Risk Value And Default

Author : Oliviero Roggi
Publisher : World Scientific
Page : 168 pages
File Size : 42,5 Mb
Release : 2015-07-30
Category : Business & Economics
ISBN : 9789814641739

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Risk, Value and Default by Oliviero Roggi Pdf

Scholars and practitioners have known for a long time that risk plays an important, indeed central, role in determining the appropriate discount rate to be used in a sophisticated valuation model. In today's world, however, the very risk of survival, especially for financial institutions, is essential to the health of the world's capital markets and their impact on the global economy. Risk, Value and Default is a vital text for understanding the interaction between enterprise risk management with corporate valuation and corporate default. The book seeks to explore the interaction between the risk of default and enterprise risk, and their joint impact on firm valuation. It aims to address the problem of how corporations should deal with risk and how they can maximize shareholder value. It also examines various conceptual ways to measure risk, thereby bridging the gap between theoretical concepts and pragmatic application. The book combines sound conceptual analytics and empirical tools to provide useful information and tangible guidelines for firms, risk managers and financial analysts and advisors. Scholars and professionals with an interest in risk management, and managers, owners, creditors and potential investors in enterprises will find Risk, Value and Default a particularly useful guide to understanding the relationship between risk generation, risk management and corporate value and default from an interdisciplinary perspective. Contents:The Concept of Risk and the Enterprise Risk Management:The Corporate RiskRisk Management: Analysis of Risk, Endowment Capital, and Suppliers of FinanceEstimating Default Risk in Practice: Methodologies and Discriminant Variables:Credit Risk, Default, and Borrowing CostsCompany Default and Discriminant Variables for SMEDefault Risk and Discriminant Methodologies for SME Readership: Scholars and practitioners with an interest in risk governance, valuation and risk management within the context of the risk management and governance, corporate finance, banking, econometrics, mathematical economics and quantitative finance. Key Features:Explores the interaction between the risk of default and enterprise risk, and their joint impact on firm valuationAddresses the problem of how corporations should deal with risk and how they can maximize shareholder valueCombines sound conceptual analytics and regional firm data to provide useful information and tangible guidelines for firms as well as for analystsKeywords:Risk Management;Enterprise Risk Management;Credit Risk;Valuation;Equity Risk Premium;Basel III;Default Risk;Capital Requirements

Author : Philipp J. Schönbucher
Publisher : John Wiley & Sons
Page : 396 pages
File Size : 45,8 Mb
Release : 2003-10-31
Category : Business & Economics
ISBN : 9780470868171

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Credit Derivatives Pricing Models by Philipp J. Schönbucher Pdf

The credit derivatives market is booming and, for the first time, expanding into the banking sector which previously has had very little exposure to quantitative modeling. This phenomenon has forced a large number of professionals to confront this issue for the first time. Credit Derivatives Pricing Models provides an extremely comprehensive overview of the most current areas in credit risk modeling as applied to the pricing of credit derivatives. As one of the first books to uniquely focus on pricing, this title is also an excellent complement to other books on the application of credit derivatives. Based on proven techniques that have been tested time and again, this comprehensive resource provides readers with the knowledge and guidance to effectively use credit derivatives pricing models. Filled with relevant examples that are applied to real-world pricing problems, Credit Derivatives Pricing Models paves a clear path for a better understanding of this complex issue. Dr. Philipp J. Schönbucher is a professor at the Swiss Federal Institute of Technology (ETH), Zurich, and has degrees in mathematics from Oxford University and a PhD in economics from Bonn University. He has taught various training courses organized by ICM and CIFT, and lectured at risk conferences for practitioners on credit derivatives pricing, credit risk modeling, and implementation.

Author : Christoph Theis
Publisher : Haupt Verlag AG
Page : 152 pages
File Size : 40,9 Mb
Release : 2014
Category : Credit derivatives
ISBN : 9783258078854

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The Risks and Benefits of Credit Default Swaps and the Impact of a New Regulatory Environment by Christoph Theis Pdf

Seit dem Ausbruch der jüngsten Finanzkrise sind Credit Default Swaps (CDS) ins Rampenlicht des akademischen und medialen Interesses gerückt und bilden seitdem den Gegenstand einer kontroversen Diskussion. Auf Europäischer Ebene werden zudem neue regulatorische Rahmenbedingungen eingeführt, die weitreichende Auswirkungen auf den CDS Markt haben werden. Die angesprochenen Kontroversen sowie die bevorstehenden regulatorischen Veränderungen machen den CDS Markt daher zu einem spannenden und wichtigen Forschungsgegenstand. Die vorliegende Dissertation beschäftigt sich in vier Forschungsarbeiten mit den Implikationen des Einsatzes von CDS auf Marktteilnehmer und gibt im speziellen Antworten auf offene Fragen hinsichtlich der Anwendung von Kreditrisikomodellen, des Nutzens und der Risiken von CDS und den Auswirkungen neuer Regulierungen auf den CDS Markt. In Kapitel I werden die theoretischen Grundlagen zur Messung des Kreditrisikos gelegt, wobei der Fokus auf der praktischen Anwendung von Kreditrisikomodellen liegt. Hierbei untersuche ich die zwei gängigsten Kreditrisikomodelle: den firmenwertbasierten sowie den intensitätsbasierten Ansatz. Dabei gewinne ich wichtige Einblicke in den Einsatz von Kreditrisikomodellen im Zusammenhang mit der Nutzung von Kreditderivaten. In Kapitel II werden der Nutzen und die Risiken von CDS unter theoretischen und empirischen Gesichtspunkten einer Analyse unterzogen. Basierend auf der Analyse werden nachfolgend regulatorische Handlungsempfehlungen abgeleitet und diskutiert. Die Ergebnisse zeitigen eine Reihe von Risiken, die sich insbesondere in Krisenzeiten verstärken und daher effektivere zukünftige Regulierungen verlangen. Kapitel III konzentriert sich auf neue regulatorische Anforderungen im CDS Markt. Dabei liegt der Fokus auf der Ausgestaltung der Zentralen Gegenparteien und den Auswirkungen deren Einführung auf die Marktteilnehmer. Die Ergebnisse zeigen, dass Zentrale Gegenparteien ein.

Author : Dan Galai,David Ruthenberg,Marshall Sarnat,Ben Z. Schreiber
Publisher : Springer Science & Business Media
Page : 216 pages
File Size : 48,6 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9781461550433

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Risk Management and Regulation in Banking by Dan Galai,David Ruthenberg,Marshall Sarnat,Ben Z. Schreiber Pdf

Over the last fifty years, increasingly sophisticated risk measurement and management techniques have revolutionized the field of finance. More recently, the globalization of financial markets and policy changes in the regulation of financial institutions have impacted upon how commercial banks manage risk. The widespread implications of these fundamental changes prompted an international conference held in May, 1997, devoted to the topic of risk management and regulation in banking. This book contains the formal papers and the panel discussions that comprise the conference proceedings, and thus collects some of the latest research on managing financial market risk by top scholars, policymakers, and high-ranking banking officials from around the world.

Author : CFA Institute
Publisher : John Wiley & Sons
Page : 5753 pages
File Size : 49,6 Mb
Release : 2016-08-01
Category : Business & Economics
ISBN : 9781119315735

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CFA Program Curriculum 2017 Level II, Volumes 1 - 6 by CFA Institute Pdf

Master the practical aspects of the CFA Program Curriculum with expert instruction for the 2017 exam The same official curricula that CFA Program candidates receive with program registration is now publicly available for purchase. CFA Program Curriculum 2017 Level II, Volumes 1-6 provides the complete Level II Curriculum for the 2017 exam, with practical instruction on the Candidate Body of Knowledge (CBOK) and how it is applied, including expert guidance on incorporating concepts into practice. Level II focuses on complex analysis with an emphasis on asset valuation, and is designed to help you use investment concepts appropriately in situations analysts commonly face. Coverage includes ethical and professional standards, quantitative analysis, economics, financial reporting and analysis, corporate finance, equities, fixed income, derivatives, alternative investments, and portfolio management organized into individual study sessions with clearly defined Learning Outcome Statements. Charts, graphs, figures, diagrams, and financial statements illustrate complex concepts to facilitate retention, and practice questions with answers allow you to gauge your understanding while reinforcing important concepts. While Level I introduced you to basic foundational investment skills, Level II requires more complex techniques and a strong grasp of valuation methods. This set dives deep into practical application, explaining complex topics to help you understand and retain critical concepts and processes. Incorporate analysis skills into case evaluations Master complex calculations and quantitative techniques Understand the international standards used for valuation and analysis Gauge your skills and understanding against each Learning Outcome Statement CFA Institute promotes the highest standards of ethics, education, and professional excellence among investment professionals. The CFA Program Curriculum guides you through the breadth of knowledge required to uphold these standards. The three levels of the program build on each other. Level I provides foundational knowledge and teaches the use of investment tools; Level II focuses on application of concepts and analysis, particularly in the valuation of assets; and Level III builds toward synthesis across topics with an emphasis on portfolio management.

Author : CFA Institute
Publisher : John Wiley & Sons
Page : 6455 pages
File Size : 47,9 Mb
Release : 2017-08-02
Category : Business & Economics
ISBN : 9781119396710

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CFA Program Curriculum 2018 Level II by CFA Institute Pdf

Master the practical aspects of the CFA Program Curriculum with expert instruction for the 2018 exam The same official curricula that CFA Program candidates receive with program registration is now publicly available for purchase. CFA Program Curriculum 2018 Level II, Volumes 1-6 provides the complete Level II Curriculum for the 2018 exam, with practical instruction on the Candidate Body of Knowledge (CBOK) and how it is applied, including expert guidance on incorporating concepts into practice. Level II focuses on complex analysis with an emphasis on asset valuation, and is designed to help you use investment concepts appropriately in situations analysts commonly face. Coverage includes ethical and professional standards, quantitative analysis, economics, financial reporting and analysis, corporate finance, equities, fixed income, derivatives, alternative investments, and portfolio management organized into individual study sessions with clearly defined Learning Outcome Statements. Charts, graphs, figures, diagrams, and financial statements illustrate complex concepts to facilitate retention, and practice questions with answers allow you to gauge your understanding while reinforcing important concepts. While Level I introduced you to basic foundational investment skills, Level II requires more complex techniques and a strong grasp of valuation methods. This set dives deep into practical application, explaining complex topics to help you understand and retain critical concepts and processes. Incorporate analysis skills into case evaluations Master complex calculations and quantitative techniques Understand the international standards used for valuation and analysis Gauge your skills and understanding against each Learning Outcome Statement CFA Institute promotes the highest standards of ethics, education, and professional excellence among investment professionals. The CFA Program Curriculum guides you through the breadth of knowledge required to uphold these standards. The three levels of the program build on each other. Level I provides foundational knowledge and teaches the use of investment tools; Level II focuses on application of concepts and analysis, particularly in the valuation of assets; and Level III builds toward synthesis across topics with an emphasis on portfolio management.

Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
Page : 1137 pages
File Size : 40,7 Mb
Release : 2012-09-26
Category : Business & Economics
ISBN : 9781118539859

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Encyclopedia of Financial Models, Volume I by Frank J. Fabozzi Pdf

Volume 1 of the Encyclopedia of Financial Models The need for serious coverage of financial modeling has never been greater, especially with the size, diversity, and efficiency of modern capital markets. With this in mind, the Encyclopedia of Financial Models has been created to help a broad spectrum of individuals ranging from finance professionals to academics and students understand financial modeling and make use of the various models currently available. Incorporating timely research and in-depth analysis, Volume 1 of the Encyclopedia of Financial Models covers both established and cutting-edge models and discusses their real-world applications. Edited by Frank Fabozzi, this volume includes contributions from global financial experts as well as academics with extensive consulting experience in this field. Organized alphabetically by category, this reliable resource consists of thirty-nine informative entries and provides readers with a balanced understanding of today's dynamic world of financial modeling. Volume 1 addresses Asset Pricing Models, Bayesian Analysis and Financial Modeling Applications, Bond Valuation Modeling, Credit Risk Modeling, and Derivatives Valuation Emphasizes both technical and implementation issues, providing researchers, educators, students, and practitioners with the necessary background to deal with issues related to financial modeling The 3-Volume Set contains coverage of the fundamentals and advances in financial modeling and provides the mathematical and statistical techniques needed to develop and test financial models Financial models have become increasingly commonplace, as well as complex. They are essential in a wide range of financial endeavors, and the Encyclopedia of Financial Models will help put them in perspective.

Author : Lars Jäger
Publisher : BoD – Books on Demand
Page : 314 pages
File Size : 40,7 Mb
Release : 2023-06-26
Category : Electronic
ISBN : 9783757810306

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Handbook of Risk Adjusted Single Payment Present Worth (RASPPW) Factors by Lars Jäger Pdf

Author : Anonim
Publisher : Lulu.com
Page : 294 pages
File Size : 50,5 Mb
Release : 2004
Category : Bank capital
ISBN : 9789291316694

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International Convergence of Capital Measurement and Capital Standards by Anonim Pdf

Author : Robert F. Bruner
Publisher : John Wiley & Sons
Page : 1056 pages
File Size : 41,8 Mb
Release : 2016-02-08
Category : Business & Economics
ISBN : 9781118436394

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Applied Mergers and Acquisitions by Robert F. Bruner Pdf

A comprehensive guide to the world of mergers and acquisitions Why do so many M&A transactions fail? And what drives the success of those deals that are consummated? Robert Bruner explains that M&A can be understood as a response by managers to forces of turbulence in their environment. Despite the material failure rates of mergers and acquisitions, those pulling the trigger on key strategic decisions can make them work if they spend great care and rigor in the development of their M&A deals. By addressing the key factors of M&A success and failure, Applied Mergers and Acquisitions can help readers do this. Written by one of the foremost thinkers and educators in the field, this invaluable resource teaches readers the art and science of M&A valuation, deal negotiation, and bargaining, and provides a framework for considering tradeoffs in an effort to optimize the value of any M&A deal.

Author : Leszek Rutkowski,Marcin Korytkowski,Rafał Scherer,Ryszard Tadeusiewicz,Lotfi A. Zadeh,Jacek M. Zurada
Publisher : Springer
Page : 758 pages
File Size : 55,5 Mb
Release : 2017-06-01
Category : Computers
ISBN : 9783319590608

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Artificial Intelligence and Soft Computing by Leszek Rutkowski,Marcin Korytkowski,Rafał Scherer,Ryszard Tadeusiewicz,Lotfi A. Zadeh,Jacek M. Zurada Pdf

The two-volume set LNAI 10245 and LNAI 10246 constitutes the refereed proceedings of the 16th International Conference on Artificial Intelligence and Soft Computing, ICAISC 2017, held in Zakopane, Poland in June 2017. The 133 revised full papers presented were carefully reviewed and selected from 274 submissions. The papers included in the second volume are organized in the following five parts: data mining; artificial intelligence in modeling, simulation and control; various problems of artificial intelligence; special session: advances in single-objective continuous parameter optimization with nature-inspired algorithms; special session: stream data mining.

Author : Christian Bluhm,Ludger Overbeck,Christoph Wagner
Publisher : CRC Press
Page : 302 pages
File Size : 53,7 Mb
Release : 2002-09-27
Category : Mathematics
ISBN : 1420057367

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An Introduction to Credit Risk Modeling by Christian Bluhm,Ludger Overbeck,Christoph Wagner Pdf

In today's increasingly competitive financial world, successful risk management, portfolio management, and financial structuring demand more than up-to-date financial know-how. They also call for quantitative expertise, including the ability to effectively apply mathematical modeling tools and techniques. An Introduction to Credit Risk Modeling supplies both the bricks and the mortar of risk management. In a gentle and concise lecture-note style, it introduces the fundamentals of credit risk management, provides a broad treatment of the related modeling theory and methods, and explores their application to credit portfolio securitization, credit risk in a trading portfolio, and credit derivatives risk. The presentation is thorough but refreshingly accessible, foregoing unnecessary technical details yet remaining mathematically precise. Whether you are a risk manager looking for a more quantitative approach to credit risk or you are planning a move from the academic arena to a career in professional credit risk management, An Introduction to Credit Risk Modeling is the book you've been looking for. It will bring you quickly up to speed with information needed to resolve the questions and quandaries encountered in practice.

Author : Anthony Saunders,Linda Allen
Publisher : John Wiley & Sons
Page : 337 pages
File Size : 55,5 Mb
Release : 2002-10-06
Category : Business & Economics
ISBN : 9780471274766

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Credit Risk Measurement by Anthony Saunders,Linda Allen Pdf

The most cutting-edge read on the pricing, modeling, and management of credit risk available The rise of credit risk measurement and the credit derivatives market started in the early 1990s and has grown ever since. For many professionals, understanding credit risk measurement as a discipline is now more important than ever. Credit Risk Measurement, Second Edition has been fully revised to reflect the latest thinking on credit risk measurement and to provide credit risk professionals with a solid understanding of the alternative approaches to credit risk measurement. This readable guide discusses the latest pricing, modeling, and management techniques available for dealing with credit risk. New chapters highlight the latest generation of credit risk measurement models, including a popular class known as intensity-based models. Credit Risk Measurement, Second Edition also analyzes significant changes in banking regulations that are impacting credit risk measurement at financial institutions. With fresh insights and updated information on the world of credit risk measurement, this book is a must-read reference for all credit risk professionals. Anthony Saunders (New York, NY) is the John M. Schiff Professor of Finance and Chair of the Department of Finance at the Stern School of Business at New York University. He holds positions on the Board of Academic Consultants of the Federal Reserve Board of Governors as well as the Council of Research Advisors for the Federal National Mortgage Association. He is the editor of the Journal of Banking and Finance and the Journal of Financial Markets, Instruments and Institutions. Linda Allen (New York, NY) is Professor of Finance at Baruch College and Adjunct Professor of Finance at the Stern School of Business at New York University. She also is author of Capital Markets and Institutions: A Global View (Wiley: 0471130494). Over the years, financial professionals around the world have looked to the Wiley Finance series and its wide array of bestselling books for the knowledge, insights, and techniques that are essential to success in financial markets. As the pace of change in financial markets and instruments quickens, Wiley Finance continues to respond. With critically acclaimed books by leading thinkers on value investing, risk management, asset allocation, and many other critical subjects, the Wiley Finance series provides the financial community with information they want. Written to provide professionals and individuals with the most current thinking from the best minds in the industry, it is no wonder that the Wiley Finance series is the first and last stop for financial professionals looking to increase their financial expertise.

Author : Cheng F. Lee
Publisher : Center for PBBEFR & Airiti Press
Page : 128 pages
File Size : 40,5 Mb
Release : 2015-01-01
Category : Business & Economics
ISBN : 9789864370399

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Advances in Quantitative Analysis of Finance and Accounting (New Series) Vol．13 by Cheng F. Lee Pdf

Advances in Quantitative Analysis of Finance and Accounting (New Series) is an annual publication designed to disseminate developments in the quantitative analysis of finance and accounting. The publication is a forum for statistical and quantitative analyses of issues in finance and accounting as well as applications of quantitative methods to problems in financial management, financial accounting, and business management. The objective is to promote interaction between academic research in finance and accounting and applied research in the financial community and the accounting profession.

Author : Hongmu Lee
Publisher : Springer Nature
Page : 261 pages
File Size : 44,9 Mb
Release : 2021-11-25
Category : Business & Economics
ISBN : 9789811634680

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Risk Management by Hongmu Lee Pdf

This book outlines risk management theory systematically and comprehensively while distinguishing it from academic fields such as insurance theory. In addition, the book builds a risk financing theory that is independent of insurance theory. Until now, risk management (RM) theory has been discussed while the framework of the theory has remained unclear. However, this book, unlike previous books of this type, provides risk management theory after presenting a framework for it. Enterprise risk management (ERM) is seen differently depending on one’s position. For accountants, it is a means for internal control to prevent accounting fraud, whereas for financial institutions, it quantifies the risk that administrators can take to meet supervisory standards. Therefore, most of the ERM outlines are written to suit the intended uses or topics, with no systematic RM overviews. This book discusses a systematic RM theory linked to the framework of it, unlike previous books that were written according to topic. After the Enron scandal in December 2001 and WorldCom accounting fraud in June 2002, several laws were enacted or revised throughout the world, such as the SOX Act(Sarbanes-Oxley Act) in the United States and the Financial Instruments and Exchange Law and Companies Act in Japan. In this process, the COSO(Committee of Sponsoring Organizations of Treadway Commission) published their ERM framework, while the ISO (International Organization for Standardization) published their RM framework. The author believes that the competition between these frameworks was an opportunity to systematize RM theory and greatly develop it as an independent discipline from insurance. On the other hand, the Great East Japan Earthquake that occurred on March 11, 2011, caused enormous losses. Also, because pandemics and cyber risks are increasing, businesses must have a comprehensive and systematic ERM for these risks associated with their business activities