Info
- Utilizzare la checkbox di selezione a fianco di ciascun documento per attivare le funzionalità di stampa, invio email, download nei formati disponibili del (i) record.
The credit market handbook [[electronic resource] ] : advanced modeling issues / / H. Gifford Fong, Editor
| The credit market handbook [[electronic resource] ] : advanced modeling issues / / H. Gifford Fong, Editor |
| Autore | FONG H. |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2006 |
| Descrizione fisica | 1 online resource (254 p.) |
| Disciplina |
332.7
332.701 |
| Altri autori (Persone) | FongH. Gifford |
| Collana | Wiley finance series |
| Soggetto topico |
Credit - Mathematical models
Risk management - Mathematical models Default (Finance) - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-119-20189-6
1-280-31180-0 9786610311804 0-471-78719-1 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
The Credit Market Handbook; Contents; Introduction; Executive Chapter Summaries; CHAPTER 1 ESTIMATING DEFAULT PROBABILITIES IMPLICIT IN EQUITY PRICES; CHAPTER 2 PREDICTIONS OF DEFAULT PROBABILITIES IN STRUCTURAL MODELS OF DEBT; CHAPTER 3 SURVEY OF THE RECENT LITERATURE: RECOVERY RISK; CHAPTER 4 NON-PARAMETRIC ANALYSIS OF RATING TRANSITION AND DEFAULT DATA; CHAPTER 5 VALUING HIGH-YIELD BONDS: A BUSINESS MODELING APPROACH; CHAPTER 6 STRUCTURAL VERSUS REDUCED-FORM MODELS: A NEW INFORMATION-BASED PERSPECTIVE
CHAPTER 7 REDUCED FORM VERSUS STRUCTURAL MODELS OF CREDIT RISK: A CASE STUDY OF THREE MODELSCHAPTER 8 IMPLICATIONS OF CORRELATED DEFAULT FOR PORTFOLIO ALLOCATION TO CORPORATE BONDS; CHAPTER 9 CORRELATED DEFAULT PROCESSES: A CRITERION-BASED COPULA APPROACH; Chapter 1: Estimating Default Probabilities Implicit in Equity Prices; 1. INTRODUCTION; 2. THE MODEL STRUCTURE; 3. DESCRIPTION OF THE DATA; 4. ESTIMATION OF THE STATE VARIABLE PROCESS PARAMETERS; 5. EQUITY RETURN ESTIMATION; 6. ANALYSIS OF THE TIME SERIES PROPERTIES OF THE PARAMETERS 7. ANALYSIS OF FAMA-FRENCH FOUR-FACTOR MODEL WITH NO DEFAULT8. ANALYSIS OF A BUBBLE COMPONENT (P/E RATIO) IN STOCK PRICES; 9. ANALYSIS OF THE DEFAULT INTENSITY; 10. RELATIVE PERFORMANCE OF THE EQUITY RETURN MODELS; 11. COMPARISON OF DEFAULT INTENSITIES BASED ON DEBT VERSUS EQUITY; 12. CONCLUSIONS; NOTES; REFERENCES; APPENDIX; Chapter 2: Predictions of Default Probabilities in Structural Models of Debt; 1. INTRODUCTION; 2. RECENT EMPIRICAL STUDIES; 3. STRUCTURAL MODELS AND DEFAULT RISK; 4. THE DEFAULT BOUNDARY IN EXOGENOUS AND ENDOGENOUS CASES 5. THE DEFAULT PROBABILITY WITH CONSTANT DEFAULT BARRIER6. CALIBRATION OF MODELS: THE BASE CASE; 7. MATCHING EMPIRICAL DEFAULT FREQUENCIES WITH THE L-T MODEL; 8. MATCHING EMPIRICAL DPS WITH THE L-S MODEL; 9. THE MOODY'S-KMV APPROACH; 10. SOME PRELIMINARY THOUGHTS ON THE RELATIONSHIP BETWEEN THE KMV APPROACH AND L-S/L-T; 11. CONCLUSIONS; ACKNOWLEDGMENTS; POSTSCRIPT; APPENDIX; NOTES; REFERENCES; Chapter 3: Survey of the Recent Literature: Recovery Risk; 1. INTRODUCTION; 2. EMPIRICAL ATTRIBUTES; 3. RECOVERY CONVENTIONS; 4. RECOVERY IN STRUCTURAL MODELS; 5. RECOVERY IN REDUCED-FORM MODELS 6. MEASURE TRANSFORMATIONS7. SUMMARY ANDSPECULATION; REFERENCES; Chapter 4: Non-Parametric Analysis of Rating Transition and Default Data; 1. INTRODUCTION; 2. DATA AND OUTLINE OF METHODOLOGY; 3. ESTIMATING TRANSITION INTENSITIES IN TWO DIMENSIONS; 4. ONE-DIMENSIONAL HAZARDS AND MARGINAL INTEGRATION; 5. CONFIDENCE INTERVALS; 6. TRANSITIONS: DEPENDENCE ON PREVIOUS MOVE AND DURATION; 7. MULTIPLICATIVE INTENSITIES; 8. CONCLUDING REMARKS; ACKNOWLEDGMENTS; NOTES; REFERENCES; Chapter 5: Valuing High-Yield Bonds: A Business Modeling Approach; 1. INTRODUCTION; 2. SPECIFICATION OF THE MODEL 3. A NUMERICAL ILLUSTRATION |
| Record Nr. | UNINA-9910145030703321 |
FONG H.
|
||
| Hoboken, N.J., : Wiley, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The credit market handbook [[electronic resource] ] : advanced modeling issues / / H. Gifford Fong, Editor
| The credit market handbook [[electronic resource] ] : advanced modeling issues / / H. Gifford Fong, Editor |
| Autore | FONG H. |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2006 |
| Descrizione fisica | 1 online resource (254 p.) |
| Disciplina |
332.7
332.701 |
| Altri autori (Persone) | FongH. Gifford |
| Collana | Wiley finance series |
| Soggetto topico |
Credit - Mathematical models
Risk management - Mathematical models Default (Finance) - Mathematical models |
| ISBN |
1-119-20189-6
1-280-31180-0 9786610311804 0-471-78719-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
The Credit Market Handbook; Contents; Introduction; Executive Chapter Summaries; CHAPTER 1 ESTIMATING DEFAULT PROBABILITIES IMPLICIT IN EQUITY PRICES; CHAPTER 2 PREDICTIONS OF DEFAULT PROBABILITIES IN STRUCTURAL MODELS OF DEBT; CHAPTER 3 SURVEY OF THE RECENT LITERATURE: RECOVERY RISK; CHAPTER 4 NON-PARAMETRIC ANALYSIS OF RATING TRANSITION AND DEFAULT DATA; CHAPTER 5 VALUING HIGH-YIELD BONDS: A BUSINESS MODELING APPROACH; CHAPTER 6 STRUCTURAL VERSUS REDUCED-FORM MODELS: A NEW INFORMATION-BASED PERSPECTIVE
CHAPTER 7 REDUCED FORM VERSUS STRUCTURAL MODELS OF CREDIT RISK: A CASE STUDY OF THREE MODELSCHAPTER 8 IMPLICATIONS OF CORRELATED DEFAULT FOR PORTFOLIO ALLOCATION TO CORPORATE BONDS; CHAPTER 9 CORRELATED DEFAULT PROCESSES: A CRITERION-BASED COPULA APPROACH; Chapter 1: Estimating Default Probabilities Implicit in Equity Prices; 1. INTRODUCTION; 2. THE MODEL STRUCTURE; 3. DESCRIPTION OF THE DATA; 4. ESTIMATION OF THE STATE VARIABLE PROCESS PARAMETERS; 5. EQUITY RETURN ESTIMATION; 6. ANALYSIS OF THE TIME SERIES PROPERTIES OF THE PARAMETERS 7. ANALYSIS OF FAMA-FRENCH FOUR-FACTOR MODEL WITH NO DEFAULT8. ANALYSIS OF A BUBBLE COMPONENT (P/E RATIO) IN STOCK PRICES; 9. ANALYSIS OF THE DEFAULT INTENSITY; 10. RELATIVE PERFORMANCE OF THE EQUITY RETURN MODELS; 11. COMPARISON OF DEFAULT INTENSITIES BASED ON DEBT VERSUS EQUITY; 12. CONCLUSIONS; NOTES; REFERENCES; APPENDIX; Chapter 2: Predictions of Default Probabilities in Structural Models of Debt; 1. INTRODUCTION; 2. RECENT EMPIRICAL STUDIES; 3. STRUCTURAL MODELS AND DEFAULT RISK; 4. THE DEFAULT BOUNDARY IN EXOGENOUS AND ENDOGENOUS CASES 5. THE DEFAULT PROBABILITY WITH CONSTANT DEFAULT BARRIER6. CALIBRATION OF MODELS: THE BASE CASE; 7. MATCHING EMPIRICAL DEFAULT FREQUENCIES WITH THE L-T MODEL; 8. MATCHING EMPIRICAL DPS WITH THE L-S MODEL; 9. THE MOODY'S-KMV APPROACH; 10. SOME PRELIMINARY THOUGHTS ON THE RELATIONSHIP BETWEEN THE KMV APPROACH AND L-S/L-T; 11. CONCLUSIONS; ACKNOWLEDGMENTS; POSTSCRIPT; APPENDIX; NOTES; REFERENCES; Chapter 3: Survey of the Recent Literature: Recovery Risk; 1. INTRODUCTION; 2. EMPIRICAL ATTRIBUTES; 3. RECOVERY CONVENTIONS; 4. RECOVERY IN STRUCTURAL MODELS; 5. RECOVERY IN REDUCED-FORM MODELS 6. MEASURE TRANSFORMATIONS7. SUMMARY ANDSPECULATION; REFERENCES; Chapter 4: Non-Parametric Analysis of Rating Transition and Default Data; 1. INTRODUCTION; 2. DATA AND OUTLINE OF METHODOLOGY; 3. ESTIMATING TRANSITION INTENSITIES IN TWO DIMENSIONS; 4. ONE-DIMENSIONAL HAZARDS AND MARGINAL INTEGRATION; 5. CONFIDENCE INTERVALS; 6. TRANSITIONS: DEPENDENCE ON PREVIOUS MOVE AND DURATION; 7. MULTIPLICATIVE INTENSITIES; 8. CONCLUDING REMARKS; ACKNOWLEDGMENTS; NOTES; REFERENCES; Chapter 5: Valuing High-Yield Bonds: A Business Modeling Approach; 1. INTRODUCTION; 2. SPECIFICATION OF THE MODEL 3. A NUMERICAL ILLUSTRATION |
| Record Nr. | UNINA-9910830547203321 |
|
FONG H.
|
||
| Hoboken, N.J., : Wiley, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The credit market handbook [[electronic resource] ] : advanced modeling issues / / H. Gifford Fong, Editor
| The credit market handbook [[electronic resource] ] : advanced modeling issues / / H. Gifford Fong, Editor |
| Autore | FONG H. |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2006 |
| Descrizione fisica | 1 online resource (254 p.) |
| Disciplina |
332.7
332.701 |
| Altri autori (Persone) | FongH. Gifford |
| Collana | Wiley finance series |
| Soggetto topico |
Credit - Mathematical models
Risk management - Mathematical models Default (Finance) - Mathematical models |
| ISBN |
1-119-20189-6
1-280-31180-0 9786610311804 0-471-78719-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
The Credit Market Handbook; Contents; Introduction; Executive Chapter Summaries; CHAPTER 1 ESTIMATING DEFAULT PROBABILITIES IMPLICIT IN EQUITY PRICES; CHAPTER 2 PREDICTIONS OF DEFAULT PROBABILITIES IN STRUCTURAL MODELS OF DEBT; CHAPTER 3 SURVEY OF THE RECENT LITERATURE: RECOVERY RISK; CHAPTER 4 NON-PARAMETRIC ANALYSIS OF RATING TRANSITION AND DEFAULT DATA; CHAPTER 5 VALUING HIGH-YIELD BONDS: A BUSINESS MODELING APPROACH; CHAPTER 6 STRUCTURAL VERSUS REDUCED-FORM MODELS: A NEW INFORMATION-BASED PERSPECTIVE
CHAPTER 7 REDUCED FORM VERSUS STRUCTURAL MODELS OF CREDIT RISK: A CASE STUDY OF THREE MODELSCHAPTER 8 IMPLICATIONS OF CORRELATED DEFAULT FOR PORTFOLIO ALLOCATION TO CORPORATE BONDS; CHAPTER 9 CORRELATED DEFAULT PROCESSES: A CRITERION-BASED COPULA APPROACH; Chapter 1: Estimating Default Probabilities Implicit in Equity Prices; 1. INTRODUCTION; 2. THE MODEL STRUCTURE; 3. DESCRIPTION OF THE DATA; 4. ESTIMATION OF THE STATE VARIABLE PROCESS PARAMETERS; 5. EQUITY RETURN ESTIMATION; 6. ANALYSIS OF THE TIME SERIES PROPERTIES OF THE PARAMETERS 7. ANALYSIS OF FAMA-FRENCH FOUR-FACTOR MODEL WITH NO DEFAULT8. ANALYSIS OF A BUBBLE COMPONENT (P/E RATIO) IN STOCK PRICES; 9. ANALYSIS OF THE DEFAULT INTENSITY; 10. RELATIVE PERFORMANCE OF THE EQUITY RETURN MODELS; 11. COMPARISON OF DEFAULT INTENSITIES BASED ON DEBT VERSUS EQUITY; 12. CONCLUSIONS; NOTES; REFERENCES; APPENDIX; Chapter 2: Predictions of Default Probabilities in Structural Models of Debt; 1. INTRODUCTION; 2. RECENT EMPIRICAL STUDIES; 3. STRUCTURAL MODELS AND DEFAULT RISK; 4. THE DEFAULT BOUNDARY IN EXOGENOUS AND ENDOGENOUS CASES 5. THE DEFAULT PROBABILITY WITH CONSTANT DEFAULT BARRIER6. CALIBRATION OF MODELS: THE BASE CASE; 7. MATCHING EMPIRICAL DEFAULT FREQUENCIES WITH THE L-T MODEL; 8. MATCHING EMPIRICAL DPS WITH THE L-S MODEL; 9. THE MOODY'S-KMV APPROACH; 10. SOME PRELIMINARY THOUGHTS ON THE RELATIONSHIP BETWEEN THE KMV APPROACH AND L-S/L-T; 11. CONCLUSIONS; ACKNOWLEDGMENTS; POSTSCRIPT; APPENDIX; NOTES; REFERENCES; Chapter 3: Survey of the Recent Literature: Recovery Risk; 1. INTRODUCTION; 2. EMPIRICAL ATTRIBUTES; 3. RECOVERY CONVENTIONS; 4. RECOVERY IN STRUCTURAL MODELS; 5. RECOVERY IN REDUCED-FORM MODELS 6. MEASURE TRANSFORMATIONS7. SUMMARY ANDSPECULATION; REFERENCES; Chapter 4: Non-Parametric Analysis of Rating Transition and Default Data; 1. INTRODUCTION; 2. DATA AND OUTLINE OF METHODOLOGY; 3. ESTIMATING TRANSITION INTENSITIES IN TWO DIMENSIONS; 4. ONE-DIMENSIONAL HAZARDS AND MARGINAL INTEGRATION; 5. CONFIDENCE INTERVALS; 6. TRANSITIONS: DEPENDENCE ON PREVIOUS MOVE AND DURATION; 7. MULTIPLICATIVE INTENSITIES; 8. CONCLUDING REMARKS; ACKNOWLEDGMENTS; NOTES; REFERENCES; Chapter 5: Valuing High-Yield Bonds: A Business Modeling Approach; 1. INTRODUCTION; 2. SPECIFICATION OF THE MODEL 3. A NUMERICAL ILLUSTRATION |
| Record Nr. | UNINA-9910877488203321 |
|
FONG H.
|
||
| Hoboken, N.J., : Wiley, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The world of hedge funds [[electronic resource] ] : characteristics and analysis / / editor H. Gifford Fong
| The world of hedge funds [[electronic resource] ] : characteristics and analysis / / editor H. Gifford Fong |
| Pubbl/distr/stampa | New Jersey, : World Scientific, c2005 |
| Descrizione fisica | 1 online resource (217 p.) |
| Disciplina | 332.64/5 |
| Altri autori (Persone) | FongH. Gifford |
| Soggetto topico | Hedge funds |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-281-88108-2
9786611881085 981-256-944-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
CONTENTS; Introduction; Chapter 1 Working Papers: "Hedge" Funds Sanjiv Ranjan Das; Chapter 2 Sifting Through the Wreckage: Lessons from Recent Hedge-Fund Liquidations Mila Getmansky, Andrew W. Lo, and Shauna X. Mei; Chapter 3 The Dangers of Mechanical Investment Decision-Making: The Case of Hedge Funds Harry M. Kat; Chapter 4 Understanding Mutual Fund and Hedge Fund Styles Using Return-Based Style Analysis Arik Ben Dor, Ravi Jagannathan, and Iwan Meier; Chapter 5 Alternative Investments: CTAs, Hedge Funds, and Funds-of-Funds Bing Liang
Chapter 6 Managed Futures and Hedge Funds: A Match Made in Heaven Harry M. KatChapter 7 Fees on Fees in Funds of Funds Stephen J. Brown, William N. Goetzmann, and Bing Liang; Chapter 8 Extracting Portable Alphas From Equity Long/Short Hedge Funds William Fung and David A. Hsieh; Chapter 9 AIRAP-Alternative RAPMs for Alternative Investments Milind Sharma |
| Record Nr. | UNINA-9910450198103321 |
| New Jersey, : World Scientific, c2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The world of hedge funds [[electronic resource] ] : characteristics and analysis / / editor H. Gifford Fong
| The world of hedge funds [[electronic resource] ] : characteristics and analysis / / editor H. Gifford Fong |
| Pubbl/distr/stampa | New Jersey, : World Scientific, c2005 |
| Descrizione fisica | 1 online resource (217 p.) |
| Disciplina | 332.64/5 |
| Altri autori (Persone) | FongH. Gifford |
| Soggetto topico | Hedge funds |
| ISBN |
1-281-88108-2
9786611881085 981-256-944-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
CONTENTS; Introduction; Chapter 1 Working Papers: "Hedge" Funds Sanjiv Ranjan Das; Chapter 2 Sifting Through the Wreckage: Lessons from Recent Hedge-Fund Liquidations Mila Getmansky, Andrew W. Lo, and Shauna X. Mei; Chapter 3 The Dangers of Mechanical Investment Decision-Making: The Case of Hedge Funds Harry M. Kat; Chapter 4 Understanding Mutual Fund and Hedge Fund Styles Using Return-Based Style Analysis Arik Ben Dor, Ravi Jagannathan, and Iwan Meier; Chapter 5 Alternative Investments: CTAs, Hedge Funds, and Funds-of-Funds Bing Liang
Chapter 6 Managed Futures and Hedge Funds: A Match Made in Heaven Harry M. KatChapter 7 Fees on Fees in Funds of Funds Stephen J. Brown, William N. Goetzmann, and Bing Liang; Chapter 8 Extracting Portable Alphas From Equity Long/Short Hedge Funds William Fung and David A. Hsieh; Chapter 9 AIRAP-Alternative RAPMs for Alternative Investments Milind Sharma |
| Record Nr. | UNINA-9910783641603321 |
| New Jersey, : World Scientific, c2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The world of hedge funds : characteristics and analysis / / editor H. Gifford Fong
| The world of hedge funds : characteristics and analysis / / editor H. Gifford Fong |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | New Jersey, : World Scientific, c2005 |
| Descrizione fisica | 1 online resource (217 p.) |
| Disciplina | 332.64/5 |
| Altri autori (Persone) | FongH. Gifford |
| Soggetto topico | Hedge funds |
| ISBN |
1-281-88108-2
9786611881085 981-256-944-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
CONTENTS; Introduction; Chapter 1 Working Papers: "Hedge" Funds Sanjiv Ranjan Das; Chapter 2 Sifting Through the Wreckage: Lessons from Recent Hedge-Fund Liquidations Mila Getmansky, Andrew W. Lo, and Shauna X. Mei; Chapter 3 The Dangers of Mechanical Investment Decision-Making: The Case of Hedge Funds Harry M. Kat; Chapter 4 Understanding Mutual Fund and Hedge Fund Styles Using Return-Based Style Analysis Arik Ben Dor, Ravi Jagannathan, and Iwan Meier; Chapter 5 Alternative Investments: CTAs, Hedge Funds, and Funds-of-Funds Bing Liang
Chapter 6 Managed Futures and Hedge Funds: A Match Made in Heaven Harry M. KatChapter 7 Fees on Fees in Funds of Funds Stephen J. Brown, William N. Goetzmann, and Bing Liang; Chapter 8 Extracting Portable Alphas From Equity Long/Short Hedge Funds William Fung and David A. Hsieh; Chapter 9 AIRAP-Alternative RAPMs for Alternative Investments Milind Sharma |
| Record Nr. | UNINA-9910807621703321 |
| New Jersey, : World Scientific, c2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The world of risk management [[electronic resource] /] / editor, H. Gifford Fong
| The world of risk management [[electronic resource] /] / editor, H. Gifford Fong |
| Pubbl/distr/stampa | Hackensack, NJ ; ; London, : World Scientific Pub., c2006 |
| Descrizione fisica | 1 online resource (233 p.) |
| Disciplina | 332.6 |
| Altri autori (Persone) | FongH. Gifford |
| Soggetto topico |
Investments
Derivative securities Portfolio management Asset-liability management Risk management |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-281-37259-5
9786611372590 981-270-086-2 |
| Classificazione | 85.30 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
CONTENTS; Introduction; Practitioner's Digest; Chapter 1 Design of Financial Systems: Towards a Synthesis of Function and Structure Robert C. Merton and Zvi Bodie; Chapter 2 Asset/Liability Management and Enterprise Risk Management of an Insurer Thomas S. Y. Ho; Chapter 3 It's 11 pm-Do You Know Where Your Liquidity Is? The Mean-Variance-Liquidity Frontier AndrewW. Lo, Constantin Petrov and Martin Wierzbicki; Chapter 4 Time Diversification Jack L. Treynor; Chapter 5 A Practical Framework for Portfolio Choice Richard O. Michaud
Chapter 6 A Markov Chain Monte Carlo Method for Derivative Pricing and Risk Assessment Sanjiv R. Das and Alistair SinclairChapter 7 Active Risk and Information Ratio Edward Qian and Ronald Hua; Chapter 8 The Year-End Price of Risk in a Market for Liquidity Mark D. Griffiths and Drew B.Winters; Chapter 9 Resampled Frontiers versus Diffuse Bayes: An Experiment Harry M. Markowitz and Nilufer Usmen; Chapter 10 Fund Managers May Cause Their Benchmarks to be Priced "Risks" Michael Stutzer |
| Record Nr. | UNINA-9910450729503321 |
| Hackensack, NJ ; ; London, : World Scientific Pub., c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The world of risk management [[electronic resource] /] / editor, H. Gifford Fong
| The world of risk management [[electronic resource] /] / editor, H. Gifford Fong |
| Pubbl/distr/stampa | Hackensack, NJ ; ; London, : World Scientific Pub., c2006 |
| Descrizione fisica | 1 online resource (233 p.) |
| Disciplina | 332.6 |
| Altri autori (Persone) | FongH. Gifford |
| Soggetto topico |
Investments
Derivative securities Portfolio management Asset-liability management Risk management |
| ISBN |
1-281-37259-5
9786611372590 981-270-086-2 |
| Classificazione | 85.30 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
CONTENTS; Introduction; Practitioner's Digest; Chapter 1 Design of Financial Systems: Towards a Synthesis of Function and Structure Robert C. Merton and Zvi Bodie; Chapter 2 Asset/Liability Management and Enterprise Risk Management of an Insurer Thomas S. Y. Ho; Chapter 3 It's 11 pm-Do You Know Where Your Liquidity Is? The Mean-Variance-Liquidity Frontier AndrewW. Lo, Constantin Petrov and Martin Wierzbicki; Chapter 4 Time Diversification Jack L. Treynor; Chapter 5 A Practical Framework for Portfolio Choice Richard O. Michaud
Chapter 6 A Markov Chain Monte Carlo Method for Derivative Pricing and Risk Assessment Sanjiv R. Das and Alistair SinclairChapter 7 Active Risk and Information Ratio Edward Qian and Ronald Hua; Chapter 8 The Year-End Price of Risk in a Market for Liquidity Mark D. Griffiths and Drew B.Winters; Chapter 9 Resampled Frontiers versus Diffuse Bayes: An Experiment Harry M. Markowitz and Nilufer Usmen; Chapter 10 Fund Managers May Cause Their Benchmarks to be Priced "Risks" Michael Stutzer |
| Record Nr. | UNINA-9910784047503321 |
| Hackensack, NJ ; ; London, : World Scientific Pub., c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The world of risk management / / editor, H. Gifford Fong
| The world of risk management / / editor, H. Gifford Fong |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Hackensack, NJ ; ; London, : World Scientific Pub., c2006 |
| Descrizione fisica | 1 online resource (233 p.) |
| Disciplina | 332.6 |
| Altri autori (Persone) | FongH. Gifford |
| Soggetto topico |
Investments
Derivative securities Portfolio management Asset-liability management Risk management |
| ISBN |
1-281-37259-5
9786611372590 981-270-086-2 |
| Classificazione | 85.30 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
CONTENTS; Introduction; Practitioner's Digest; Chapter 1 Design of Financial Systems: Towards a Synthesis of Function and Structure Robert C. Merton and Zvi Bodie; Chapter 2 Asset/Liability Management and Enterprise Risk Management of an Insurer Thomas S. Y. Ho; Chapter 3 It's 11 pm-Do You Know Where Your Liquidity Is? The Mean-Variance-Liquidity Frontier AndrewW. Lo, Constantin Petrov and Martin Wierzbicki; Chapter 4 Time Diversification Jack L. Treynor; Chapter 5 A Practical Framework for Portfolio Choice Richard O. Michaud
Chapter 6 A Markov Chain Monte Carlo Method for Derivative Pricing and Risk Assessment Sanjiv R. Das and Alistair SinclairChapter 7 Active Risk and Information Ratio Edward Qian and Ronald Hua; Chapter 8 The Year-End Price of Risk in a Market for Liquidity Mark D. Griffiths and Drew B.Winters; Chapter 9 Resampled Frontiers versus Diffuse Bayes: An Experiment Harry M. Markowitz and Nilufer Usmen; Chapter 10 Fund Managers May Cause Their Benchmarks to be Priced "Risks" Michael Stutzer |
| Record Nr. | UNINA-9910814605003321 |
| Hackensack, NJ ; ; London, : World Scientific Pub., c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||