LEADER 04693nam 2200661 a 450 001 9910829949003321 005 20230721010353.0 010 $a0-470-68489-5 010 $a1-119-20718-5 010 $a1-283-23938-8 010 $a9786613239389 010 $a0-470-68279-5 035 $a(CKB)2550000000046111 035 $a(EBL)565149 035 $a(OCoLC)759159231 035 $a(SSID)ssj0000544239 035 $a(PQKBManifestationID)12232494 035 $a(PQKBTitleCode)TC0000544239 035 $a(PQKBWorkID)10554537 035 $a(PQKB)10524859 035 $a(MiAaPQ)EBC565149 035 $a(EXLCZ)992550000000046111 100 $a20090528d2009 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aMarket consistency$b[electronic resource] $emodel calibration in imperfect markets /$fMalcolm H.D. Kemp 210 $aChichester, U.K. $cWiley$dc2009 215 $a1 online resource (378 p.) 225 1 $aWiley finance 300 $aDescription based upon print version of record. 311 $a0-470-77088-0 320 $aIncludes bibliographical references and index. 327 $aMarket Consistency; Contents; Preface; Acknowledgements; Abbreviations; Notation; 1 Introduction; 1.1 Market consistency; 1.2 The primacy of the 'market'; 1.3 Calibrating to the 'market'; 1.4 Structure of the book; 1.5 Terminology; 2 When is and when isn't Market Consistency Appropriate?; 2.1 Introduction; 2.2 Drawing lessons from the characteristics of money itself; 2.2.1 The concept of 'value'; 2.2.2 The time value of money; 2.2.3 Axioms of additivity, scalability and uniqueness; 2.2.4 Market consistent valuations 327 $a2.2.5 Should financial practitioners always use market consistent valuations?2.2.6 Equity between parties; 2.2.7 Embedded values and franchise values; 2.2.8 Solvency calculations; 2.2.9 Pension fund valuations; 2.2.10 Bid-offer spreads; 2.3 Regulatory drivers favouring market consistent valuations; 2.4 Underlying theoretical attractions of market consistent valuations; 2.5 Reasons why some people reject market consistency; 2.6 Market making versus position taking; 2.7 Contracts that include discretionary elements; 2.8 Valuation and regulation; 2.9 Marking-to-market versus marking-to-model 327 $a2.10 Rational behaviour?3 Different Meanings given to 'Market Consistent Valuations'; 3.1 Introduction; 3.2 The underlying purpose of a valuation; 3.3 The importance of the 'marginal' trade; 3.4 Different definitions used by different standards setters; 3.4.1 Introduction; 3.4.2 US accounting - FAS 157; 3.4.3 Guidance on how to interpret FAS, IAS, IFRS, etc.; 3.4.4 EU insurance regulation - 'Solvency II'; 3.4.5 Market consistent embedded values; 3.4.6 UK pension fund accounting and solvency computation; 3.5 Interpretations used by other commentators; 3.5.1 Introduction 327 $a3.5.2 Contrasting 'market consistent' values with 'real world' values3.5.3 Stressing the aim of avoiding subjectivity where possible; 3.5.4 Extending 'market consistency' to other activities; 3.5.5 Application only if obvious market observables exist; 3.5.6 Hedgeable liabilities; 3.5.7 Fair valuation in an asset management context; 4 Derivative Pricing Theory; 4.1 Introduction; 4.2 The principle of no arbitrage; 4.2.1 No arbitrage; 4.2.2 Valuation of symmetric derivatives; 4.2.3 Valuation of asymmetric derivatives; 4.2.4 Valuation of path dependent derivatives 327 $a4.5.5 Interpretation in the context of Modern Portfolio Theory 330 $aAchieving market consistency can be challenging, even for the most established finance practitioners. In Market Consistency: Model Calibration in Imperfect Markets, leading expert Malcolm Kemp shows readers how they can best incorporate market consistency across all disciplines. Building on the author's experience as a practitioner, writer and speaker on the topic, the book explores how risk management and related disciplines might develop as fair valuation principles become more entrenched in finance and regulatory practice. This is the only text that clearly illustrates how to calib 410 0$aWiley finance series. 606 $aCapital market 606 $aBanks and banking 606 $aRisk management 615 0$aCapital market. 615 0$aBanks and banking. 615 0$aRisk management. 676 $a332.0415 676 $a332/.0415 700 $aKemp$b Malcolm H. D$01678812 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910829949003321 996 $aMarket consistency$94053602 997 $aUNINA