Extreme Value Hedging

Author : Ronald D. Orol
Publisher : John Wiley & Sons
Page : 400 pages
File Size : 44,6 Mb
Release : 2008-01-18
Category : Business & Economics
ISBN : 9780470198919

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Extreme Value Hedging by Ronald D. Orol Pdf

Activist hedge fund managers represent a small part of the $1.5 trillion hedge fund industry, but their approach is causing a stir among traditional managers and the investment community because they are shaking up the corporate establishment and making money for their investors. These types of managers are here to stay and Extreme Value Hedging tells the story of their rise to power in the U.S. and how they are spreading their influential gospel around the globe to places like China, Ukraine, South Korea and Sweden. Author Ronald D. Orol has a unique understanding of this world and through this book he shares his unparalleled insights in an easy to comprehend manner. He discusses everything from activist investor efforts to breakup the clubby insider world of corporate boardrooms to their deal-making or breaking pressure tactics and courtroom battles. Orol skillfully makes his case for each subject by offering revelations and examples from insiders like Ralph Whitworth, (Relational Investors), Guy Wyser-Pratte, (Wyser-Pratte Management), Mark Schwarz, (Newcastle Capital Group LLC), Robert Chapman (Chapman Capital), Phillip Goldstein (Opportunity Partners), Jeffrey Ubben (ValueAct Capital), Jeffrey M. Solomon (Ramius Capital Group LLC), Michael Van Biema (Van Biema Value Partners), Eric Rosenfeld (Crescendo Partners), Lars Förberg (Cevian Capital) and Emanuel Pearlman (Liberation Investment Group), among many, many others.

Author : Gregor Aleksander Gawron
Publisher : Cuvillier Verlag
Page : 150 pages
File Size : 43,7 Mb
Release : 2007
Category : Electronic
ISBN : 9783867274418

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Tail Risk of Hedge Funds by Gregor Aleksander Gawron Pdf

Author : Younes Bensalah,Bank of Canada
Publisher : Unknown
Page : 22 pages
File Size : 43,9 Mb
Release : 2000
Category : Extreme value theory
ISBN : 0662296699

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Steps in Applying Extreme Value Theory to Finance by Younes Bensalah,Bank of Canada Pdf

Author : Francois Longin
Publisher : John Wiley & Sons
Page : 638 pages
File Size : 55,9 Mb
Release : 2016-10-17
Category : Business & Economics
ISBN : 9781118650196

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Extreme Events in Finance by Francois Longin Pdf

A guide to the growing importance of extreme value risk theory, methods, and applications in the financial sector Presenting a uniquely accessible guide, Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications features a combination of the theory, methods, and applications of extreme value theory (EVT) in finance and a practical understanding of market behavior including both ordinary and extraordinary conditions. Beginning with a fascinating history of EVTs and financial modeling, the handbook introduces the historical implications that resulted in the applications and then clearly examines the fundamental results of EVT in finance. After dealing with these theoretical results, the handbook focuses on the EVT methods critical for data analysis. Finally, the handbook features the practical applications and techniques and how these can be implemented in financial markets. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications includes: Over 40 contributions from international experts in the areas of finance, statistics, economics, business, insurance, and risk management Topical discussions on univariate and multivariate case extremes as well as regulation in financial markets Extensive references in order to provide readers with resources for further study Discussions on using R packages to compute the value of risk and related quantities The book is a valuable reference for practitioners in financial markets such as financial institutions, investment funds, and corporate treasuries, financial engineers, quantitative analysts, regulators, risk managers, large-scale consultancy groups, and insurers. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications is also a useful textbook for postgraduate courses on the methodology of EVTs in finance.

Author : Berç Rustem,Melendres Howe
Publisher : Princeton University Press
Page : 405 pages
File Size : 51,6 Mb
Release : 2009-02-09
Category : Mathematics
ISBN : 9781400825110

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Algorithms for Worst-Case Design and Applications to Risk Management by Berç Rustem,Melendres Howe Pdf

Recognizing that robust decision making is vital in risk management, this book provides concepts and algorithms for computing the best decision in view of the worst-case scenario. The main tool used is minimax, which ensures robust policies with guaranteed optimal performance that will improve further if the worst case is not realized. The applications considered are drawn from finance, but the design and algorithms presented are equally applicable to problems of economic policy, engineering design, and other areas of decision making. Critically, worst-case design addresses not only Armageddon-type uncertainty. Indeed, the determination of the worst case becomes nontrivial when faced with numerous--possibly infinite--and reasonably likely rival scenarios. Optimality does not depend on any single scenario but on all the scenarios under consideration. Worst-case optimal decisions provide guaranteed optimal performance for systems operating within the specified scenario range indicating the uncertainty. The noninferiority of minimax solutions--which also offer the possibility of multiple maxima--ensures this optimality. Worst-case design is not intended to necessarily replace expected value optimization when the underlying uncertainty is stochastic. However, wise decision making requires the justification of policies based on expected value optimization in view of the worst-case scenario. Conversely, the cost of the assured performance provided by robust worst-case decision making needs to be evaluated relative to optimal expected values. Written for postgraduate students and researchers engaged in optimization, engineering design, economics, and finance, this book will also be invaluable to practitioners in risk management.

Author : Barbel Finkenstadt,Holger Rootzen
Publisher : CRC Press
Page : 422 pages
File Size : 40,8 Mb
Release : 2003-07-28
Category : Mathematics
ISBN : 9780203483350

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Extreme Values in Finance, Telecommunications, and the Environment by Barbel Finkenstadt,Holger Rootzen Pdf

Because of its potential to ...predict the unpredictable,... extreme value theory (EVT) and methodology is currently receiving a great deal of attention from statistical and mathematical researchers. This book brings together world-recognized authorities in their respective fields to provide expository chapters on the applications, use, and theory

Author : Ivan Kühne
Publisher : Haupt Verlag AG
Page : 350 pages
File Size : 44,8 Mb
Release : 2011
Category : Hedge funds
ISBN : 9783258076942

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Activist Vs. Passivist Hedge Funds by Ivan Kühne Pdf

Author : Donald R. Chambers,Mark J. P. Anson,Keith H. Black,Hossein B. Kazemi,CAIA Association
Publisher : John Wiley & Sons
Page : 960 pages
File Size : 52,8 Mb
Release : 2015-08-18
Category : Business & Economics
ISBN : 9781119003373

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Alternative Investments by Donald R. Chambers,Mark J. P. Anson,Keith H. Black,Hossein B. Kazemi,CAIA Association Pdf

The official CAIA Level 1 curriculum book Alternative Investments: CAIA Level I, 3rd Edition is the curriculum book for the Chartered Alternative Investment Analyst (CAIA) Level I professional examination. Covering the fundamentals of the alternative investment space, this book helps you build a foundation in alternative investment markets. You'll look closely at the different types of hedge fund strategies and the range of statistics used to define investment performance as you gain a deep familiarity with alternative investment terms and develop the computational ability to solve investment problems. From strategy characteristics to portfolio management strategies, this book contains the core material you will need to succeed on the CAIA Level I exam. This updated third edition tracks to the latest version of the exam, and is accompanied by the following ancillaries: a workbook, study guide, learning objectives, and an ethics handbook. Most investment analyst education programs focus primarily on the traditional asset classes, pushing alternative investments to the sidelines. The CAIA designation was developed in response to the tremendous growth of alternative investing, and is the industry's premier educational standard. This book is your official study companion, bringing you fully up to speed on everything you need to know (with the exception of the ethics material covered in a separate handbook). Understand the complexities of each alternative asset class Learn the quantitative techniques professionals use every day Dig into the unique aspects of alternative investments Master the core material covered by the CAIA Level I exam More than 300 financial institutions and hedge funds have committed key executives to the CAIA exam, and this rapidly growing trend speaks to the designation's rising status as a must-have credential for anyone in the alternative investment sphere. Increase your chances of success by getting your information straight from the source in CAIA Level I.

Author : Iris H-Y Chiu
Publisher : Bloomsbury Publishing
Page : 204 pages
File Size : 47,9 Mb
Release : 2010-10-12
Category : Law
ISBN : 9781847316042

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The Foundations and Anatomy of Shareholder Activism by Iris H-Y Chiu Pdf

The Foundations and Anatomy of Shareholder Activism examines the landscape of contemporary shareholder activism in the UK. The book focuses on minority shareholder activism in publicly listed companies. It argues that contemporary shareholder activism in the UK is dominated by two groups; one, the institutional shareholders whose shareholder activism is largely seen as a driving force for good corporate governance, and two, the hedge funds whose shareholder activism is based on value extraction and exit. The book provides a detailed examination of both types of shareholder activism, and discusses critically the nature of, motivations for and consequences following both types of shareholder activism. The book then locates both types of shareholder activism in the theory of the company and the fabric of company law, and argues that institutional shareholder activism based on exercising a voice at general meetings is well supported in theory and law. The call for institutions to engage in more informal forms of activism in the name of 'stewardship' may bring about challenges to the current patterns of activism that institutions engage in. The book argues, however, that a more cautious view of hedge fund activism and the pattern of value extraction and exit should be taken. More empirical evidence is likely to be necessary, however, to weigh up the long terms benefits and costs of hedge fund activism.

Author : Georges Zaccour
Publisher : Springer Science & Business Media
Page : 419 pages
File Size : 48,8 Mb
Release : 2013-04-17
Category : Business & Economics
ISBN : 9781475735611

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Decision & Control in Management Science by Georges Zaccour Pdf

Decision & Control in Management Science analyzes emerging decision problems in the management and engineering sciences. It is divided into five parts. The first part explores methodological issues involved in the optimization of deterministic and stochastic dynamical systems. The second part describes approaches to the model energy and environmental systems and draws policy implications related to the mitigation of pollutants. The third part applies quantitative techniques to problems in finance and economics, such as hedging of options, inflation targeting, and equilibrium asset pricing. The fourth part considers a series of problems in production systems. Optimization methods are put forward to provide optimal policies in areas such as inventory management, transfer-line, flow-shop and other industrial problems. The last part covers game theory. Chapters range from theoretical issues to applications in politics and interactions in franchising systems. Decision & Control in Management Science is an excellent reference covering methodological issues and applications in operations research, optimal control, and dynamic games.

Author : H. Kent Baker,Greg Filbeck
Publisher : Financial Markets and Investme
Page : 709 pages
File Size : 40,7 Mb
Release : 2015
Category : Business & Economics
ISBN : 9780199331963

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Investment Risk Management by H. Kent Baker,Greg Filbeck Pdf

All investments carry with them some degree of risk. In the financial world, individuals, professional money managers, financial institutions and many others encounter and must deal with risk. The main purpose of 'Investment Risk Management' is to provide an overview of developments in risk management and a synthesis of research involving the latest developments in the field--

Author : Constantin Zopounidis,Ramzi Benkraiem,Iordanis Kalaitzoglou
Publisher : Springer Nature
Page : 480 pages
File Size : 47,9 Mb
Release : 2021-09-13
Category : Business & Economics
ISBN : 9783030666910

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Financial Risk Management and Modeling by Constantin Zopounidis,Ramzi Benkraiem,Iordanis Kalaitzoglou Pdf

Risk is the main source of uncertainty for investors, debtholders, corporate managers and other stakeholders. For all these actors, it is vital to focus on identifying and managing risk before making decisions. The success of their businesses depends on the relevance of their decisions and consequently, on their ability to manage and deal with the different types of risk. Accordingly, the main objective of this book is to promote scientific research in the different areas of risk management, aiming at being transversal and dealing with different aspects of risk management related to corporate finance as well as market finance. Thus, this book should provide useful insights for academics as well as professionals to better understand and assess the different types of risk.

Author : Saralees Nadarajah,Stephen Chan,Jeffrey Chu,Yuanyuan Zhang
Publisher : MDPI
Page : 158 pages
File Size : 42,8 Mb
Release : 2021-01-13
Category : Business & Economics
ISBN : 9783039435333

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Blockchain and Cryptocurrencies by Saralees Nadarajah,Stephen Chan,Jeffrey Chu,Yuanyuan Zhang Pdf

Blockchain and cryptocurrencies have recently captured the interest of academics and those in industry. Cryptocurrencies are essentially digital currencies that use blockchain technology and cryptography to facilitate secure and anonymous transactions. The cryptocurrency market is currently worth over $500 billion. Many institutions and countries are starting to understand and implement the idea of cryptocurrencies in their business models. This Special Issue will provide a collection of papers from leading experts in the area of blockchain and cryptocurrencies. The topics covered in this Special Issue will include but are not limited to the following: academic research on blockchain and cryptocurrencies; industrial applications of blockchain and cryptocurrencies; applications of fintech in academia and industry; the economics of blockchain technology, and the financial analysis and risk management with cryptocurrencies.

Author : Tanya S. Beder,Cara M. Marshall
Publisher : John Wiley & Sons
Page : 616 pages
File Size : 55,7 Mb
Release : 2011-06-07
Category : Business & Economics
ISBN : 9780470455814

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Financial Engineering by Tanya S. Beder,Cara M. Marshall Pdf

FINANCIAL ENGINEERING Financial engineering is poised for a great shift in the years ahead. Everyone from investors and borrowers to regulators and legislators will need to determine what works, what doesn't, and where to go from here. Financial Engineering—part of the Robert W. Kolb Series in Finance—has been designed to help you do just this. Comprised of contributed chapters by distinguished experts from industry and academia, this reliable resource will help you focus on established activities in the field, developing trends and changes, as well as areas of opportunity. Divided into five comprehensive parts, Financial Engineering begins with an informative overview of the discipline, chronicling its complete history and profiling potential career paths. From here, Part II quickly moves on to discuss the evolution of financial engineering in major markets—fixed income, foreign exchange, equities, commodities and credit—and offers important commentary on what has worked and what will change. Part III then examines a number of recent innovative applications of financial engineering that have made news over the past decade—such as the advent of securitized and structured products and highly quantitative trading strategies for both equities and fixed income. Thoughts on how risk management might be retooled to reflect what has been learned as a result of the recent financial crisis are also included. Part IV of the book is devoted entirely to case studies that present valuable lessons for active practitioners and academics. Several of the cases explore the risk that has instigated losses across multiple markets, including the global credit crisis. You'll gain in-depth insights from cases such as Countrywide, Société Générale, Barings, Long-Term Capital Management, the Florida Local Government Investment Pool, AIG, Merrill Lynch, and many more. The demand for specific and enterprise risk managers who can think outside the box will be substantial during this decade. Much of Part V presents new ways to be successful in an era that demands innovation on both sides of the balance sheet. Chapters that touch upon this essential topic include Musings About Hedging; Operational Risk; and The No-Arbitrage Condition in Financial Engineering: Its Use and Mis-Use. This book is complemented by a companion website that includes details from the editors' survey of financial engineering programs around the globe, along with a glossary of key terms from the book. This practical guide puts financial engineering in perspective, and will give you a better idea of how it can be effectively utilized in real- world situations.

Author : Charles M. S. Sutcliffe
Publisher : Ashgate Publishing, Ltd.
Page : 544 pages
File Size : 43,8 Mb
Release : 2006-01-01
Category : Business & Economics
ISBN : 0754641929

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Stock Index Futures by Charles M. S. Sutcliffe Pdf

The value of trading in index futures is currently around $20 trillion and rising. This book describes how index futures work and summarizes the substantial body of empirical data on these markets in a clear and accessible way. With its inclusion of a full range of teaching and learning aids Stock Index Futures is ideal for the undergraduate and graduate.