Search Results for: fat tailed and skewed asset return distributions

Blog
Blog

Fat Tailed And Skewed Asset Return Distributions

Fat Tailed and Skewed Asset Return Distributions PDF
Author: Svetlozar T. Rachev
Publisher: John Wiley & Sons
ISBN: 0471758906
Size: 45.50 MB
Format: PDF, ePub, Mobi
Category : Business & Economics
Languages : en
Pages : 369
View: 3093

Get Book

While mainstream financial theories and applications assume that asset returns are normally distributed, overwhelming empirical evidence shows otherwise. Yet many professionals don’t appreciate the highly statistical models that take this empirical evidence into consideration. Fat-Tailed and Skewed Asset Return Distributions examines this dilemma and offers readers a less technical look at how portfolio selection, risk management, and option pricing modeling should and can be undertaken when the assumption of a non-normal distribution for asset returns is violated. Topics covered in this comprehensive book include an extensive discussion of probability distributions, estimating probability distributions, portfolio selection, alternative risk measures, and much more. Fat-Tailed and Skewed Asset Return Distributions provides a bridge between the highly technical theory of statistical distributional analysis, stochastic processes, and econometrics of financial returns and real-world risk management and investments.

Investment Management A Science To Teach Or An Art To Learn

Investment Management A Science to Teach Or an Art to Learn  PDF
Author: Frank J. Fabozzi
Publisher: CFA Institute Research Foundation
ISBN: 1934667730
Size: 12.35 MB
Format: PDF, Kindle
Category : Investments
Languages : en
Pages : 112
View: 1321

Get Book

Following the 2007–09 financial crisis, mainstream finance theory was criticized for failing to forecast the market crash, which resulted in large losses for investors. Has our finance theory, which many consider an idealization that does not take reality into account, failed investors? Do we need to reconsider the theory and how it is taught (and practiced)? This book explores current critiques of mainstream theory and discusses implications for the curricula of finance programs as well as for practitioners. In so doing, the authors integrate a review of the literature supported by conversations with finance professors, asset managers, and other market players.

Financial Econometrics

Financial Econometrics PDF
Author: Svetlozar T. Rachev
Publisher: John Wiley & Sons
ISBN: 0470121521
Size: 44.12 MB
Format: PDF, ePub, Docs
Category : Business & Economics
Languages : en
Pages : 560
View: 5491

Get Book

A comprehensive guide to financial econometrics Financial econometrics is a quest for models that describe financial time series such as prices, returns, interest rates, and exchange rates. In Financial Econometrics, readers will be introduced to this growing discipline and the concepts and theories associated with it, including background material on probability theory and statistics. The experienced author team uses real-world data where possible and brings in the results of published research provided by investment banking firms and journals. Financial Econometrics clearly explains the techniques presented and provides illustrative examples for the topics discussed. Svetlozar T. Rachev, PhD (Karlsruhe, Germany) is currently Chair-Professor at the University of Karlsruhe. Stefan Mittnik, PhD (Munich, Germany) is Professor of Financial Econometrics at the University of Munich. Frank J. Fabozzi, PhD, CFA, CFP (New Hope, PA) is an adjunct professor of Finance at Yale University’s School of Management. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm The Intertek Group. Teo Jasic, PhD, (Frankfurt, Germany) is a senior manager with a leading international management consultancy firm in Frankfurt.

Foundations Of Global Financial Markets And Institutions Fifth Edition

Foundations of Global Financial Markets and Institutions  fifth edition PDF
Author: Frank J. Fabozzi
Publisher: MIT Press
ISBN: 0262351722
Size: 20.79 MB
Format: PDF, Kindle
Category : Business & Economics
Languages : en
Pages : 1088
View: 6679

Get Book

A thoroughly revised and updated edition of a textbook for graduate students in finance, with new coverage of global financial institutions. This thoroughly revised and updated edition of a widely used textbook for graduate students in finance now provides expanded coverage of global financial institutions, with detailed comparisons of U.S. systems with non-U.S. systems. A focus on the actual practices of financial institutions prepares students for real-world problems. After an introduction to financial markets and market participants, including asset management firms, credit rating agencies, and investment banking firms, the book covers risks and asset pricing, with a new overview of risk; the structure of interest rates and interest rate and credit risks; the fundamentals of primary and secondary markets; government debt markets, with new material on non-U.S. sovereign debt markets; corporate funding markets, with new coverage of small and medium enterprises and entrepreneurial ventures; residential and commercial real estate markets; collective investment vehicles, in a chapter new to this edition; and financial derivatives, including financial futures and options, interest rate derivatives, foreign exchange derivatives, and credit risk transfer vehicles such as credit default swaps. Each chapter begins with learning objectives and ends with bullet point takeaways and questions.

Handbook Of Portfolio Construction

Handbook of Portfolio Construction PDF
Author: John B. Guerard, Jr.
Publisher: Springer Science & Business Media
ISBN: 0387774394
Size: 34.11 MB
Format: PDF, ePub
Category : Business & Economics
Languages : en
Pages : 794
View: 610

Get Book

Portfolio construction is fundamental to the investment management process. In the 1950s, Harry Markowitz demonstrated the benefits of efficient diversification by formulating a mathematical program for generating the "efficient frontier" to summarize optimal trade-offs between expected return and risk. The Markowitz framework continues to be used as a basis for both practical portfolio construction and emerging research in financial economics. Such concepts as the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT), for example, provide the foundation for setting benchmarks, for predicting returns and risk, and for performance measurement. This volume showcases original essays by some of today’s most prominent academics and practitioners in the field on the contemporary application of Markowitz techniques. Covering a wide spectrum of topics, including portfolio selection, data mining tests, and multi-factor risk models, the book presents a comprehensive approach to portfolio construction tools, models, frameworks, and analyses, with both practical and theoretical implications.

Risiko Und Pr Ferenzmessung In Kreditinstituten

Risiko  und Pr  ferenzmessung in Kreditinstituten PDF
Author: Martin Polle
Publisher: Fritz Knapp Verlag
ISBN: 3831409013
Size: 20.17 MB
Format: PDF, ePub, Mobi
Category : Business & Economics
Languages : de
Pages : 224
View: 5886

Get Book

Die langfristige Existenzsicherung und der Schutz der Gläubiger sind zwei wesentliche Ziele für die Geschäftsleitung einer Bank. Für den Vorstand einer Genossenschaftsbank gilt dies aufgrund der in § 1 GenG und in der Satzung verankerten Mission in besonderer Weise. Eine Förderung der Mitglieder setzt den Erhalt der Förderfähigkeit und damit die langfristige Existenzsicherung der Bank zwingend voraus. Eine entscheidende Grundbedingung für die Sicherung der Existenz ist die fortlaufende Gewährleistung der Risikotragfähigkeit (RTF). Die Steuerung der RTF basiert auf einer RTF-Konzeption. Im Rahmen einer solchen Konzeption hat die Geschäftsleitung Entscheidungen über ihre Risikotoleranz, die Verteilung von Risikokapital und die Parametrisierung von Haltedauer und Konfidenzniveau im Rahmen der Risikomessung zu treffen. Eine zusammenhängende Analyse und darauf basierte Entscheidungskonzeptionen sind bislang nicht ausreichend vorhanden. Ziel der vorliegenden Arbeit ist es daher, die erwähnten Entscheidungen aus der Sicht eines rationalen Akteurs zu betrachten und eine entscheidungstheoretisch fundierte RTFKonzeption am Beispiel ausgewählter Risikokategorien von Genossenschaftsbanken zu entwickeln. Diese RTF-Konzeption bietet eine Grundlage für Entscheidungen, welche im Einklang mit den Zielen und der Risikoeinstellung des Entscheidungsträgers sowie den Anforderungen der Bankenaufsicht stehen. Die Idee für diese Arbeit hat sich aus den Beobachtungen und Erfahrungen im Rahmen meiner langjährigen Tätigkeit als Geschäftsleiter einer Kreditgenossenschaft entwickelt. In zahlreichen Diskussionen mit Berufskollegen, Mitarbeitern der Prüfungsverbände und verschiedenen Spezialisten kam immer wieder die Frage auf, ob ein bestimmtes Risikoniveau einer Bank vereinbar mit dem Ziel der langfristigen Existenzsicherung ist. Damit verbunden war die Frage, ob die umgesetzte Allokation der Bank als konservativ oder doch eher als risikofreudig zu bezeichnen ist und ob die gewählte Positionierung der tatsächlichen Risikoeinstellung des Entscheidungsträgers entspricht. Meine Forschungstätigkeit wurde durch vielfältige Anregungen und konstruktiv kritische Diskussionen begleitet. Mein besonderer Dank gilt meinem akademischen Lehrer, Herrn Prof. Dr. Michael Lister. Über viele Jahre hat er meine akademische Entwicklung entscheidend betreut und mir dabei die Kenntnisse vermittelt, die zur Anfertigung einer solchen Arbeit notwendig sind. Zudem hat er in vielen Diskussionen wertvolle Hinweise gegeben und damit den Fortgang der Arbeit stets unterstützt. Für die Übernahme des Korreferats bedanke ich mich bei Herrn Prof. Dr. Bernd Rolfes. Wertvolle Hinweise erhielt ich auch von Freunden und Kollegen. Großer Dank gilt den Herren Dr. Mario Brandtner, Dr. Jürgen Braun und Ronny Sattler, die trotz eigener starker Arbeitsbelastungen als sehr aufmerksame und kritische Gesprächspartner zur Verfügung standen. Für die Unterstützung im Rahmen der Literaturrecherche danke ich meinen Sekretärinnen Frau Werth und Frau Scherf. Bei der Akademie Deutscher Genossenschaftsbanken ADG möchte ich mich für die Aufnahme in das ADG-Studienprogramm GoAhead bedanken. Darüber hinaus danke ich zeb für die Veröffentlichung meiner Arbeit in der Schriftenreihe und Frau Silke Rahe und Frau Eugenia Demmel für das Lektorat. Bedanken möchte ich mich auch bei meinen Eltern. Sie haben meine Entwicklung immer tatkräftig unterstützt. Insbesondere mein Vater hat mich durch sein Vorbild ermuntert, mich an ein solches Forschungsprojekt heranzuwagen. Tiefer Dank gebührt meiner Frau Annett. Mit großer Geduld hat sie meine Forschungsarbeit jederzeit vorbehaltlos unterstützt. Sie hat mir nicht nur die nötigen zeitlichen Freiräume gegeben, sondern war stets auch eine starke mentale Stütze. Templin, im Mai 2019 Martin Polle

Capital Markets

Capital Markets PDF
Author: Frank J. Fabozzi
Publisher: MIT Press
ISBN: 0262029480
Size: 23.98 MB
Format: PDF, ePub, Docs
Category : Business & Economics
Languages : en
Pages : 1049
View: 3762

Get Book

The substantially revised fifth edition of a textbook covering the wide range of instruments available in financial markets, with a new emphasis on risk management. Over the last fifty years, an extensive array of instruments for financing, investing, and controlling risk has become available in financial markets, with demand for these innovations driven by the needs of investors and borrowers. The recent financial crisis offered painful lessons on the consequences of ignoring the risks associated with new financial products and strategies. This substantially revised fifth edition of a widely used text covers financial product innovation with a new emphasis on risk management and regulatory reform. Chapters from the previous edition have been updated, and new chapters cover material that reflects recent developments in financial markets. The book begins with an introduction to financial markets, offering a new chapter that provides an overview of risk—including the key elements of financial risk management and the identification and quantification of risk. The book then covers market participants, including a new chapter on collective investment products managed by asset management firms; the basics of cash and derivatives markets, with new coverage of financial derivatives and securitization; theories of risk and return, with a new chapter on return distributions and risk measures; the structure of interest rates and the pricing of debt obligations; equity markets; debt markets, including chapters on money market instruments, municipal securities, and credit sensitive securitized products; and advanced coverage of derivative markets. Each chapter ends with a review of key points and questions based on the material covered.

Chancen Und Risiken Von Rohstoffinvestments

Chancen und Risiken von Rohstoffinvestments PDF
Author: Timo Klett
Publisher: Springer-Verlag
ISBN: 3834968846
Size: 18.35 MB
Format: PDF, Mobi
Category : Business & Economics
Languages : de
Pages : 306
View: 2606

Get Book

Aufgrund zunehmender Korrelationen zwischen traditionellen Anlageklassen, eines historisch niedrigen Zinsniveaus und hoch volatiler Aktienkurse rückten alternative Investments in den letzten Jahren zunehmend in den Fokus von Investoren. Timo Klett führt eine umfassende Analyse von Rohstoffinvestments durch, indem er die Renditen vergleichend zu traditionellen Anlageklassen im uni- und multivariaten Kontext charakterisiert. Der Autor entwickelt ein Renditemodell, auf dessen Grundlage Risikoanalysen und risikoadjustierte Performanceanalysen durchgeführt werden können. Diese verdeutlichen insbesondere das Diversifikationspotenzial von Rohstoffen. Allerdings sind sowohl die Komplexität als auch die Heterogenität dieser Anlageklasse zu beachten, welche hohe Anforderungen an das Asset Management unerlässlich erscheinen lassen.

Capital Markets Fifth Edition

Capital Markets  Fifth Edition PDF
Author: Frank J. Fabozzi
Publisher: MIT Press
ISBN: 0262331594
Size: 23.54 MB
Format: PDF, Docs
Category : Business & Economics
Languages : en
Pages : 1088
View: 6923

Get Book

The substantially revised fifth edition of a textbook covering the wide range of instruments available in financial markets, with a new emphasis on risk management. Over the last fifty years, an extensive array of instruments for financing, investing, and controlling risk has become available in financial markets, with demand for these innovations driven by the needs of investors and borrowers. The recent financial crisis offered painful lessons on the consequences of ignoring the risks associated with new financial products and strategies. This substantially revised fifth edition of a widely used text covers financial product innovation with a new emphasis on risk management and regulatory reform. Chapters from the previous edition have been updated, and new chapters cover material that reflects recent developments in financial markets. The book begins with an introduction to financial markets, offering a new chapter that provides an overview of risk—including the key elements of financial risk management and the identification and quantification of risk. The book then covers market participants, including a new chapter on collective investment products managed by asset management firms; the basics of cash and derivatives markets, with new coverage of financial derivatives and securitization; theories of risk and return, with a new chapter on return distributions and risk measures; the structure of interest rates and the pricing of debt obligations; equity markets; debt markets, including chapters on money market instruments, municipal securities, and credit sensitive securitized products; and advanced coverage of derivative markets. Each chapter ends with a review of key points and questions based on the material covered.