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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: 79.88 MB
Format: PDF, ePub
Category : Business & Economics
Languages : en
Pages : 369
View: 5428

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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.

Foundations Of Global Financial Markets And Institutions

Foundations of Global Financial Markets and Institutions PDF
Author: Frank J. Fabozzi
Publisher: MIT Press
ISBN: 0262039540
Size: 38.65 MB
Format: PDF, Mobi
Category : Business & Economics
Languages : en
Pages : 1088
View: 2463

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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.

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: 43.35 MB
Format: PDF, Kindle
Category : Investments
Languages : en
Pages : 112
View: 2819

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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: 71.24 MB
Format: PDF
Category : Business & Economics
Languages : en
Pages : 560
View: 6658

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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.

Economic Dynamics

Economic Dynamics PDF
Author: Chester W. Hurlington
Publisher: Nova Science Pub Incorporated
ISBN:
Size: 58.56 MB
Format: PDF, ePub
Category : Business & Economics
Languages : en
Pages : 218
View: 1045

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Economic dynamic theory includes dynamic games, dynamic general equilibrium theory, and empirical studies. The following topics are subsumed: business cycles, asset pricing, search models, intergenerational issues, fertility, financial systems. This book presents the latest research from around the globe.

The Handbook Of Commodity Investing

The Handbook of Commodity Investing PDF
Author: Frank J. Fabozzi
Publisher: John Wiley & Sons
ISBN:
Size: 48.58 MB
Format: PDF, ePub, Mobi
Category : Business & Economics
Languages : en
Pages : 986
View: 2739

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Filled with a collection of information from experts in the commodity investment industry, this detailed guide shows readers how to successfully incorporate commodities into their portfolios. The handbook covers a range of issues, including the risk and return of commodities and diversification benefits.

Subprime Mortgage Credit Derivatives

Subprime Mortgage Credit Derivatives PDF
Author: Laurie S. Goodman
Publisher: John Wiley & Sons
ISBN:
Size: 68.90 MB
Format: PDF, Docs
Category : Business & Economics
Languages : en
Pages : 334
View: 3587

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Subprime Mortgage Credit Derivatives Cutting-edge strategies for minimizing the risk of mortgage credit derivative portfolios Mortgage credit derivatives are a risky business, especially of late. Written by an expert author team of UBS practitioners—Laurie Goodman, Shumin Li, Douglas Lucas, and Thomas Zimmerman—along with Frank Fabozzi of Yale University, Subprime Mortgage Credit Derivatives covers state-of-the-art instruments and strategies for managing a portfolio of mortgage credits in today's volatile climate. Divided into four parts, this book addresses a variety of important topics, including mortgage credit (non-agency, first and second lien), mortgage securitizations (alternate structures and subprime triggers), credit default swaps on mortgage securities (ABX, cash synthetic relationships, CDO credit default swaps), and much more. In addition, the authors outline the origins of the subprime crisis, showing how during the 2004–2006 period, as housing became less affordable, origination standards were stretched—and when home price appreciation then turned to home price depreciation, defaults and delinquencies rose across the board. The recent growth in subprime lending, along with a number of other industry factors, has made the demand for timely knowledge and solutions greater than ever before, and this guide contains the information financial professionals need to succeed in this challenging field.

The Handbook Of Fixed Income Securities Eighth Edition

The Handbook of Fixed Income Securities  Eighth Edition PDF
Author: Frank J. Fabozzi
Publisher: McGraw Hill Professional
ISBN: 0071768467
Size: 64.80 MB
Format: PDF, ePub, Docs
Category : Business & Economics
Languages : en
Pages : 1809
View: 1376

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The Definitive Guide to Fixed Income Securities—Revised and Updated for the New Era of Investing For decades, The Handbook of Fixed Income Securities has been the most trusted resource in the world for fixed income investing. Since the publication of the last edition, however, the financial markets have experienced major upheavals, introducing dramatic new opportunities and risks. This completely revised and expanded eighth edition contains 31 new chapters that bring you up to date on the latest products, analytical tools, methodologies, and strategies for identifying and capitalizing on the potential of the fixed income securities market in order to enhance returns. Among the world’s leading authorities on the subject, Frank J. Fabozzi, along with Steven V. Mann, has gathered a powerful global team of leading experts to provide you with the newest and best techniques for taking advantage of this market. New topics include: Electronic trading Macro-economic dynamics and the corporate bond market Leveraged loans Structured and credit-linked notes Exchange-traded funds Covered bonds Collateralized loan obligations Risk analysis from multifactor fixed income models High-yield bond portfolio management Distressed structured credit securities Hedge fund fixed income strategies Credit derivatives valuation and risk Tail risk hedging Principles of performance attribution Invaluable for its theoretical insights, unsurpassed in its hands-on guidance, and unequaled in the expertise and authority of its contributors, this all-new edition of The Handbook of Fixed Income Securities delivers the information and knowledge you need to stay on top of the market and ahead of the curve.

A Probability Metrics Approach To Financial Risk Measures

A Probability Metrics Approach to Financial Risk Measures PDF
Author: Svetlozar T. Rachev
Publisher: John Wiley & Sons
ISBN: 1444392697
Size: 42.90 MB
Format: PDF
Category : Business & Economics
Languages : en
Pages : 392
View: 2973

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A Probability Metrics Approach to Financial Risk Measures relates the field of probability metrics and risk measures to one another and applies them to finance for the first time. Helps to answer the question: which risk measure is best for a given problem? Finds new relations between existing classes of risk measures Describes applications in finance and extends them where possible Presents the theory of probability metrics in a more accessible form which would be appropriate for non-specialists in the field Applications include optimal portfolio choice, risk theory, and numerical methods in finance Topics requiring more mathematical rigor and detail are included in technical appendices to chapters