영문목차
Foreword=xix
Editors=xxi
Contributors=xxiii
Chapter 1. The Effectiveness of Option Pricing Models During Financial Crises / Camillo Lento ; Nikola Gradojevic=1
1.1. Introduction=1
1.2. Methodology=4
1.3. Data=6
1.4. Results=7
1.5. Concluding Remarks=10
Chapter 2. Taking Collateral into Account / Messaoud Chibane ; Yi-Chen Huang ; Jayaprakash Selvaraj=13
2.1. Introduction=13
2.2. Notations and Problem=14
2.3. Black-Scholes Partial Differential Equation in the Presence of Collateral=15
2.4. Collateral Discount Curve Bootstrapping=16
2.5. Pricing and Bootstrapping of the IR Vanilla Swap Term Structure=18
2.6. European Swaption Pricing Framework=20
2.7. Collateral Effect and Term-Structure Models=22
2.8. Conclusion=24
Chapter 3. Scenario Analysis in Charge of Model Selection / Péter Dobránszky=27
3.1. Introduction to Model Risk=27
3.2. Classical Calibration Procedure=30
3.3. Processes, Dynamics and Model Definition=32
3.4. Importance of Risk Premia=33
3.5. Equity Volatility Modeling=35
3.6. Foreign Exchange Volatility Modeling=38
3.7. Conclusions=41
Note=42
Chapter 4. An 'Economical' Pricing Model for Hybrid Products / Rosa Cocozza ; Antonio De Simone=43
4.1. Introduction=43
4.2. Pricing Convertible Bonds=45
4.3. Two-Factor Numerical Procedure=50
4.4. Default Risk=54
4.5. Pricing Convertible Bonds Subject to Interest Rate Risk and Default Risk=55
4.6. Conclusion=57
Note=58
Chapter 5. Credit Valuation Adjustments―Mathematical Foundations, Practical Implementation and Wrong Way Risks / Marcus R. W. Martin ; Stefan Reitz=61
5.1. Introduction=61
5.2. Mathematical Foundations of CVA=62
5.3. Practical Implementation : Issues and (Wrong Way) Risks=66
5.4. Model Risks in CVA Calculation=73
5.5. Summary and Prospects=74
Notes=74
Chapter 6. Counterparty Credit Risk and Credit Valuation Adjustments(CVAs) for Interest Rate Derivatives―Current Challenges for CVA Desks / Birgitta Drwenski ; Jochen Beißer ; Lutz Mangels=77
6.1. Introduction=78
6.2. Traditional Counterparty Risk Management Approaches=79
6.3. Modeling Credit Exposure and Pricing CCR=80
6.4. New Challenges and Reactions=88
6.5. Practical Problems=95
6.6. Conclusions and Lessons Learned=97
Chapter 7. Designing a Counterparty Risk Management Infrastructure for Derivatives / Matthieu Maurice=99
7.1. Need for an Integrated Counterparty Risk Management=100
7.2. Building Blocks for an Adequate Infrastructure=104
7.3. General Computing Approach=107
7.4. Trade Assessment=115
Notes=117
Chapter 8. A Jump―Diffusion Nominal Short Rate Model / Sami Attaoui ; Pierre Six=119
8.1. Introduction=119
8.2. The Economy=120
8.3. Equilibrium Interest Rates and Monetary Policy=125
8.4. A Nominal Interest Rate Model=129
8.5. Conclusion=133
Appendix : Proof of Proposition 2=133
Acknowledgments=134
Chapter 9. The Widening of the Basis : New Market Formulas for Swaps, Caps and Swaptions / Fabio Mercurio=137
9.1. Introduction=137
9.2. Assumptions on the Discount Curve=138
9.3. Fra Rates : Definition and Pricing=139
9.4. IRS Valuation=140
9.5. Pricing of Caplets and Swaptions=141
9.6. Conclusions=144
Chapter 10. The Financial Crisis and the Credit Derivatives Pricing Models / Jean-Claude Gabillon ; Laurent Germain ; Nicolas Nalpas=147
10.1. Introduction=147
10.2. Brief Description of Credit Derivatives=149
10.3. CDO Pricing Models and the Financial Crisis=154
10.4. Conclusion : Risk Premia and Asset Pricing Models=173
Chapter 11. Industry Valuation-Driven Earnings Management / Tao Jiao ; Gerard Mertens ; Peter Roosenboom=177
11.1. Introduction=177
11.2. Literature Review and Hypotheses Development=178
11.3. Data and Variables=181
11.4. Empirical Tests and Results=185
11.5. Conclusion=188
Chapter 12. Valuation of Young Growth Firms and Firms in Emerging Economies / Wolfgang Breuer ; Klaus Mark=191
12.1. Introduction=191
12.2. The Basic Problem=194
12.3. Data and Numerical Procedure=196
12.4. Results=199
12.5. Conclusion=206
Chapter 13. Towards a Replicating Market Model for the US Oil and Gas Sector / John Simpson ; Goknur Buyukkara=207
13.1. Introduction=207
13.2. Model=209
13.3. Data=211
13.4. Preliminary Analysis and Results=212
13.5. Main Results=216
13.6. Conclusion=218
Chapter 14. Measuring Systemic Risk from Country Fundamentals : A Data Mining Approach / Roberto Savona ; Marika Vezzoli=223
14.1. Introduction=223
14.2. Financial Crises and Leading Indicators=225
14.3. Financial Crises and Risk Signals=227
14.4. Analysis and Results=232
14.5. Conclusions=238
Chapter 15. Computing Reliable Default Probabilities in Turbulent Times / Dean Fantazzini ; Mario Maggi=241
15.1. Introduction=241
15.2. Brief Review of the KMV-Merton Model=243
15.3. Brief Review of the ZPP Model=245
15.4. Empirical Analysis=247
15.5. Conclusion=252
Chapter 16. Discount Rates, Default Risk and Asset Pricing in a Regime Change Model / Pu Chen ; Willi Semmler=257
16.1. Introduction=257
16.2. Proxy for Discount Rates from a Regime Change Model=260
16.3. Leveraging, Risk Premia and Asset Prices using Brownian Motions=264
16.4. Discount Rates, Risk Premia and Asset Prices in a Dynamic Model=269
16.5. Results of the Numerical Study=274
16.6. Conclusions=280
Chapter 17. A Review of Market Risk Measures and Computation Techniques / Kasirga Yildirak ; Cumhur Ekinci=283
17.1. Introduction=283
17.2. Market Risk, Portfolio Value and Returns=284
17.3. Market Risk Factors and Portfolio Value=286
17.4. Major Market Risk Measures and Their Computation Methods=287
17.5. Backtesting of Market Risk Computation Methods=298
17.6. Conclusion=299
Appendix : Stochastic Processes Used in Finance=299
Chapter 18. High-Frequency Performance of Value at Risk and Expected Shortfall : Evidence from ISE30 Index Futures / Cumhur Ekinci ; Kasirga Yildirak ; Ali Sabri Taylan=303
18.1. Introduction=303
18.2. Literature=304
18.3. Market and Data=306
18.4. Methodology=306
18.5. Empirical Results=307
18.6. Conclusion=311
Notes=314
Chapter 19. A Copula Approach to Dependence Structure in Petroleum Markets / Riadh Aloui ; Mohamed Safouane Ben Aïssa ; Due Khuong Nguyen=317
19.1. Introduction=317
19.2. Empirical Methodology=318
19.3. Data and Results=321
19.4. Conclusion=328
Chapter 20. Mistakes in the Market Approach to Correlation : A Lesson For Future Stress-Testing / Massimo Morini=331
20.1. Introduction=331
20.2. From Flat Correlation towards a Realistic Approach=333
20.3. Payoff Stress and the Liquidity Mistake=338
20.4. Testing with Historical Scenarios and the Concentration Mistake=345
20.5. Lessons for Future Stress-Testing=355
Notes=357
Chapter 21. On Correlations between a Contract and Portfolio and Internal Capital Allocation(Alliocation) / Sergei Esipov=359
21.1. Introduction=359
21.2. Adding a Deal to a Company Portfolio=361
21.3. Example : Correlated Power-Law Distributions=363
21.4. Formula for the Quantile Shift=364
21.5. Quantile Shift Under Secondary Uncertainty=367
21.6. Capital Allocation by Average Shortfall=368
21.7. Evolution of Quantiles in Portfolio Aggregation=369
21.8. Static and Dynamic Capital Allocation=370
21.9. Conclusion=372
Chapter 22. A Maximum Entropy Approach to the Measurement of Event Risk / Marco Bee=375
22.1. Introduction=375
22.2. Theory and Methods=376
22.3. Empirical Analysis=379
22.4. Conclusions=384
Chapter 23. Quantifying the Unquantifiable : Risks Not in Value at Risk / Carsten S. Wehn=387
23.1. Introduction and Motivation=387
23.2. Regulatory Developments and Requirements=389
23.3. Examples of Different Products and Risk Factors=391
23.4. Approaches to Quantifying Risks not in VaR=394
23.5. Treatment within the Internal Capital Adequacy Process=396
23.6. Conclusion and Outlook=397
Notes=397
Chapter 24. Active Portfolio Construction When Risk and Alpha Factors are Misaligned / Ralph Karels ; Michael Sun=399
24.1. Introduction=399
24.2. Framework for Active Portfolio Construction=400
24.3. Misalignment of Risk and Alpha Models=402
24.4. Portfolio Optimization with Alpha Decomposition=404
24.5. Mitigation for Alpha and Risk Factor Misalignment=405
24.6. Case Studies=408
24.7. Conclusion=409
Chapter 25. Market Volatility, Optimal Portfolios and Naive Asset Allocations / Massimiliano Caporin ; Loriana Pelizzon=411
25.1. Introduction=411
25.2. Mean and Variance Forecasts=413
25.3. Investment Sets=416
25.4. Performance Evaluation=417
25.5. Results from the Full Sample-Analysis=418
25.6. Rolling Performance Evaluation and Market Volatility=421
25.7. Conclusions=426
Chapter 26. Hedging Strategies with Variable Purchase Options / Manuel Moreno ; Javier F. Navas=429
26.1. Introduction=429
26.2. Description of the Product=431
26.3. Pricing and Hedging Bounded VPOs=433
26.4. Conclusions=441
Acknowledgments=442
Chapter 27. Asset Selection Using a Factor Model and Data Envelopment Analysis―A Quantile Regression Approach / David E. Allen ; Abhay Kumar Singh ; Robert J. Powell=443
27.1. Introduction=443
27.3. Data and Methodology=450
27.4. Discussion of Results=452
27.5. Conclusion=453
Chapter 28. Tail Risk Reduction Strategies / Lerby M. Ergun ; Philip A. Stork=457
28.1. Introduction=457
28.2. Data and Methodology=459
28.3. Empirical Results=460
28.4. Conclusion=469
Chapter 29. Identification and Valuation Implications of Financial Market Spirals / Pankaj K. Jain ; Ajay K. Mishra ; Thomas H. McInish=471
29.1. Introduction=471
29.2. Literature Review=472
29.3. Data and Descriptive Statistics=474
29.4. Results=479
29.5. Conclusion=482
Chapter 30. A Rating-Based Approach to Pricing Sovereign Credit Risk / Marco Rossi ; Gabriele Zinna=485
30.1. Introduction=485
30.2. Literature Review and Methodology=487
30.3. Dataset=489
30.4. Transition Matrices Estimation=489
30.5. Asset Pricing=492
30.6. Conclusions=498
Notes=499
Chapter 31. Optimal Portfolio Choice, Derivatives and Event Risk / Matthias Muck ; Stefan Weisheit=501
31.1. Introduction=501
31.2. Model=503
31.3. Parameter Estimation=507
31.4. Optimal Portfolios=509
31.5. Conclusion=516
Chapter 32. Valuation and Pricing Concepts in Accounting and Banking Regulation / Christopher Kullmann=519
32.1. Introduction=519
32.2. Accounting=520
32.3. Banking Regulation=526
32.4. Critical Assessment=528
32.5. Conclusion=529
Chapter 33. Regulation, Regulatory Uncertainty and the Stock Market : The Case of Short Sale Bans / Abraham Lioui ; Michelle Sisto=531
33.1. Introduction=531
33.2. Classical Models : Theoretical Models of Constraining Short Sales=533
33.3. Empirical Evidence Prior to the 2008 Financial Crisis=535
33.4. Empirical Evidence from and Since the Financial Crisis of 2008=539
33.5. Future Challenges=542
Chapter 34. Quantitative Easing, Financial Risk and Portfolio Diversification / Modena Matteo ; Lossani Marco ; Borello Giuliana=545
34.1. Introduction=545
34.2. Financial Markets and Macro-Finance Indicators Before and After 2006=549
34.3. Risk Aversion, Risk Premia and the Discounting Process=558
34.4. Concluding Remarks=566
Chapter 35. Revisiting Interest Rate Pricing Models from an Indian Perspective : Lessons and Challenges / Rituparna Das ; Michael C.S. Wong=571
35.1. Introduction=571
35.2. Success and Lessons=572
35.3. Challenges=574
35.4. Conclusion=582
Chapter 36. Investment Opportunities in Australia's Healthcare Stock Markets After the Recent Global Financial Crisis / Jonathan Penm ; Betty Chaar ; Rebekah Moles=585
36.1. Introduction=585
36.2. Patterned Vecm Modeling and Causality Measurement=589
36.3. Data and Empirical Vecm Findings=593
36.4. Conclusion=597
Chapter 37. Predicting ASX Health Care Stock Index Movements After the Recent Financial Crisis Using Patterned Neural Networks / Jonathan Penm ; Betty Chaar ; Rebekah Moles ; Jack Penm=599
37.1. Introduction=599
37.2. Construction of a Polynomial Neural Networks Using a Patterned VAR=602
37.3. Data and Empirical Sparse-Patterned VAR Findings=605
37.4. Conclusion=609
Index=611