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Macrofinancial risk analysis [[electronic resource] /] / Dale F. Gray and Samuel W. Malone
| Macrofinancial risk analysis [[electronic resource] /] / Dale F. Gray and Samuel W. Malone |
| Autore | Gray Dale <1953-> |
| Pubbl/distr/stampa | Chichester, West Sussex, England ; ; Hoboken, NJ, : J. Wiley & Sons Inc., c2008 |
| Descrizione fisica | 1 online resource (364 p.) |
| Disciplina | 339 |
| Altri autori (Persone) | MaloneSamuel W |
| Collana | Wiley finance series |
| Soggetto topico |
Macroeconomics
Risk management |
| ISBN |
1-282-34334-3
9786612343346 1-118-46742-6 0-470-75632-2 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Macrofinancial Risk Analysis; Contents; Foreword; Preface; 1 Introduction; PART I OVERVIEW OF FINANCE, MACROECONOMICS, AND RISK CONCEPTS; 2 An Overview of Macroeconomics, and Why the Theory of Asset Pricing and Contingent Claims Should Shape its Future; 2.1 An overview of macroeconomics; 2.2 How uncertainty is incorporated into macroeconomic models; 2.3 Missing components in macro models: balance sheets with risk, default, and (nonlinear) risk exposures; 2.4 Asset-pricing theory, financial derivatives pricing, and contingent claims analysis
2.5 Autoregression in economics vs. random walks in finance 2.6 Asset price process related to a threshold or barrier; 2.7 Relating finance models and risk analytics to macroeconomic models; 2.8 Toward macrofinancial engineering; 2.9 Summary; References; 3 Macroeconomic Models; 3.1 The Hicks-Hansen IS-LM model of a closed economy; 3.2 The Mundell-Fleming model of an open economy; 3.3 A dynamic, stochastic, five-equation, small open economy macro model; 3.4 Summary; References; 4 Stochastic Processes, Asset Pricing, and Option Pricing; 4.1 Stochastic processes; 4.2 Itô's lemma 4.3 Asset pricing: Arrow-Debreu securities and the replicating portfolio4.4 Put and call option values; 4.5 Pricing the options using the Black-Scholes-Merton formula; 4.6 Market price of risk; 4.7 Implications of incomplete markets for pricing; 4.8 Summary; Appendix 4A Primer on relationship of put, call, and exchange options; Appendix 4B Physics, Feynman, and finance; References; 5 Balance Sheets, Implicit Options, and Contingent Claims Analysis; 5.1 Uncertain assets and probability of distress or default on debt; 5.2 Probability of distress or default 5.3 Debt and equity as contingent claims5.4 Payoff diagrams for contingent claims; 5.5 Understanding why an implicit put option equals expected loss; 5.6 Using the Merton model and Black-Scholes-Merton formula to value contingent claims; 5.7 Measuring asset values and volatilities; 5.8 Estimating implied asset value and asset volatility from equity or junior claims; 5.9 Risk measures; 5.10 Summary; References; 6 Further Extensions and Applications of Contingent Claims Analysis; 6.1 Extensions of the Merton model 6.2 Applications of CCA with different types of distress barriers and liability structures6.3 Risk-adjusted and actual probabilities using the market price of risk, Sharpe ratios, and recovery rates; 6.4 Moody's-KMV approach; 6.5 CCA using skewed asset distributions modeled with a mixture of lognormals; 6.6 Maximum likelihood methods; 6.7 Incorporating stochastic interest rates and interest rate term structures into structural CCA balance sheet models; 6.8 Other structural models with stochastic interest rates; 6.9 Summary; Appendix 6A Calculating parameters in the Vasicek model; References PART II THE MACROFINANCE MODELING FRAMEWORK |
| Record Nr. | UNINA-9910146100603321 |
Gray Dale <1953->
|
||
| Chichester, West Sussex, England ; ; Hoboken, NJ, : J. Wiley & Sons Inc., c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Macrofinancial risk analysis / / Dale F. Gray and Samuel W. Malone
| Macrofinancial risk analysis / / Dale F. Gray and Samuel W. Malone |
| Autore | Gray Dale <1953-> |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Chichester, West Sussex, England ; ; Hoboken, NJ, : J. Wiley & Sons Inc., c2008 |
| Descrizione fisica | 1 online resource (364 p.) |
| Disciplina | 339 |
| Altri autori (Persone) | MaloneSamuel W |
| Collana | Wiley finance series |
| Soggetto topico |
Macroeconomics
Risk management |
| ISBN |
9786612343346
9781282343344 1282343343 9781118467428 1118467426 9780470756324 0470756322 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Macrofinancial Risk Analysis; Contents; Foreword; Preface; 1 Introduction; PART I OVERVIEW OF FINANCE, MACROECONOMICS, AND RISK CONCEPTS; 2 An Overview of Macroeconomics, and Why the Theory of Asset Pricing and Contingent Claims Should Shape its Future; 2.1 An overview of macroeconomics; 2.2 How uncertainty is incorporated into macroeconomic models; 2.3 Missing components in macro models: balance sheets with risk, default, and (nonlinear) risk exposures; 2.4 Asset-pricing theory, financial derivatives pricing, and contingent claims analysis
2.5 Autoregression in economics vs. random walks in finance 2.6 Asset price process related to a threshold or barrier; 2.7 Relating finance models and risk analytics to macroeconomic models; 2.8 Toward macrofinancial engineering; 2.9 Summary; References; 3 Macroeconomic Models; 3.1 The Hicks-Hansen IS-LM model of a closed economy; 3.2 The Mundell-Fleming model of an open economy; 3.3 A dynamic, stochastic, five-equation, small open economy macro model; 3.4 Summary; References; 4 Stochastic Processes, Asset Pricing, and Option Pricing; 4.1 Stochastic processes; 4.2 Itô's lemma 4.3 Asset pricing: Arrow-Debreu securities and the replicating portfolio4.4 Put and call option values; 4.5 Pricing the options using the Black-Scholes-Merton formula; 4.6 Market price of risk; 4.7 Implications of incomplete markets for pricing; 4.8 Summary; Appendix 4A Primer on relationship of put, call, and exchange options; Appendix 4B Physics, Feynman, and finance; References; 5 Balance Sheets, Implicit Options, and Contingent Claims Analysis; 5.1 Uncertain assets and probability of distress or default on debt; 5.2 Probability of distress or default 5.3 Debt and equity as contingent claims5.4 Payoff diagrams for contingent claims; 5.5 Understanding why an implicit put option equals expected loss; 5.6 Using the Merton model and Black-Scholes-Merton formula to value contingent claims; 5.7 Measuring asset values and volatilities; 5.8 Estimating implied asset value and asset volatility from equity or junior claims; 5.9 Risk measures; 5.10 Summary; References; 6 Further Extensions and Applications of Contingent Claims Analysis; 6.1 Extensions of the Merton model 6.2 Applications of CCA with different types of distress barriers and liability structures6.3 Risk-adjusted and actual probabilities using the market price of risk, Sharpe ratios, and recovery rates; 6.4 Moody's-KMV approach; 6.5 CCA using skewed asset distributions modeled with a mixture of lognormals; 6.6 Maximum likelihood methods; 6.7 Incorporating stochastic interest rates and interest rate term structures into structural CCA balance sheet models; 6.8 Other structural models with stochastic interest rates; 6.9 Summary; Appendix 6A Calculating parameters in the Vasicek model; References PART II THE MACROFINANCE MODELING FRAMEWORK |
| Record Nr. | UNINA-9910825065103321 |
|
Gray Dale <1953->
|
||
| Chichester, West Sussex, England ; ; Hoboken, NJ, : J. Wiley & Sons Inc., c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||