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Encyclopedia of financial models. Volume III /
| Clasificación: | Libro Electrónico |
|---|---|
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Hoboken, N.J. :
Wiley,
2013.
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| Temas: | |
| Acceso en línea: | Texto completo (Requiere registro previo con correo institucional) |
Tabla de Contenidos:
- 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.
- 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.
- 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.
- 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.