Holdings: Rethinking valuation and pricing models

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Title:	Rethinking valuation and pricing models lessons learned from the crisis and future challenges
From:	ed. by Carsten Wehn ...
Person:	Wehn, Carsten 1975-
Other Authors:	Wehn, Carsten 1975- (Editor)
Format:	Book
Language:	English
Published:	Amsterdem [u.a.] Elsevier [u.a.] 2013
Notation:	QK 620
Subjects:	Preismodell Finanzkrise Kapitalmarkt Wertpapierkurs
Online Access:	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027507570&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
Physical Description:	XXXIII, 622 S. graf. Darst.
ISBN:	9780124158757

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adam_text	CONTENTS Foreword ............................................................................................................xix Editors................................................................................................................xxi Contributors .....................................................................................................xxiii Chapter 1 The Effectiveness of Option Pricing Models During Financial Crises ....................................................................................1 Gamillo Lento and Nikola Gradojevic 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 .......................................................13 Messaoud Chibane, Yi-Chen Huang and Jayaprakash Selvaraj 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 ......................27 Péter Dobránszky 3.1. Introduction to Model Risk ....................................................27 3.2. Classical Calibration Procedure ............................................30 VÍ CONTENTS 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 .................43 Rosa Cocozza and Antonio De Simone 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 .............................................................................................61 Marcus R. W. Martin and Stefan Reitz 5.1. Introduction ......................................................................... 61 5.2. Mathematical Foundations of CVA ......................................62 5.3. Practical Implementation: Issues and (Wrong Way) HlSKS .............................................. cc 5.4. Model Risks in CVA Calculation ...........................................73 5.5. Summary and Prospects ............................. 74 Notes .................................................. CONTENTS VII Chapter 6 Counterparty Credit Risk and Credit Valuation Adjustments (CVAs) for Interest Rate Derivatives - Current Challenges for CVA Desks ......................................................................................77 Birgitta Drwenski, Jochen Beißer and Lutz Mangels 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 .....................................................................................99 Matthieu Maurice 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 .........................119 Sami Attaoui and Pierre Six 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 VIU CONTENTS Chapter 9 The Widening of the Basis: New Market Formulas for Swaps, Caps and Swaptions ......................................................... Fabio Mercurio 9.1. Introduction .......................................................................... 9.2. Assumptions on the Discount Curve ................................138 9.3. Fra Rates: Definition and Pricing .......................................139 9.4. 1RS Valuation ....................................................................... 140 9.5. Pricing of Caplets and Swaptions .....................................141 9.6. Conclusions Chapter 10 The Financial Crisis and the Credit Derivatives Pricing Models ................................................................................147 Jean-Claude Gabillon, Laurent Germain and Nicolas Nalpas 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 ..................177 Tao Jiao, Gerard Mertens and Peter Roosenboom 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 and Klaus Mark 12.1. Introduction .............................................. 12.2. The Basic Problem ................................................ 194 CONTENTS ІХ 12.3. Data and Numerical Procedure...................................... 196 12A Results ...............................................................................199 12.5. Conclusion ........................................................................206 Chapter 13 Towards a Replicating Market Model for the US Oil and Gas Sector ................................................................................207 John Simpson and Goknur Buyukkara 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 ..............................................................223 Roberto Savona and Marika Vezzoli 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 .........................................................................241 Dean Fantazzini and Mario Maggi 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. Empirica! Analysis ...........................................................247 15.5. Conclusion ........................................................................252 X CONTENTS Chapter 16 Discount Rates, Default Risk and Asset Pricing in a Regime Change Model ......................................................... Z57 Pu Chen and Willi Semmler 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 .......................................................................................283 Kasirga Yildirak and Cumhur Ekinci 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 ..................................................................... 303 Cumhur Ekinci, Kasirga Yildirak and Ali Sabri Taylan 18.1. Introduction 18.2. Literature CONTENTS XI 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 ....................................................................317 Riadh Aloui, Mohamed Safouane Ben Aïssa and Due Khuong Nguyen 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 ...........................................331 Massimo Morini 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 ..................................................359 Sergei Esipov 21.1. Introduction ......................................................................359 21.2. Adding a Deal to a Company Portfolio .........................361 XU CONTENTS 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 ....................................................................................375 Marco Bee 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 ................................................................................................387 Carsten S. Wehn 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 ..............................................................................395 23.6. Conclusion and Outlook ................................ 397 Notes .................................................................................397 CONTENTS XIII Chapter 24 Active Portfolio Construction When Risk and Alpha Factors are Misaligned .................................................................399 Ralph Karels and Michael Sun 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 ............................................................................411 Massimiliano Caporin and Loriana Pelizzon 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 ............429 Manuel Moreno and Javier F. Navas 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 XIV CONTENTS Chapter 27 Asset Selection Using a Factor Model and Data Envelopment Analysis -А Quantile Regression · 443 Approach ........................................................................................... ™ David E. Allen, Abhay Kumar Singh and Robert J. Powell 27.1. Introduction ...................................................................... 27.3. Data and Methodology .................................................... 450 27.4. Discussion of Results ......................................................452 27.5. Conclusion ........................................................................453 Chapter 28 Tail Risk Reduction Strategies ....................................................457 Lerby M. Ergun and Philip A. Stork 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 .................................................................................471 Pankaj K. Jain, Ajay K. Mishra and Thomas H. Mclnish 29.1. Introduction ......................................................................471 29.2. Literature Review .............................................................472 29.3. Darà and Descriptive Statistics .......................................474 29.4. Results ...............................................................................479 29.5. Conclusion ........................................................................482 Chapter 30 A Rating-Based Approach to Pricing Sovereign Credit Risk ........................................................................................485 Marco Rossi and Gabriele Zinna 30.1. Introduction ................................................................ 485 30.2. Literature Review and Methodology .............................487 30.3. Dataset ......................................................... 4g9 30.4. Transition Matrices Estimation .............................. 439 CONTENTS XV 30.5. Asset Pricing .....................................................................492 30.6. Conclusions ......................................................................498 Notes .................................................................................499 Chapter 31 Optimal Portfolio Choice, Derivatives and Event Risk ..........501 Matthias Muck and Stefan Weisheit 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 ...............................................................519 Christopher Kullmann 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 .......................................531 Abraham Lioui and Michelle Sisto 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 XVI CONTENTS Chapter 34 Quantitative Easing, Financial Risk and Portfolio Diversification ........................................................ 54!> Modena Matteo, Lossani Marco and Borello Giuliana 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 .......................................571 Rituparna Das and Michael C.S. Wong 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 .....585 Jonathan Penm, Betty Chaar and Rebekán Moles 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 ........................................................ 599 Jonathan Penm, Betty Chaar, Rebekah Moles and Jack Penm 37.1. Introduction ................................................. 37.2. Construction of a Polynomial Neural Networks Using a Patterned VAR ......................................... 602 CONTENTS XVII 37.3. Data and Empirical Sparse-Patterned VAR Findings... 605 37.4. Conclusion ........................................................................609 Index .................................................................................................................611
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spellingShingle	Rethinking valuation and pricing models lessons learned from the crisis and future challenges Preismodell (DE-588)4175626-5 gnd Finanzkrise (DE-588)7635855-0 gnd Kapitalmarkt (DE-588)4029578-3 gnd Wertpapierkurs (DE-588)4065681-0 gnd
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title	Rethinking valuation and pricing models lessons learned from the crisis and future challenges
title_auth	Rethinking valuation and pricing models lessons learned from the crisis and future challenges
title_exact_search	Rethinking valuation and pricing models lessons learned from the crisis and future challenges
title_full	Rethinking valuation and pricing models lessons learned from the crisis and future challenges ed. by Carsten Wehn ...
title_fullStr	Rethinking valuation and pricing models lessons learned from the crisis and future challenges ed. by Carsten Wehn ...
title_full_unstemmed	Rethinking valuation and pricing models lessons learned from the crisis and future challenges ed. by Carsten Wehn ...
title_short	Rethinking valuation and pricing models
title_sort	rethinking valuation and pricing models lessons learned from the crisis and future challenges
title_sub	lessons learned from the crisis and future challenges
topic	Preismodell (DE-588)4175626-5 gnd Finanzkrise (DE-588)7635855-0 gnd Kapitalmarkt (DE-588)4029578-3 gnd Wertpapierkurs (DE-588)4065681-0 gnd
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