Encyclopedia of financial models, Volume III
An essential reference dedicated to a wide array of financial models, issues in financial modeling, and mathematical and statistical tools for financial modeling The need for serious coverage of financial modeling has never been greater, especially with the size, diversity, and efficiency of modern...
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| Format: | eBook |
| Language: | English |
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Hoboken, N.J.
Wiley
2013
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| Collection: | O'Reilly - Collection details see MPG.ReNa |
Table of Contents:
- DEFAULTS AND "INVOLUNTARY" PREPAYMENTSKEY POINTS; NOTES; Operational Risk; Operational Risk; Operational Risk Defined; OPERATIONAL RISK EXPOSURE INDICATORS; CLASSIFICATION OF OPERATIONAL RISK; KEY POINTS; NOTES; Operational Risk Models; OPERATIONAL RISK MODELS; Specifics of Operational Loss Data; KEY POINTS; NOTES; Modeling Operational Loss€Distributions; APPROACHES TO OPERATIONAL RISK MODELING; NONPARAMETRIC APPROACH: EMPIRICAL DISTRIBUTION FUNCTION; PARAMETRIC APPROACH: CONTINUOUS LOSS DISTRIBUTIONS; EXTENSION: MIXTURE LOSS DISTRIBUTIONS; A NOTE ON THE TAIL BEHAVIOR.
- EMPIRICAL EVIDENCE WITH OPERATIONAL LOSS DATAKEY POINTS; NOTES; Optimization Tools; Introduction to Stochastic Programming and Its Applications to€Finance; WHAT IS STOCHASTIC PROGRAMMING?; STOCHASTIC PROGRAMMING VERSUS OTHER METHODS IN FINANCE; A GENERAL MULTISTAGE STOCHASTIC PROGRAMMING MODEL FOR FINANCIAL PLANNING; KEY POINTS; Robust Portfolio Optimization; THE ROBUST OPTIMIZATION APPROACH; THE RELATIONSHIP TO BAYESIAN METHODS AND ECONOMIC THEORY; USING ROBUST PORTFOLIO OPTIMIZATION IN PRACTICE; PRACTICAL CONSIDERATIONS FOR ROBUST PORTFOLIO ALLOCATION; FUTURE DIRECTIONS; KEY POINTS.
- Includes bibliographical references and index
- Analysis of Nonagency Mortgage-Backed SecuritiesFACTORS IMPACTING RETURNS FROM NONAGENCY MBS; UNDERSTANDING THE EVOLUTION OF CREDIT PERFORMANCE WITHIN A TRANSACTION; THE PROCESS OF ESTIMATING PRIVATE-LABEL MBS RETURNS; KEY POINTS; NOTES; Measurement of Prepayments for Residential Mortgage-Backed Securities; PREPAYMENT TERMINOLOGY; CALCULATING PREPAYMENT SPEEDS; DELINQUENCY, DEFAULT, AND LOSS TERMINOLOGY; KEY POINTS; NOTES; Prepayments and Factors Influencing the Return of Principal for Residential Mortgage-Backed Securities; PREPAYMENT FUNDAMENTALS; FACTORS INFLUENCING PREPAYMENT SPEEDS.
- Title Page; Copyright; About the Editor; Contributors; Preface; TOPIC CATEGORIES; Guide to the Encyclopedia of Financial€Models; Organization; 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; MEASURING INTEREST RISK; KEY POINTS; NOTES; The Active-Passive Decomposition Model for MBS; PATH-DEPENDENCE AND PRICING PARTIAL DIFFERENTIAL EQUATION; EXTENDED ACTIVE-PASSIVE DECOMPOSITION MODEL; EXTENSIONS AND NUANCES; KEY POINTS; NOTES.
- Probability TheoryConcepts of Probability Theory; HISTORICAL DEVELOPMENT OF ALTERNATIVE APPROACHES TO PROBABILITY; SET OPERATIONS AND PRELIMINARIES; PROBABILITY MEASURE; RANDOM VARIABLE; KEY POINTS; NOTES; Discrete Probability Distributions; DISCRETE LAW; BERNOULLI DISTRIBUTION; BINOMIAL DISTRIBUTION; HYPERGEOMETRIC DISTRIBUTION; MULTINOMIAL DISTRIBUTION; POISSON DISTRIBUTION; DISCRETE UNIFORM DISTRIBUTION; APPENDIX B Binomial and Multinomial Coefficients; BINOMIAL COEFFICIENT; MULTINOMIAL COEFFICIENT; KEY POINTS; NOTE; Continuous Probability Distributions