Encyclopedia of Financial Models, Volume III.
Frank J. Fabozzi
Bok Engelsk 2013 · Electronic books.
| Omfang | 1 online resource (733 pages)
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| Opplysninger | Intro -- ENCYCLOPEDIA OF FINANCIAL MODELS -- About the Editor -- Contents -- Contributors -- Preface -- Guide to the Encyclopedia of Financial Models -- Mortgage-Backed Securities Analysis and Valuation -- Valuing Mortgage-Backed and Asset-Backed Securities -- CASH-FLOW YIELD ANALYSIS -- ZERO-VOLATILITY SPREAD -- VALUATION USING MONTE CARLO SIMULATION AND OAS ANALYSIS -- Simulating Interest Rate Paths and Cash Flows -- Calculating the Present Value of a Bond Class for a Scenario Interest Rate Path -- Option-Adjusted Spread -- Option Cost -- Simulated Average Life -- MEASURING INTEREST RISK -- Duration -- Convexity -- KEY POINTS -- NOTES -- REFERENCES -- The Active-Passive Decomposition Model for MBS -- PATH-DEPENDENCE AND PRICING PARTIAL DIFFERENTIAL EQUATION -- EXTENDED ACTIVE-PASSIVE DECOMPOSITION MODEL -- The Details -- How the Model Works Forward -- How the Model Works in Backward Induction -- Initializing the Burnout Factor -- EXTENSIONS AND NUANCES -- Computing Interest Rate Sensitivities Directly Off a Pricing Tree -- More Components, More Prepay Sources -- Residual Sources of Path-Dependence -- Modeling Prepayments Universally: Refinancing Speed as a Function of Price -- KEY POINTS -- NOTES -- REFERENCES -- Analysis of Nonagency Mortgage-Backed Securities -- FACTORS IMPACTING RETURNS FROM NONAGENCY MBS -- The Amount and Timing of Principal Return -- Deal-Specific Factors -- UNDERSTANDING THE EVOLUTION OF CREDIT PERFORMANCE WITHIN A TRANSACTION -- THE PROCESS OF ESTIMATING PRIVATE-LABEL MBS RETURNS -- Differentiating between Collateral and Tranche Losses -- The Interaction of Credit Inputs -- Evaluating Available Credit Support -- Yield and Loss Matrix Analysis -- Model-Generated Analysis -- Interpreting the Outputs -- KEY POINTS -- NOTES -- REFERENCES -- Measurement of Prepayments for Residential Mortgage-Backed Securities.. - GENERALIZED EXTREME VALUE DISTRIBUTION -- GENERALIZED PARETO DISTRIBUTION -- NORMAL INVERSE GAUSSIAN DISTRIBUTION -- Normal Distribution versus Normal Inverse Gaussian Distribution -- α-STABLE DISTRIBUTION -- KEY POINTS -- REFERENCES -- Stable and Tempered Stable Distributions -- α-STABLE DISTRIBUTION -- Definition of an α-Stable Random Variable -- Useful Properties of an α-Stable Random Variable -- Smoothly Truncated Stable Distribution -- TEMPERED STABLE DISTRIBUTIONS -- Classical Tempered Stable Distribution -- Generalized Classical Tempered Stable Distribution -- Modified Tempered Stable Distribution -- Normal Tempered Stable Distribution -- Kim-Rachev Tempered Stable Distribution -- Rapidly Decreasing Tempered Stable Distribution -- INFINITELY DIVISIBLE DISTRIBUTIONS -- Exponential Moments -- HYPERGEOMETRIC FUNCTION AND CONFLUENT HYPERGEOMETRIC FUNCTION -- The Hypergeometric Function -- The Confluent Hypergeometric Function -- KEY POINTS -- NOTES -- REFERENCES -- Fat Tails, Scaling, and Stable Laws -- SCALING, STABLE LAWS, AND FAT TAILS -- Fat Tails -- The Class L of Fat-Tailed Distributions -- The Law of Large Numbers and the Central Limit Theorem -- Stable Distributions -- EXTREME VALUE THEORY FOR IID PROCESSES -- Maxima -- Max-Stable Distributions -- Generalized Extreme Value Distributions -- Order Statistics -- Point Process of Exceedances or Peaks over Threshold -- Estimation -- ELIMINATING THE ASSUMPTION OF IID SEQUENCES -- Heavy-Tailed ARMA Processes -- ARCH/GARCH Processes -- Subordinated Processes -- Markov Switching Models -- Estimation -- Scaling and Self-Similarity -- KEY POINTS -- NOTES -- REFERENCES -- Copulas -- DRAWBACKS OF CORRELATION -- OVERCOMING THE DRAWBACKS OF CORRELATION: COPULAS -- MATHEMATICAL DEFINITION OF COPULAS -- KEY POINTS -- NOTES -- REFERENCES -- Applications of Order Statistics to Risk Management Problems.. - PARAMETRIC APPROACH: CONTINUOUS LOSS DISTRIBUTIONS -- Exponential Distribution -- Lognormal Distribution -- Weibull Distribution -- Gamma Distribution -- Beta Distribution -- Pareto Distribution -- Burr Distribution -- EXTENSION: MIXTURE LOSS DISTRIBUTIONS -- A NOTE ON THE TAIL BEHAVIOR -- EMPIRICAL EVIDENCE WITH OPERATIONAL LOSS DATA -- Studies with Real Data -- Studies with Simulated Data -- KEY POINTS -- NOTES -- REFERENCES -- Optimization Tools -- Robust Portfolio Optimization -- THE ROBUST OPTIMIZATION APPROACH -- Selecting Uncertainty Sets from Statistical Procedures -- Clarifying a Misconception about Robust Optimization -- THE RELATIONSHIP TO BAYESIAN METHODS AND ECONOMIC THEORY -- USING ROBUST PORTFOLIO OPTIMIZATION IN PRACTICE -- Effect of Robust Portfolio Optimization Formulations on Performance -- PRACTICAL CONSIDERATIONS FOR ROBUST PORTFOLIO ALLOCATION -- FUTURE DIRECTIONS -- KEY POINTS -- REFERENCES -- Introduction to Stochastic Programming and Its Applications to Finance -- WHAT IS STOCHASTIC PROGRAMMING? -- Stochastic Programming in Finance -- STOCHASTIC PROGRAMMING VERSUS OTHER METHODS IN FINANCE -- Static versus Dynamic Models in Financial Planning -- Static versus Dynamic Models in Financial Planning -- Continuous-Time Models versus Stochastic Programming -- A GENERAL MULTISTAGE STOCHASTIC PROGRAMMING MODEL FOR FINANCIAL PLANNING -- Model Formulation -- Modeling Future Uncertainties (Scenario Generation) -- KEY POINTS -- REFERENCES -- Probability Theory -- Concepts of Probability Theory -- HISTORICAL DEVELOPMENT OF ALTERNATIVE APPROACHES TO PROBABILITY -- Probability as Relative Frequencies -- Axiomatic System -- SET OPERATIONS AND PRELIMINARIES -- Set Operations -- Right-Continuous and Non-decreasing Functions -- Outcome, Space, and Events -- The Measurable Space -- PROBABILITY MEASURE -- RANDOM VARIABLE.. - PERFORMANCE OF VaR ESTIMATION.. - PREPAYMENT TERMINOLOGY -- CALCULATING PREPAYMENT SPEEDS -- Conditional Prepayment Rate -- PSA Prepayment Benchmark -- Prospectus Prepayment Curve -- Prepayment Conventions for Securities Backed by Home Equity and Manufactured Housing Loans -- DELINQUENCY, DEFAULT, AND LOSS TERMINOLOGY -- Delinquency Measures -- Default Measures -- Loss Severity Measures -- KEY POINTS -- NOTES -- REFERENCES -- Prepayments and Factors Influencing the Return of Principal for Residential Mortgage-Backed Securities -- PREPAYMENT FUNDAMENTALS -- Turnover -- Refinancing -- FACTORS INFLUENCING PREPAYMENT SPEEDS -- Borrower Inefficiencies -- Product Choices and Transitions -- Changes in Homeowner Equity and Credit -- Time -- DEFAULTS AND "INVOLUNTARY" PREPAYMENTS -- Factors Influencing Default Frequency and Credit Performance -- Voluntary and Involuntary Prepayments -- Interactions Between Prepayments and Defaults -- KEY POINTS -- NOTES -- REFERENCES -- Operational Risk -- Operational Risk -- OPERATIONAL RISK DEFINED -- OPERATIONAL RISK EXPOSURE INDICATORS -- CLASSIFICATION OF OPERATIONAL RISK -- Internal versus External Operational Losses -- Direct versus Indirect Operational Losses -- Expected versus Unexpected Operational Losses -- Operational Risk Type, Event Type, and Loss Type -- Operational Loss Severity and Frequency -- KEY POINTS -- NOTES -- REFERENCES -- Operational Risk Models -- OPERATIONAL RISK MODELS -- Models Based on Top-Down Approaches -- Models Based on Bottom-Up Approaches -- SPECIFICS OF OPERATIONAL LOSS DATA -- Scarcity of Available Historical Data -- Data Arrival Process -- Loss Severity Process -- Dependence Between Business Units -- KEY POINTS -- NOTES -- REFERENCES -- Modeling Operational Loss Distributions -- APPROACHES TO OPERATIONAL RISK MODELING -- NONPARAMETRIC APPROACH: EMPIRICAL DISTRIBUTION FUNCTION.. - Random Variables on a Countable Space -- Random Variables on an Uncountable Space -- KEY POINTS -- NOTES -- REFERENCES -- Discrete Probability Distributions -- DISCRETE LAW -- Random Variable on the Countable Space -- Mean and Variance -- BERNOULLI DISTRIBUTION -- BINOMIAL DISTRIBUTION -- Application to the Binomial Stock Price Model -- Application to the Binomial Interest Rate Model -- HYPERGEOMETRIC DISTRIBUTION -- Application -- MULTINOMIAL DISTRIBUTION -- Multinomial Stock Price Model -- POISSON DISTRIBUTION -- Application to Credit Risk Modeling for a Bond Portfolio -- DISCRETE UNIFORM DISTRIBUTION -- Application to the Multinomial Stock Price Model -- APPENDIX B BINOMIAL AND MULTINOMIAL COEFFICIENTS -- BINOMIAL COEFFICIENT -- Derivation of the Binomial Coefficient -- MULTINOMIAL COEFFICIENT -- KEY POINTS -- NOTE -- REFERENCE -- Continuous Probability Distributions -- CONTINUOUS PROBABILITY DISTRIBUTION DESCRIBED -- DISTRIBUTION FUNCTION -- DENSITY FUNCTION -- Requirements on the Density Function -- CONTINUOUS RANDOM VARIABLE -- COMPUTING PROBABILITIES FROM THE DENSITY FUNCTION -- LOCATION PARAMETERS -- DISPERSION PARAMETERS -- Moments of Higher Order -- KEY POINTS -- NOTES -- REFERENCES -- Continuous Probability Distributions with Appealing Statistical Properties -- NORMAL DISTRIBUTION -- Properties of the Normal Distribution -- Applications to Stock Returns -- CHI-SQUARE DISTRIBUTION -- Application to Modeling Short-Term Interest Rates -- STUDENT'S t-DISTRIBUTION -- Application to Stock Returns -- F-DISTRIBUTION -- EXPONENTIAL DISTRIBUTION -- Applications in Finance -- RECTANGULAR DISTRIBUTION -- GAMMA DISTRIBUTION -- Erlang Distribution -- BETA DISTRIBUTION -- LOG-NORMAL DISTRIBUTION -- Application to Modeling Asset Returns -- KEY POINTS -- NOTES -- REFERENCE -- Continuous Probability Distributions Dealing with Extreme Events.
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| ISBN | 9781118539835
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