Author: Andreas Kemmerer Publisher: ISBN: Category : Languages : en Pages : 26
Book Description
Previous risk management in the venture capital industry has focused mainly on qualitative risk management, such as team selection and due diligence. As investment volume has increased during the past decade, and as venture capital becomes more important as an asset class for institutional investors, rules of thumb do not apply any more. Furthermore, high-risk management standards, which are common and established for other assets, are demanded for this asset class. In his study, Kemmerer (2005) introduced a risk model for venture capital portfolios by adjusting the CreditRisk+ model to fit the characteristics of venture capital. The input parameter, quot;default rate,quot; is entered as the calculated long-term average of the companies' sector. Based on the initial idea of this approach, the current study's aim is to develop a risk model which considers time-dependent default rates as input parameters which are adjusted yearly. By using time-dependent default rates, instead of long-term average default rates, it is expected that the predictability of the model will increase. This assumption is plausible, because historical regression results, with the default rate as the dependent variable, are highly significant, and demonstrate an outstanding explanation of the coefficient of determination. The empirical results strongly support the assumption that the introduced model measures risks more accurately than the original model. By using time-dependent default rates, instead of long-term average default rates, the predictability of losses increases significantly.
Author: Greg N. Gregoriou Publisher: McGraw Hill Professional ISBN: 0071732705 Category : Business & Economics Languages : en Pages : 26
Book Description
The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive guide features cutting-edge research and findings from some of the industry's most respected academics, practitioners, and consultants.
Author: Greg N. Gregoriou Publisher: McGraw Hill Professional ISBN: 0071615148 Category : Business & Economics Languages : en Pages : 562
Book Description
[flap] For investors, risk is about the odds of losing money, and Value at Risk (VaR) is grounded in that common-sense fact. VAR modeling answers, “What is my worst-case scenario?” and “How much could I lose in a really bad month?” However, there has not been an effective guidebook available to help investors and financial managers make their own VaR calculations--until now. The VaR Implementation Handbook is a hands-on road map for professionals who have a solid background in VaR but need the critical strategies, models, and insights to apply their knowledge in the real world. Heralded as “the new science of risk management,” VaR has emerged as the dominant methodology used by financial institutions and corporate treasuries worldwide for estimating precisely how much money is at risk each day in the financial markets. The VaR Implementation Handbook picks up where other books on the subject leave off and demonstrates how, with proper implementation, VaR can be a valuable tool for assessing risk in a variety of areas-from equity to structured and operational products. This complete guide thoroughly covers the three major areas of VaR implementation--measuring, modeling risk, and managing--in three convenient sections. Savvy professionals will keep this handbook at their fingertips for its: Reliable advice from 40 recognized experts working in universities and financial institutions around the world Effective methods and measures to ensure that implemented VaR models maintain optimal performance Up-to-date coverage on newly exposed areas of volatility, including derivatives Real-world prosperity requires making informed financial decisions. The VaR Implementation Handbook is a step-by-step playbook to getting the most out of VaR modeling so you can successfully manage financial risk.
Author: Sergio M. Focardi Publisher: John Wiley & Sons ISBN: 0471674230 Category : Business & Economics Languages : en Pages : 802
Book Description
the mathematics of financial modeling & investment management The Mathematics of Financial Modeling & Investment Management covers a wide range of technical topics in mathematics and finance-enabling the investment management practitioner, researcher, or student to fully understand the process of financial decision-making and its economic foundations. This comprehensive resource will introduce you to key mathematical techniques-matrix algebra, calculus, ordinary differential equations, probability theory, stochastic calculus, time series analysis, optimization-as well as show you how these techniques are successfully implemented in the world of modern finance. Special emphasis is placed on the new mathematical tools that allow a deeper understanding of financial econometrics and financial economics. Recent advances in financial econometrics, such as tools for estimating and representing the tails of the distributions, the analysis of correlation phenomena, and dimensionality reduction through factor analysis and cointegration are discussed in depth. Using a wealth of real-world examples, Focardi and Fabozzi simultaneously show both the mathematical techniques and the areas in finance where these techniques are applied. They also cover a variety of useful financial applications, such as: * Arbitrage pricing * Interest rate modeling * Derivative pricing * Credit risk modeling * Equity and bond portfolio management * Risk management * And much more Filled with in-depth insight and expert advice, The Mathematics of Financial Modeling & Investment Management clearly ties together financial theory and mathematical techniques.
Author: Elisa Luciano Publisher: MDPI ISBN: 3039216244 Category : Business & Economics Languages : en Pages : 224
Book Description
Financial Risk Measurement is a challenging task, because both the types of risk and the techniques evolve very quickly. This book collects a number of novel contributions to the measurement of financial risk, which address either non-fully explored risks or risk takers, and does so in a wide variety of empirical contexts.
Author: Andreas Kemmerer Publisher: ISBN: Category : Languages : en Pages : 28
Book Description
This study constructs and evaluates a risk model for the venture capital industry in which the CreditRisk+ model is adjusted to calculate loss distributions for venture capital portfolios. A forward entry regression with macroeconomic factors as independent variables is used as the procedure to extract systematic factors for the sector analysis. The coefficient of determination R² divides the risk into one idiosyncratic risk factor and several systematic risk factors. Under the assumption that macroeconomic factors are independent, the improvement of the R² of each forward entry is considered as the weight of the entered factor. Further, under the assumption that all relevant systematic risk factors are incorporated in the model, the systematic risk is entirely explained. The remaining unexplained sample variance is considered the idiosyncratic risk.The introduced risk model is empirically tested using a portfolio of venture capital financed companies. The database contains more than 2,000 European venture capital-backed companies over the period 1998-2004. The results are highly significant and show that the model is applicable to modelling portfolio risks for venture capital portfolios.
Author: Paul Glasserman Publisher: Springer Science & Business Media ISBN: 9780387004518 Category : Business & Economics Languages : en Pages : 624
Book Description
From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not." --Glyn Holton, Contingency Analysis
Author: Stefan Trueck Publisher: Academic Press ISBN: 0080920306 Category : Business & Economics Languages : en Pages : 279
Book Description
In the last decade rating-based models have become very popular in credit risk management. These systems use the rating of a company as the decisive variable to evaluate the default risk of a bond or loan. The popularity is due to the straightforwardness of the approach, and to the upcoming new capital accord (Basel II), which allows banks to base their capital requirements on internal as well as external rating systems. Because of this, sophisticated credit risk models are being developed or demanded by banks to assess the risk of their credit portfolio better by recognizing the different underlying sources of risk. As a consequence, not only default probabilities for certain rating categories but also the probabilities of moving from one rating state to another are important issues in such models for risk management and pricing. It is widely accepted that rating migrations and default probabilities show significant variations through time due to macroeconomics conditions or the business cycle. These changes in migration behavior may have a substantial impact on the value-at-risk (VAR) of a credit portfolio or the prices of credit derivatives such as collateralized debt obligations (D+CDOs). In Rating Based Modeling of Credit Risk the authors develop a much more sophisticated analysis of migration behavior. Their contribution of more sophisticated techniques to measure and forecast changes in migration behavior as well as determining adequate estimators for transition matrices is a major contribution to rating based credit modeling. Internal ratings-based systems are widely used in banks to calculate their value-at-risk (VAR) in order to determine their capital requirements for loan and bond portfolios under Basel II One aspect of these ratings systems is credit migrations, addressed in a systematic and comprehensive way for the first time in this book The book is based on in-depth work by Trueck and Rachev
Author: Lev Dynkin Publisher: Princeton University Press ISBN: 0691210616 Category : Business & Economics Languages : en Pages : 1000
Book Description
The practice of institutional bond portfolio management has changed markedly since the late 1980s in response to new financial instruments, investment methodologies, and improved analytics. Investors are looking for a more disciplined, quantitative approach to asset management. Here, five top authorities from a leading Wall Street firm provide practical solutions and feasible methodologies based on investor inquiries. While taking a quantitative approach, they avoid complex mathematical derivations, making the book accessible to a wide audience, including portfolio managers, plan sponsors, research analysts, risk managers, academics, students, and anyone interested in bond portfolio management. The book covers a range of subjects of concern to fixed-income portfolio managers--investment style, benchmark replication and customization, managing credit and mortgage portfolios, managing central bank reserves, risk optimization, and performance attribution. The first part contains empirical studies of security selection versus asset allocation, index replication with derivatives and bonds, optimal portfolio diversification, and long-horizon performance of assets. The second part covers portfolio management tools for risk budgeting, bottom-up risk modeling, performance attribution, innovative measures of risk sensitivities, and hedging risk exposures. A first-of-its-kind publication from a team of practitioners at the front lines of financial thinking, this book presents a winning combination of mathematical models, intuitive examples, and clear language.
Author: Gunter Meissner Publisher: John Wiley & Sons ISBN: 1118796896 Category : Business & Economics Languages : en Pages : 268
Book Description
A thorough guide to correlation risk and its growing importance in global financial markets Ideal for anyone studying for CFA, PRMIA, CAIA, or other certifications, Correlation Risk Modeling and Management is the first rigorous guide to the topic of correlation risk. A relatively overlooked type of risk until it caused major unexpected losses during the financial crisis of 2007 through 2009, correlation risk has become a major focus of the risk management departments in major financial institutions, particularly since Basel III specifically addressed correlation risk with new regulations. This offers a rigorous explanation of the topic, revealing new and updated approaches to modelling and risk managing correlation risk. Offers comprehensive coverage of a topic of increasing importance in the financial world Includes the Basel III correlation framework Features interactive models in Excel/VBA, an accompanying website with further materials, and problems and questions at the end of each chapter
Author: Andreas Kemmerer
Author: Greg N. Gregoriou
Author: Greg N. Gregoriou
Author: Sergio M. Focardi
Author: Elisa Luciano
Author: Andreas Kemmerer
Author: Paul Glasserman
Author: Stefan Trueck
Author: Lev Dynkin
Author: Gunter Meissner