Author: R. CesariPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Risk and Equilibrium Prices of Contingent Claims with Application to Italian Securities
Author: R. CesariRisks and Equilibrium Prices of Contingent Claims with Application to Italian Securities
Author: Riccardo CesariPublisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 506
Book Description
Systemic Contingent Claims Analysis
Author: Mr.Andreas A. JobstPublisher: International Monetary Fund
ISBN: 1475557531
Category : Business & Economics
Languages : en
Pages : 93
Book Description
The recent global financial crisis has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Current macroprudential policy and surveillance (MPS) efforts are aimed establishing a regulatory framework that helps mitigate the risk from systemic linkages with a view towards enhancing the resilience of the financial sector. This paper presents a forward-looking framework ("Systemic CCA") to measure systemic solvency risk based on market-implied expected losses of financial institutions with practical applications for the financial sector risk management and the system-wide capital assessment in top-down stress testing. The suggested approach uses advanced contingent claims analysis (CCA) to generate aggregate estimates of the joint default risk of multiple institutions as a conditional tail expectation using multivariate extreme value theory (EVT). In addition, the framework also helps quantify the individual contributions to systemic risk and contingent liabilities of the financial sector during times of stress.
British Reports, Translations and Theses
Author: British Library. Document Supply CentrePublisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 456
Book Description
Financial Risk in Insurance
Author: G. OttavianiPublisher: Springer Science & Business Media
ISBN: 3642578462
Category : Mathematics
Languages : en
Pages : 123
Book Description
Published with the contribution of the Italian insurance company, INA, this volume contains the invited contributions presented at the 3rd International AFIR Colloquium. In the spirit of actuarial tradition, the colloquium paid attention to the link between the theoretical approach and the operative problems of financial markets and institutions, and insurance companies in particular. The book is thus an important reference work for students and researchers of actuarial sciences and finance, and is also recommended to practitioners with theoretical interests.
Operations Research Models in Quantitative Finance
Author: Rita L. D'EcclesiaPublisher: Springer Science & Business Media
ISBN: 3642469574
Category : Business & Economics
Languages : en
Pages : 271
Book Description
The articles included in the volume cover a range of diverse topics linked by a common theme: the use of formal modelling techniques to promote better understanding of financial markets and improve management of financial operations. Apart from a theoretical discussion, most of the papers model validation or verification using market data. This collection of articles sets the framework for other studies that could link theory and practice.
The Changing Face of European Banks and Securities Market
Author: Jack RevellPublisher: Springer
ISBN: 134923141X
Category : Business & Economics
Languages : en
Pages : 320
Book Description
Many of the problems that have been brewing in the West European banking industry have come to the boil in the years since 1990. The essays collected in this volume focus in particular on competition, organisation and strategy, regulation and crises, and securities markets and financial centres.
On the Estimation of Stochastic Differential Equations
Author: Riccardo CesariPublisher:
ISBN:
Category : Diffusion processes
Languages : en
Pages : 48
Book Description
Financial Mathematics
Author: Bruno BiaisPublisher: Springer
ISBN: 3540683569
Category : Mathematics
Languages : en
Pages : 322
Book Description
Financial Mathematics is an exciting, emerging field of application. The five sets of course notes in this book provide a bird's eye view of the current "state of the art" and directions of research. For graduate students it will therefore serve as an introduction to the field while reseachers will find it a compact source of reference. The reader is expected to have a good knowledge of the basic mathematical tools corresponding to an introductory graduate level and sufficient familiarity with probabilistic methods, in particular stochastic analysis.
Stochastic Processes and Applications to Mathematical Finance
Author: Jiro AkahoriPublisher: World Scientific
ISBN: 9812387781
Category : Mathematics
Languages : en
Pages : 410
Book Description
This book contains articles on stochastic processes (stochastic calculus and Malliavin calculus, functionals of Brownian motions and Levy processes, stochastic control and optimization problems, stochastic numerics, and so on) and their applications to problems in mathematical finance. Examples of topics are applications of Malliavin calculus and numerical analysis to a new simulation scheme for calculating the price of financial derivatives, applications of the asymptotic expansion method in Malliavin calculus to financial problems, semimartingale decompositions under an enlargement of filtrations in connection with insider problems, and the problem of transaction costs in connection with stochastic control and optimization problems.