by John Wiley & Sons. This book was released on 2005-09-27 with total page 662 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook will be designed for fixed-income securities courses taught on MSc Finance and MBA courses. There is currently no suitable text that offers a 'Hull-type' book for the fixed income student market. This book aims to fill this need. The book will contain numerous worked examples, excel spreadsheets, with a building block approach throughout. A key feature of the book will be coverage of both traditional and alternative investment strategies in the fixed-income market, for example, the book will cover the modern strategies used by fixed-income hedge funds. The text will be supported by a set of PowerPoint slides for use by the lecturer First textbook designed for students written on fixed-income securities - a growing market Contains numerous worked examples throughout Includes coverage of important topics often omitted in other books i.e. deriving the zero yield curve, deriving credit spreads, hedging and also covers interest rate and credit derivatives
Book Synopsis Advanced REIT Portfolio Optimization by : W. Brent Lindquist
Download or read book Advanced REIT Portfolio Optimization written by W. Brent Lindquist and published by Springer Nature. This book was released on 2022-11-09 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an investor-friendly presentation of the premises and applications of the quantitative finance models governing investment in one asset class of publicly traded stocks, specifically real estate investment trusts (REITs). The models provide highly advanced analytics for REIT investment, including: portfolio optimization using both historic and predictive return estimation; model backtesting; a complete spectrum of risk assessment and management tools with an emphasis on early warning systems, risk budgeting, estimating tail risk, and factor analysis; derivative valuation; and incorporating ESG ratings into REIT investment. These quantitative finance models are presented in a unified framework consistent with dynamic asset pricing (rational finance). Given its scope and practical orientation, this book will appeal to investors interested in portfolio optimization and innovative tools for investment risk assessment.
