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Bayesian risk management : a guide to model risk and sequential learning in financial markets / / Matt Sekerke
| Bayesian risk management : a guide to model risk and sequential learning in financial markets / / Matt Sekerke |
| Autore | Sekerke Matt |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2015 |
| Descrizione fisica | 1 online resource (238 p.) |
| Disciplina | 332/.041501519542 |
| Collana | Wiley Finance Series |
| Soggetto topico |
Finance - Mathematical models
Financial risk management - Mathematical models Bayesian statistical decision theory |
| ISBN |
1-118-74750-X
1-118-86478-6 1-118-74745-3 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Title Page; Copyright; Contents; Preface; Acknowledgments; Chapter 1 Models for Discontinuous Markets; Risk Models and Model Risk; Time-Invariant Models and Crisis; Ergodic Stationarity in Classical Time Series Analysis; Recalibration Does Not Overcome the Limits of a Time-Invariant Model; Bayesian Probability as a Means of Handling Discontinuity; Accounting for Parameter and Model Uncertainty; Responding to Changes in the Market Environment; Time-Invariance and Objectivity; Part 1 Capturing Uncertainty in Statistical Models
Chapter 2 Prior Knowledge, Parameter Uncertainty, and EstimationEstimation with Prior Knowledge: The Beta-Bernoulli Model; Encoding Prior Knowledge in the Beta-Bernoulli Model; Impact of the Prior on the Posterior Distribution; Shrinkage and Bias; Efficiency; Hyperparameters and Sufficient Statistics; Conjugate Prior Families; Prior Parameter Distributions as Hypotheses: The Normal Linear Regression Model; Classical Analysis of the Normal Linear Regression Model; Estimation; Hypothesis Testing; Bayesian Analysis of the Normal Linear Regression Model Hypothesis Testing with Parameter DistributionsComparison; Decisions after Observing the Data: The Choice of Estimators; Decisions and Loss; Loss and Prior Information; Chapter 3 Model Uncertainty; Bayesian Model Comparison; Bayes Factors; Marginal Likelihoods; Parsimony; Bayes Factors versus Information Criteria; Bayes Factors versus Likelihood Ratios; Models as Nuisance Parameters; The Space of Models; Mixtures of Models; Uncertainty in Pricing Models; Front-Office Models; The Statistical Nature of Front-Office Models; A Note on Backtesting Part 2 Sequential Learning with Adaptive Statistical ModelsChapter 4 Introduction to Sequential Modeling; Sequential Bayesian Inference; Achieving Adaptivity via Discounting; Discounting in the Beta-Bernoulli Model; Discounting in the Linear Regression Model; Comparison with the Time-Invariant Case; Accounting for Uncertainty in Sequential Models; Chapter 5 Bayesian Inference in State-Space Time Series Models; State Space Models of Time Series; The Filtering Problem; The Smoothing Problem; Dynamic Linear Models; General Form; Polynomial Trend Components; Seasonal Components Regression ComponentsBuilding DLMs with Components; Recursive Relationships in the DLM; Filtering Recursion; Smoothing Recursion; Predictive Distributions and Forecasting; Variance Estimation; Univariate Case; Multivariate Case; Sequential Model Comparison; Chapter 6 Sequential Monte Carlo Inference; Nonlinear and Non-Normal Models; Gibbs Sampling; Forward-Filtering Backward-Sampling; State Learning with Particle Filters; The Particle Set; A First Particle Filter: The Bootstrap Filter; The Auxiliary Particle Filter; Joint Learning of Parameters and States; The Liu-West Filter Improving Efficiency with Sufficient Statistics |
| Record Nr. | UNINA-9910131451603321 |
Sekerke Matt
|
||
| Hoboken, New Jersey : , : Wiley, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Bayesian risk management : a guide to model risk and sequential learning in financial markets / / Matt Sekerke
| Bayesian risk management : a guide to model risk and sequential learning in financial markets / / Matt Sekerke |
| Autore | Sekerke Matt |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2015 |
| Descrizione fisica | 1 online resource (238 p.) |
| Disciplina | 332/.041501519542 |
| Collana | Wiley Finance Series |
| Soggetto topico |
Finance - Mathematical models
Financial risk management - Mathematical models Bayesian statistical decision theory |
| ISBN |
1-118-74750-X
1-118-86478-6 1-118-74745-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Title Page; Copyright; Contents; Preface; Acknowledgments; Chapter 1 Models for Discontinuous Markets; Risk Models and Model Risk; Time-Invariant Models and Crisis; Ergodic Stationarity in Classical Time Series Analysis; Recalibration Does Not Overcome the Limits of a Time-Invariant Model; Bayesian Probability as a Means of Handling Discontinuity; Accounting for Parameter and Model Uncertainty; Responding to Changes in the Market Environment; Time-Invariance and Objectivity; Part 1 Capturing Uncertainty in Statistical Models
Chapter 2 Prior Knowledge, Parameter Uncertainty, and EstimationEstimation with Prior Knowledge: The Beta-Bernoulli Model; Encoding Prior Knowledge in the Beta-Bernoulli Model; Impact of the Prior on the Posterior Distribution; Shrinkage and Bias; Efficiency; Hyperparameters and Sufficient Statistics; Conjugate Prior Families; Prior Parameter Distributions as Hypotheses: The Normal Linear Regression Model; Classical Analysis of the Normal Linear Regression Model; Estimation; Hypothesis Testing; Bayesian Analysis of the Normal Linear Regression Model Hypothesis Testing with Parameter DistributionsComparison; Decisions after Observing the Data: The Choice of Estimators; Decisions and Loss; Loss and Prior Information; Chapter 3 Model Uncertainty; Bayesian Model Comparison; Bayes Factors; Marginal Likelihoods; Parsimony; Bayes Factors versus Information Criteria; Bayes Factors versus Likelihood Ratios; Models as Nuisance Parameters; The Space of Models; Mixtures of Models; Uncertainty in Pricing Models; Front-Office Models; The Statistical Nature of Front-Office Models; A Note on Backtesting Part 2 Sequential Learning with Adaptive Statistical ModelsChapter 4 Introduction to Sequential Modeling; Sequential Bayesian Inference; Achieving Adaptivity via Discounting; Discounting in the Beta-Bernoulli Model; Discounting in the Linear Regression Model; Comparison with the Time-Invariant Case; Accounting for Uncertainty in Sequential Models; Chapter 5 Bayesian Inference in State-Space Time Series Models; State Space Models of Time Series; The Filtering Problem; The Smoothing Problem; Dynamic Linear Models; General Form; Polynomial Trend Components; Seasonal Components Regression ComponentsBuilding DLMs with Components; Recursive Relationships in the DLM; Filtering Recursion; Smoothing Recursion; Predictive Distributions and Forecasting; Variance Estimation; Univariate Case; Multivariate Case; Sequential Model Comparison; Chapter 6 Sequential Monte Carlo Inference; Nonlinear and Non-Normal Models; Gibbs Sampling; Forward-Filtering Backward-Sampling; State Learning with Particle Filters; The Particle Set; A First Particle Filter: The Bootstrap Filter; The Auxiliary Particle Filter; Joint Learning of Parameters and States; The Liu-West Filter Improving Efficiency with Sufficient Statistics |
| Record Nr. | UNINA-9910810481303321 |
|
Sekerke Matt
|
||
| Hoboken, New Jersey : , : Wiley, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Interest rate modeling for risk management : market price of interest rate risk / / Takashi Yasuoka
| Interest rate modeling for risk management : market price of interest rate risk / / Takashi Yasuoka |
| Autore | Yasuoka Takashi |
| Pubbl/distr/stampa | Sharjah : , : Bentham Science Publishers, Limited, , [2015] |
| Descrizione fisica | 1 online resource (302 pages) |
| Soggetto topico |
Interest rate risk - Mathematical models
Financial risk management - Mathematical models |
| ISBN | 1-68108-126-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Cover; Title; EUL; Contents; Summary; Preface; Acknowledgement; Biography; Chapter 01; Chapter 02; Chapter 03; Chapter 04; Chapter 05; Chapter 06; Chapter 07; Chapter 08; Chapter 09; Chapter 10; Appendix; References; Author Index; Subject Index; Back |
| Record Nr. | UNINA-9910818111903321 |
|
Yasuoka Takashi
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| Sharjah : , : Bentham Science Publishers, Limited, , [2015] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The journal of risk model validation
| The journal of risk model validation |
| Pubbl/distr/stampa | London : , : Incisive Risk Information Limited |
| Descrizione fisica | volumes : illustrations ; ; 25 cm |
| Disciplina | 330.015195 |
| Soggetto topico |
Financial risk management
Financial risk management - Mathematical models Finances - Gestion du risque Finances - Gestion du risque - Modèles mathématiques Portfolio-Management Finanzmarkt Mathematische Ökonomie |
| Soggetto genere / forma | Periodicals. |
| ISSN | 1753-9587 |
| Formato | Materiale a stampa |
| Livello bibliografico | Periodico |
| Lingua di pubblicazione | eng |
| Altri titoli varianti | Risk model validation |
| Record Nr. | UNISA-996335454903316 |
| London : , : Incisive Risk Information Limited | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Market tremors : quantifying structural risks in modern financial markets / / Hari P. Krishnan, Ash Bennington
| Market tremors : quantifying structural risks in modern financial markets / / Hari P. Krishnan, Ash Bennington |
| Autore | Krishnan Hari P. <1968-> |
| Pubbl/distr/stampa | Cham, Switzerland : , : Palgrave Macmillan, , [2021] |
| Descrizione fisica | 1 online resource (257 pages) |
| Disciplina | 332.015118 |
| Soggetto topico |
Financial risk management - Mathematical models
Investments - Mathematical models Risk management |
| ISBN | 3-030-79253-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Intro -- Acknowledgements -- Contents -- List of Figures -- List of Tables -- 1 Introduction -- "Zombification" of Modern Markets -- The Challenge to Investors -- An Analogy with Waiting Times -- Qualitative Features of Zombification -- The Dilemma for Institutional Investors -- External and Network Risks -- Vulnerability Not Predictability -- The Two Asset Base Case -- Textbook Description of Risk -- A Parallel Universe -- The Full Network Model -- Steering a Middle Course -- 2 Financial Networks in the Presence of a Dominant Agent -- Reviewing the Core Ideas -- Contrast with Reactive Approaches -- An Emphasis on Practicality -- Buying Options in Fragile Markets -- The Standard Approach to Modeling Risk -- The Mean Field Interpretation -- Indistinguishability: A Hidden but Crucial Assumption -- From Mean Fields to the Entire Financial Network -- Computational Issues in the Full Network Model -- Mean Field-Majority Agent Interactions -- Quantifying Feedback from the Dominant Agent -- The Basic Mean Field-Majority Agent Algorithm -- Estimating Price Impact: Practical Considerations -- Properties of the Modified Distribution -- Reflections on Parameter Stability -- Contrast with Impact-Adjusted VAR -- Algorithm Requirements -- Searching for Dominant Agents -- Other Likely Culprits: Banks, Dealers and Market Makers -- More Reflections on the Central Banks -- Conclusions -- Addendum: Complimentary Models to Ours -- The JLS Model -- Limitations of the LPPL Model -- Mean Field Games with a Majority Player -- 3 Exchange-Traded Products as a Source of Network Risk -- Easy Access for the Retail Investor -- Premium/Discount to NAV -- Major Players in the ETF Space -- How the Creation/Redemption Process Works -- Where It Can All Go Wrong -- ETNs: Debt Trading on Equity Exchanges -- Safety Considerations -- Levered Exchange-Traded Products.
Where is the Bid? -- Underperformance of Leveraged ETFs and ETNs -- Path Dependence over Longer Horizons -- Conclusions -- Endnote: The Effect of Mean Reversion on Levered and Inverse Exchange-Traded Products -- 4 The VIX "Volmaggedon", with Exchange-Traded Notes Destabilizing the Market -- Initial Demand for Long VIX ETNs -- VXX Implementation Details -- Sound Reasons for Launching the VXX -- Impact of the VIX Futures Term Structure on Carry -- Costs of Rolling a Long VIX Futures Position -- Speculators Complete the Market -- Short VIX ETNs Enter the Fray -- The Pre-conditions for a Crisis -- How Many Contracts to Buy, Conditional on a Volatility Spike -- The TAS Order Book -- Price Impact: Relevance of the Market Microstructure Literature -- Price Impact: A Matter of Perspective -- Specifying the Price Impact Curve -- More Insights into Square Root Impact -- A Surprising Analogy -- Where Cost and Mark to Market Risk Converge -- Estimating Follow Through During the Volmageddon -- The XIV Goes to 0 on Volmageddon Day -- Strong Conclusions, with a Few Caveats -- 5 Liquidity Fissures in the Corporate Bond Markets -- Dangers in the Bond-ETF Feedback Loop -- Framing the Problem for High Yield ETFs -- OOM Estimates for the US High Yield Market -- The ETF Premium/Discount: A Potential Sign of Instability -- Sketching Out a Danger Scenario -- Specifying the Mean Field -- Dominant Agents in the Corporate Bond ETF Space -- Forces Driving an Extreme Discount to NAV -- Limit up and Down Thresholds for Various Securities -- Deciding How Many Shares to Buy -- Contraction in Dealer Balance Sheets -- Interpreting the Order Book Data Correctly -- A Survey Approach to Estimating Impact -- Toxic Leakage into Mutual Funds -- Flow-Performance Curves for Bond Funds -- Quantifying the Relationship Between Performance and Flows -- Expected Outflows in State 8. Postscript: Tackling the High Yield Bond-ETF-Mutual Fund Feedback Loop During the Covid-19 Crisis in Q1 2020 -- 6 Market Makers, Stabilizing or Disruptive? -- Part One: The Corona Sell Off and the GEX -- Institutional Demand for Bond-Like Equity Structures -- The Impact of Dealer Hedging on Price Action -- Aggregate Gamma Exposure and the GEX -- Potential Hotspots for the GEX -- Statistical Properties of the GEX -- Incremental Value of the GEX -- Dealer Positioning and the Q1 2020 Crisis -- Part 2: A Qualitative Model of Market Maker Impact -- Pinning Arises from Dealer Hedging -- Discrete Time Pinning Model -- Simulated Paths Near Expiration -- Generalizing the Model -- Statistical Results: Fat Tail Generation and Potential Whipsaws -- Non-technical Summary -- Technical Endnotes -- 7 The Elephants in the Room: Banks and the "Almighty" Central Bank -- Part 1: Central Bank Policy and Forward Credit Spreads -- Raw Size of the Banking System -- Central Bank Levers -- The Fed's Historical Reaction Function -- Typical Impact of Rate Cuts and QE -- Multi-factor Regression Results -- Part 2: The Single Greatest Predictor of Long-Term Equity Returns -- Institutional Strategic Asset Allocation Templates -- Bond Supply Varies as a Function of Yields and Issuance -- Estimating the Quantity of (Bonds + Cash) Over Time -- Specifying the Equity Supply Indicator Variable -- Empirical Results -- A Comparison of Post-GFC Valuations -- Concluding Thoughts -- 8 Playing Defense and Attack in the Presence of a Dominant Agent -- Sizing Positions Sensibly -- Identifying Pressure Points in the Market -- Exploiting Products with Fragile Design Features -- References -- Index. |
| Record Nr. | UNINA-9910502617703321 |
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Krishnan Hari P. <1968->
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| Cham, Switzerland : , : Palgrave Macmillan, , [2021] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Operational risk toward Basel III [[electronic resource] ] : best practices and issues in modeling, management and regulation / / [edited by] Greg N. Gregoriou
| Operational risk toward Basel III [[electronic resource] ] : best practices and issues in modeling, management and regulation / / [edited by] Greg N. Gregoriou |
| Autore | Gregoriou Greg N. <1956-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : John Wiley & Sons, , 2009 |
| Descrizione fisica | 1 online resource (528 p.) |
| Disciplina |
332.1068
332.1068/1 |
| Altri autori (Persone) | GregoriouGreg N. <1956-> |
| Collana | Wiley finance series |
| Soggetto topico |
Banks and banking, International - Risk management
Bank capital - Mathematical models Financial risk management - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-282-11367-4
9786612113673 1-118-26706-0 0-470-45188-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Operational Risk Toward Basel III: Best Practices and Issues in Modeling, Management, and Regulation; Contents; Foreword; About the Editor; Acknowledgments; About the Contributors; PART One: Operational Risk Measurement: Qualitative Approaches; CHAPTER 1: Modeling Operational Risk Based on Multiple Experts' Opinions; CHAPTER 2: Consistent Quantitative Operational Risk Measurement; CHAPTER 3: Operational Risk Based on Complementary Loss Evaluations; CHAPTER 4: Can Operational Risk Models Deal with Unprecedented Large Banking Losses?
CHAPTER 5: Identifying and Mitigating Perceived Risks in the Bank Service Chain: A New Formalization Effort to Address the Intangible and Heterogeneous Natures of Knowledge-Based ServicesCHAPTER 6: Operational Risk and Stock Market Returns: Evidence from Turkey; PART Two: Operational Risk Measurement: Quantitative Approaches; CHAPTER 7: Integrating Op Risk into Total VaR; CHAPTER 8: Importance Sampling Techniques for Large Quantile Estimation in the Advanced Measurement Approach; CHAPTER 9: One-Sided Cross-Validation for Density Estimation with an Application to Operational Risk CHAPTER 10: Multivariate Models for Operational Risk: A Copula Approach Using Extreme Value Theory and Poisson Shock ModelsCHAPTER 11: First-Order Approximations to Operational Risk: Dependence and Consequences; PART Three: Operational Risk Management and Mitigation; CHAPTER 12: Integrating "Management" into "OpRisk Management"; CHAPTER 13: Operational Risk Management: An Emergent Industry; CHAPTER 14: OpRisk Insurance as a Net Value Generator; CHAPTER 15: Operational Risk Versus Capital Requirements under New Italian Banking Capital Regulation: Are Small Banks Penalized? CHAPTER 16: Simple Measures for Operational Risk Reduction? An Assessment of Implications and DrawbacksPART Four: Issues in Operational Risk Regulation and the Fund Industry; CHAPTER 17: Toward an Economic and Regulatory Benchmarking Indicator for Banking Systems; CHAPTER 18: Operational Risk Disclosure in Financial Services Firms; CHAPTER 19: Operational Risks in Payment and Securities Settlement Systems: A Challenge for Operators and Regulators; CHAPTER 20: Actual and Potential Use of Unregulated Financial Institutions for Transnational Crime CHAPTER 21: Case Studies in Hedge Fund Operational Risks: From Amaranth to Wood RiverCHAPTER 22: A Risk of Ruin Approach for Evaluating Commodity Trading Advisors; CHAPTER 23: Identifying and Mitigating Valuation Risk in Hedge Fund Investments; Index |
| Record Nr. | UNINA-9910145952903321 |
|
Gregoriou Greg N. <1956->
|
||
| Hoboken, New Jersey : , : John Wiley & Sons, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Operational risk toward Basel III [[electronic resource] ] : best practices and issues in modeling, management and regulation / / [edited by] Greg N. Gregoriou
| Operational risk toward Basel III [[electronic resource] ] : best practices and issues in modeling, management and regulation / / [edited by] Greg N. Gregoriou |
| Autore | Gregoriou Greg N. <1956-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : John Wiley & Sons, , 2009 |
| Descrizione fisica | 1 online resource (528 p.) |
| Disciplina |
332.1068
332.1068/1 |
| Altri autori (Persone) | GregoriouGreg N. <1956-> |
| Collana | Wiley finance series |
| Soggetto topico |
Banks and banking, International - Risk management
Bank capital - Mathematical models Financial risk management - Mathematical models |
| ISBN |
1-282-11367-4
9786612113673 1-118-26706-0 0-470-45188-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Operational Risk Toward Basel III: Best Practices and Issues in Modeling, Management, and Regulation; Contents; Foreword; About the Editor; Acknowledgments; About the Contributors; PART One: Operational Risk Measurement: Qualitative Approaches; CHAPTER 1: Modeling Operational Risk Based on Multiple Experts' Opinions; CHAPTER 2: Consistent Quantitative Operational Risk Measurement; CHAPTER 3: Operational Risk Based on Complementary Loss Evaluations; CHAPTER 4: Can Operational Risk Models Deal with Unprecedented Large Banking Losses?
CHAPTER 5: Identifying and Mitigating Perceived Risks in the Bank Service Chain: A New Formalization Effort to Address the Intangible and Heterogeneous Natures of Knowledge-Based ServicesCHAPTER 6: Operational Risk and Stock Market Returns: Evidence from Turkey; PART Two: Operational Risk Measurement: Quantitative Approaches; CHAPTER 7: Integrating Op Risk into Total VaR; CHAPTER 8: Importance Sampling Techniques for Large Quantile Estimation in the Advanced Measurement Approach; CHAPTER 9: One-Sided Cross-Validation for Density Estimation with an Application to Operational Risk CHAPTER 10: Multivariate Models for Operational Risk: A Copula Approach Using Extreme Value Theory and Poisson Shock ModelsCHAPTER 11: First-Order Approximations to Operational Risk: Dependence and Consequences; PART Three: Operational Risk Management and Mitigation; CHAPTER 12: Integrating "Management" into "OpRisk Management"; CHAPTER 13: Operational Risk Management: An Emergent Industry; CHAPTER 14: OpRisk Insurance as a Net Value Generator; CHAPTER 15: Operational Risk Versus Capital Requirements under New Italian Banking Capital Regulation: Are Small Banks Penalized? CHAPTER 16: Simple Measures for Operational Risk Reduction? An Assessment of Implications and DrawbacksPART Four: Issues in Operational Risk Regulation and the Fund Industry; CHAPTER 17: Toward an Economic and Regulatory Benchmarking Indicator for Banking Systems; CHAPTER 18: Operational Risk Disclosure in Financial Services Firms; CHAPTER 19: Operational Risks in Payment and Securities Settlement Systems: A Challenge for Operators and Regulators; CHAPTER 20: Actual and Potential Use of Unregulated Financial Institutions for Transnational Crime CHAPTER 21: Case Studies in Hedge Fund Operational Risks: From Amaranth to Wood RiverCHAPTER 22: A Risk of Ruin Approach for Evaluating Commodity Trading Advisors; CHAPTER 23: Identifying and Mitigating Valuation Risk in Hedge Fund Investments; Index |
| Record Nr. | UNINA-9910830886403321 |
|
Gregoriou Greg N. <1956->
|
||
| Hoboken, New Jersey : , : John Wiley & Sons, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Operational risk toward Basel III : best practices and issues in modeling, management and regulation / / [edited by] Greg N. Gregoriou
| Operational risk toward Basel III : best practices and issues in modeling, management and regulation / / [edited by] Greg N. Gregoriou |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, c2009 |
| Descrizione fisica | 1 online resource (528 p.) |
| Disciplina | 332.1068/1 |
| Altri autori (Persone) | GregoriouGreg N. <1956-> |
| Collana | Wiley finance series |
| Soggetto topico |
Banks and banking, International - Risk management
Bank capital - Mathematical models Financial risk management - Mathematical models |
| ISBN |
9786612113673
9781282113671 1282113674 9781118267066 1118267060 9780470451885 0470451882 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Operational Risk Toward Basel III: Best Practices and Issues in Modeling, Management, and Regulation; Contents; Foreword; About the Editor; Acknowledgments; About the Contributors; PART One: Operational Risk Measurement: Qualitative Approaches; CHAPTER 1: Modeling Operational Risk Based on Multiple Experts' Opinions; CHAPTER 2: Consistent Quantitative Operational Risk Measurement; CHAPTER 3: Operational Risk Based on Complementary Loss Evaluations; CHAPTER 4: Can Operational Risk Models Deal with Unprecedented Large Banking Losses?
CHAPTER 5: Identifying and Mitigating Perceived Risks in the Bank Service Chain: A New Formalization Effort to Address the Intangible and Heterogeneous Natures of Knowledge-Based ServicesCHAPTER 6: Operational Risk and Stock Market Returns: Evidence from Turkey; PART Two: Operational Risk Measurement: Quantitative Approaches; CHAPTER 7: Integrating Op Risk into Total VaR; CHAPTER 8: Importance Sampling Techniques for Large Quantile Estimation in the Advanced Measurement Approach; CHAPTER 9: One-Sided Cross-Validation for Density Estimation with an Application to Operational Risk CHAPTER 10: Multivariate Models for Operational Risk: A Copula Approach Using Extreme Value Theory and Poisson Shock ModelsCHAPTER 11: First-Order Approximations to Operational Risk: Dependence and Consequences; PART Three: Operational Risk Management and Mitigation; CHAPTER 12: Integrating "Management" into "OpRisk Management"; CHAPTER 13: Operational Risk Management: An Emergent Industry; CHAPTER 14: OpRisk Insurance as a Net Value Generator; CHAPTER 15: Operational Risk Versus Capital Requirements under New Italian Banking Capital Regulation: Are Small Banks Penalized? CHAPTER 16: Simple Measures for Operational Risk Reduction? An Assessment of Implications and DrawbacksPART Four: Issues in Operational Risk Regulation and the Fund Industry; CHAPTER 17: Toward an Economic and Regulatory Benchmarking Indicator for Banking Systems; CHAPTER 18: Operational Risk Disclosure in Financial Services Firms; CHAPTER 19: Operational Risks in Payment and Securities Settlement Systems: A Challenge for Operators and Regulators; CHAPTER 20: Actual and Potential Use of Unregulated Financial Institutions for Transnational Crime CHAPTER 21: Case Studies in Hedge Fund Operational Risks: From Amaranth to Wood RiverCHAPTER 22: A Risk of Ruin Approach for Evaluating Commodity Trading Advisors; CHAPTER 23: Identifying and Mitigating Valuation Risk in Hedge Fund Investments; Index |
| Record Nr. | UNINA-9910877506603321 |
| Hoboken, N.J., : John Wiley & Sons, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The risks of financial modeling [[electronic resource] ] : VaR and the economic meltdown : hearing before the Subcommittee on Investigations and Oversight, Committee on Science and Technology, House of Representatives, One Hundred Eleventh Congress, first session, September 10, 2009
| The risks of financial modeling [[electronic resource] ] : VaR and the economic meltdown : hearing before the Subcommittee on Investigations and Oversight, Committee on Science and Technology, House of Representatives, One Hundred Eleventh Congress, first session, September 10, 2009 |
| Pubbl/distr/stampa | Washington : , : U.S. G.P.O., , 2010 |
| Descrizione fisica | 1 online resource (iv, 151 pages) : illustrations |
| Soggetto topico |
Finance - Mathematical models
Financial futures - Mathematical models Financial risk management - Mathematical models Global Financial Crisis, 2008-2009 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Altri titoli varianti | Risks of financial modeling |
| Record Nr. | UNINA-9910697243503321 |
| Washington : , : U.S. G.P.O., , 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic methods for pension funds [[electronic resource] /] / Pierre Devolder, Jacques Janssen, Raimondo Manca
| Stochastic methods for pension funds [[electronic resource] /] / Pierre Devolder, Jacques Janssen, Raimondo Manca |
| Autore | Devolder Pierre |
| Pubbl/distr/stampa | London, : ISTE Ltd. |
| Descrizione fisica | 1 online resource (476 p.) |
| Disciplina |
332.67/2540151923
332.672540151923 |
| Altri autori (Persone) |
JanssenJacques <1939->
MancaRaimondo |
| Collana | Applied stochastic methods series |
| Soggetto topico |
Pension trusts - Management
Pension trusts - Mathematics Financial risk management - Mathematical models Stochastic models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-118-56203-8
1-299-31580-1 1-118-56593-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Stochastic Methods for Pension Funds; Title Page; Copyright Page; Table of Contents; Preface; Chapter 1. Introduction: Pensions in Perspective; 1.1. Pension issues; 1.1.1. The challenge; 1.1.2. Some figures; 1.2. Pension scheme; 1.2.1. Definition; 1.2.2. The four dimensions of a pension scheme; 1.3. Pension and risks; 1.3.1. Demographic risks; 1.3.2. Financial risks; 1.3.3. Impact of the risks on various kinds of pension schemes; 1.3.4. The time horizon of a pension scheme; 1.4. The multi-pillar philosophy; Chapter 2. Classical Actuarial Theory of Pension Funding
2.1. General equilibrium equation of a pension scheme2.1.1. Principles; 2.1.2. The retrospective reserve; 2.1.3. The prospective reserve; 2.1.4. Equilibrated pension funding; 2.1.5. Decomposition of the reserve; 2.1.6. Classification of the methods; 2.2. General principles of funding mechanisms for DB Schemes; 2.3. Particular funding methods; 2.3.1. Unit credit cost methods; 2.3.2. Level premium methods; 2.3.3. Aggregate cost methods; Chapter 3. Deterministic and Stochastic Optimal Control; 3.1. Introduction; 3.2. Deterministic optimal control 3.2.1. Formulation of the optimal control problem3.3. Necessary conditions for optimality; 3.3.1. Bellman function; 3.3.2. Bellman optimality equation; 3.3.3. Hamilton-Jacobi equation; 3.3.4. The synthesis function; 3.3.5. Other types of optimal controls; 3.3.6. Example: the classical quadratic/linear control problem; 3.4. The maximum principle; 3.4.1. The maximum principle from the dynamic programming approach; 3.5. Extension to the one-dimensional stochastic optimal control; 3.5.1. Formulation of the one-dimensional stochastic optimal control problem 3.5.2. Necessary conditions for one-dimensional stochastic optimality3.5.3. Extension to the multi-dimensional stochastic optimal control; 3.5.4. Dynamic programming principle; 3.5.5. The Hamilton-Jacobi-Bellman equation; 3.6. Examples; 3.6.1. Merton portfolio allocation problem; Chapter 4. Defined Contribution and Defined Benefit Pension Plans; 4.1. Introduction; 4.2. The defined benefit method; 4.3. The defined contribution method; 4.3.1. The model; 4.3.2. The capitalization system; 4.4. The notional defined contribution (NDC) method; 4.4.1. Historical preliminaries 4.4.2. The Dini reform transformation coefficients4.4.3. Theoretical preliminaries; 4.4.4. The construction of a unitary pension present value; 4.4.5. Numerical example and results comparison; 4.5. Conclusions; Chapter 5. Fair and Market Values and Interest Rate Stochastic Models; 5.1. Fair value; 5.2. Market value of financial flows; 5.3. Yield curve; 5.4. Yield to maturity for a financial investment and for a bond; 5.5. Dynamic deterministic continuous time model for an instantaneous interest rate; 5.5.1. Instantaneous interest rate; 5.5.2. Particular cases 5.5.3. Yield curve associated with an instantaneous interest rate |
| Record Nr. | UNINA-9910139239203321 |
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Devolder Pierre
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| London, : ISTE Ltd. | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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