The Econometrics of Individual Risk

The book will interest graduate students in economics, business, finance, and actuarial studies, as well as actuaries and financial analysts.

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Author: Christian Gourieroux

Publisher: Princeton University Press

ISBN: 9780691168210

Category: Business & Economics

Page: 256

View: 160

The individual risks faced by banks, insurers, and marketers are less well understood than aggregate risks such as market-price changes. But the risks incurred or carried by individual people, companies, insurance policies, or credit agreements can be just as devastating as macroevents such as share-price fluctuations. A comprehensive introduction, The Econometrics of Individual Risk is the first book to provide a complete econometric methodology for quantifying and managing this underappreciated but important variety of risk. The book presents a course in the econometric theory of individual risk illustrated by empirical examples. And, unlike other texts, it is focused entirely on solving the actual individual risk problems businesses confront today. Christian Gourieroux and Joann Jasiak emphasize the microeconometric aspect of risk analysis by extensively discussing practical problems such as retail credit scoring, credit card transaction dynamics, and profit maximization in promotional mailing. They address regulatory issues in sections on computing the minimum capital reserve for coverage of potential losses, and on the credit-risk measure CreditVar. The book will interest graduate students in economics, business, finance, and actuarial studies, as well as actuaries and financial analysts.

Granularity Theory with Applications to Finance and Insurance

In this book, authors Patrick Gagliardini and Christian Gouriéroux provide the first comprehensive overview of the granularity theory and illustrate its usefulness for a variety of problems related to risk analysis, statistical estimation, ...

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Author: Patrick Gagliardini

Publisher: Cambridge University Press

ISBN: 9781316061862

Category: Business & Economics

Page:

View: 844

The recent financial crisis has heightened the need for appropriate methodologies for managing and monitoring complex risks in financial markets. The measurement, management, and regulation of risks in portfolios composed of credits, credit derivatives, or life insurance contracts is difficult because of the nonlinearities of risk models, dependencies between individual risks, and the several thousands of contracts in large portfolios. The granularity principle was introduced in the Basel regulations for credit risk to solve these difficulties in computing capital reserves. In this book, authors Patrick Gagliardini and Christian Gouriéroux provide the first comprehensive overview of the granularity theory and illustrate its usefulness for a variety of problems related to risk analysis, statistical estimation, and derivative pricing in finance and insurance. They show how the granularity principle leads to analytical formulas for risk analysis that are simple to implement and accurate even when the portfolio size is large.

Investment Risk Management

The Econometrics of Individual Risk: Credit, Insurance, and Marketing. Princeton, NJ: Princeton University Press. Hommel, Ulrich. 2005.

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Author: H. Kent Baker

Publisher: Oxford University Press, USA

ISBN: 9780199331963

Category: Business & Economics

Page: 672

View: 725

All investments carry with them some degree of risk. In the financial world, individuals, professional money managers, financial institutions and many others encounter and must deal with risk. The main purpose of 'Investment Risk Management' is to provide an overview of developments in risk management and a synthesis of research involving the latest developments in the field.

Granularity Theory with Applications to Finance and Insurance

In this book, authors Patrick Gagliardini and Christian Gouriéroux provide the first comprehensive overview of the granularity theory and illustrate its usefulness for a variety of problems related to risk analysis, statistical estimation, ...

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Author: Patrick Gagliardini

Publisher:

ISBN: 1107709393

Category: BUSINESS & ECONOMICS

Page: 186

View: 308

"The recent financial crisis has heightened the need for appropriate methodologies for managing and monitoring complex risks in financial markets. The measurement, management, and regulation of risks in portfolios composed of credits, credit derivatives, or life insurance contracts is difficult because of the nonlinearities of risk models, dependencies between individual risks, and the several thousands of contracts in large portfolios. The granularity principle was introduced in the Basel regulations for credit risk to solve these difficulties in computing capital reserves. In this book, authors Patrick Gagliardini and Christian Gourieroux provide the first comprehensive overview of the granularity theory and illustrate its usefulness for a variety of problems related to risk analysis, statistical estimation, and derivative pricing in finance and insurance. They show how the granularity principle leads to analytical formulas for risk analysis that are simple to implement and accurate even when the portfolio size is large"--

Nonlinear Financial Econometrics Markov Switching Models Persistence and Nonlinear Cointegration

... such as Financial Econometrics (with C. Gourieux, Princeton University Press, 2001) and The Econometrics of Individual Risk (with C. Gourieux, ...

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Author: Greg N. Gregoriou

Publisher: Springer

ISBN: 9780230295216

Category: Business & Economics

Page: 196

View: 997

This book proposes new methods to value equity and model the Markowitz efficient frontier using Markov switching models and provide new evidence and solutions to capture the persistence observed in stock returns across developed and emerging markets.

Micro Econometrics

Gourieroux, C. and J. J asiak, 2007, The econometrics of individual risk: credit, insurance, and marketing, Princeton University Press.

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Author: Myoung-jae Lee

Publisher: Springer Science & Business Media

ISBN: 9780387688411

Category: Business & Economics

Page: 770

View: 515

Up-to-date coverage of most micro-econometric topics; first half parametric, second half semi- (non-) parametric Many empirical examples and tips in applying econometric theories to data Essential ideas and steps shown for most estimators and tests; well-suited for both applied and theoretical readers

The Collected Scientific Work of David Cass

Introduction Idiosyncratic or individual risk is a pervasive phenomenon, as emphasized in the seminal studies by Arrow and Lind (1970) and Malinvaud (1972).

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Author: David Cass

Publisher: Emerald Group Publishing

ISBN: 9780857246455

Category: Business & Economics

Page: 400

View: 583

This book is the third in three volumes of the Collected Scientific Works of David Cass. This volume covers the period from the middle 1980's through the end of Cass's life in 2008.

Financial and Insurance Formulas

Econometrica 50,987–1007 (1982) Gourieroux, C.: The Econometrics of Individual Risk. Princeton University Press, Princeton and Oxford (2007) Jorion, ...

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Author: Tomas Cipra

Publisher: Springer Science & Business Media

ISBN: 379082593X

Category: Business & Economics

Page: 418

View: 657

Financial and insurance calculations become more and more frequent and helpful for many users not only in their profession life but sometimes even in their personal life. Therefore a survey of formulas of ?nancial and insurance mathematics that can be applied to such calculations seems to be a suitable aid. In some cases one should use instead of the term formula more suitable terms of the type method, p- cedure or algorithm since the corresponding calculations cannot be simply summed up to a single expression, and a verbal description without introducing complicated symbols is more appropriate. The survey has the following ambitions: • The formulas should be applicable in practice: it has motivated their choice for this survey ?rst and foremost. On the other hand it is obvious that by time one puts to use in practice seemingly very abstract formulas of higher mathematics, e.g. when pricing ?nancial derivatives, evaluating ?nancial risks, applying accou- ing principles based on fair values, choosing alternative risk transfers ARL in insurance, and the like. • The formulas should be error-free (though such a goal is not achievable in full) since in the ?nancial and insurance framework one publishes sometimes in a h- tic way various untried formulas and methods that may be incorrect. Of course, the formulas are introduced here without proofs because their derivation is not the task of this survey.

Risk Measurement Econometrics and Neural Networks

Selected Articles of the 6th Econometric-Workshop in Karlsruhe, ... x(P) without referring to the characteristics of the individual risk factors x (*).

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Author: Georg Bol

Publisher: Springer Science & Business Media

ISBN: 9783642582721

Category: Business & Economics

Page: 306

View: 340

This book comprises the articles of the 6th Econometric Workshop in Karlsruhe, Germany. In the first part approaches from traditional econometrics and innovative methods from machine learning such as neural nets are applied to financial issues. Neural Networks are successfully applied to different areas such as debtor analysis, forecasting and corporate finance. In the second part various aspects from Value-at-Risk are discussed. The proceedings describe the legal framework, review the basics and discuss new approaches such as shortfall measures and credit risk.

The Econometrics of Financial Markets

Acharya, S., 1988, “A Generalized Econometric Model and Tests of a ... Individual Risk: A Stage III Exercise,” Journal of Monetary Economics, 27, 309–331.

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Author: John Y. Campbell

Publisher: Princeton University Press

ISBN: 9780691043012

Category: Business & Economics

Page: 611

View: 622

The past twenty years have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals now routinely use sophisticated statistical techniques in portfolio management, proprietary trading, risk management, financial consulting, and securities regulation. This graduate-level textbook is intended for PhD students, advanced MBA students, and industry professionals interested in the econometrics of financial modeling. The book covers the entire spectrum of empirical finance, including: the predictability of asset returns, tests of the Random Walk Hypothesis, the microstructure of securities markets, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory, the term structure of interest rates, dynamic models of economic equilibrium, and nonlinear financial models such as ARCH, neural networks, statistical fractals, and chaos theory. Each chapter develops statistical techniques within the context of a particular financial application. This exciting new text contains a unique and accessible combination of theory and practice, bringing state-of-the-art statistical techniques to the forefront of financial applications. Each chapter also includes a discussion of recent empirical evidence, for example, the rejection of the Random Walk Hypothesis, as well as problems designed to help readers incorporate what they have read into their own applications.

Econometrics of Risk

... the risk-free rate, market rate and percentage returns of the 21 sectors are displayed in Table2 and summary statistics of the individual risk premiums ...

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Author: Van-Nam Huynh

Publisher: Springer

ISBN: 9783319134499

Category: Technology & Engineering

Page: 498

View: 453

This edited book contains several state-of-the-art papers devoted to econometrics of risk. Some papers provide theoretical analysis of the corresponding mathematical, statistical, computational, and economical models. Other papers describe applications of the novel risk-related econometric techniques to real-life economic situations. The book presents new methods developed just recently, in particular, methods using non-Gaussian heavy-tailed distributions, methods using non-Gaussian copulas to properly take into account dependence between different quantities, methods taking into account imprecise ("fuzzy") expert knowledge, and many other innovative techniques. This versatile volume helps practitioners to learn how to apply new techniques of econometrics of risk, and researchers to further improve the existing models and to come up with new ideas on how to best take into account economic risks.

Handbook Of Financial Econometrics Mathematics Statistics And Machine Learning In 4 Volumes

The difference between Rm and Rf (Rm - Rf ) is called the market risk premium. ... An individual security's proportional makeup (Xi ) in the market ...

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Author: Cheng-few Lee

Publisher: World Scientific

ISBN: 9789811202407

Category: Business & Economics

Page: 5056

View: 595

This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.

Experimental Economics

Both have proposed methods 7.4.1 and experimental designs to assess individual risk preferences. In The Econometrics of Experimental Data 289 Case ...

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Author: Nicolas Jacquemet

Publisher: Cambridge University Press

ISBN: 9781107060272

Category: Business & Economics

Page: 480

View: 412

Over the past two decades, experimental economics has moved from a fringe activity to become a standard tool for empirical research. With experimental economics now regarded as part of the basic tool-kit for applied economics, this book demonstrates how controlled experiments can be a useful in providing evidence relevant to economic research. Professors Jacquemet and L'Haridon take the standard model in applied econometrics as a basis to the methodology of controlled experiments. Methodological discussions are illustrated with standard experimental results. This book provides future experimental practitioners with the means to construct experiments that fit their research question, and new comers with an understanding of the strengths and weaknesses of controlled experiments. Graduate students and academic researchers working in the field of experimental economics will be able to learn how to undertake, understand and criticise empirical research based on lab experiments, and refer to specific experiments, results or designs completed with case study applications.

Financial Econometrics

The traders are characterized by absolute individual risk aversion coefficients A, i = 1,..., M, and their total demand is (see Proposition 3.5): M o'-X of ...

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Author: Christian Gourieroux

Publisher: Princeton University Press

ISBN: 9780691187020

Category: Business & Economics

Page: 529

View: 116

Financial econometrics is a great success story in economics. Econometrics uses data and statistical inference methods, together with structural and descriptive modeling, to address rigorous economic problems. Its development within the world of finance is quite recent and has been paralleled by a fast expansion of financial markets and an increasing variety and complexity of financial products. This has fueled the demand for people with advanced econometrics skills. For professionals and advanced graduate students pursuing greater expertise in econometric modeling, this is a superb guide to the field's frontier. With the goal of providing information that is absolutely up-to-date--essential in today's rapidly evolving financial environment--Gourieroux and Jasiak focus on methods related to foregoing research and those modeling techniques that seem relevant to future advances. They present a balanced synthesis of financial theory and statistical methodology. Recognizing that any model is necessarily a simplified image of reality and that econometric methods must be adapted and applied on a case-by-case basis, the authors employ a wide variety of data sampled at frequencies ranging from intraday to monthly. These data comprise time series representing both the European and North American markets for stocks, bonds, and foreign currencies. Practitioners are encouraged to keep a critical eye and are armed with graphical diagnostics to eradicate misspecification errors. This authoritative, state-of-the-art reference text is ideal for upper-level graduate students, researchers, and professionals seeking to update their skills and gain greater facility in using econometric models. All will benefit from the emphasis on practical aspects of financial modeling and statistical inference. Doctoral candidates will appreciate the inclusion of detailed mathematical derivations of the deeper results as well as the more advanced problems concerning high-frequency data and risk control. By establishing a link between practical questions and the answers provided by financial and statistical theory, the book also addresses the needs of applied researchers employed by financial institutions.

Regression Modeling with Actuarial and Financial Applications

The Econometrics of Individual Risk. Princeton University Press, Princeton, New Jersey. Hand, D. J., and W. E. Henley ( 1997).

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Author: Edward W. Frees

Publisher: Cambridge University Press

ISBN: 9780521760119

Category: Business & Economics

Page: 565

View: 563

This book teaches multiple regression and time series and how to use these to analyze real data in risk management and finance.

Health Econometrics

From both a conceptual and an empirical point of view, it is unclear whether individual risk and time preferences are stable across the health and the ...

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Author: Badi H. Baltagi

Publisher: Emerald Group Publishing

ISBN: 9781787145429

Category: Business & Economics

Page: 348

View: 503

This volume covers a wide range of existing and emerging topics in applied health economics, including behavioural economics, medical care risk, social insurance, discrete choice models, cost-effectiveness analysis, health and immigration, and more.

Quantitative Analysis in Financial Markets

... models of individual risk preferences. He has published numerous articles in finance and economics journals, and is a co-author of The Econometrics of ...

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Author: Marco Avellaneda

Publisher: World Scientific

ISBN: 9789814493567

Category: Business & Economics

Page: 380

View: 882

This book contains lectures delivered at the celebrated Seminar in Mathematical Finance at the Courant Institute. The lecturers and presenters of papers are prominent researchers and practitioners in the field of quantitative financial modeling. Most are faculty members at leading universities or Wall Street practitioners. The lectures deal with the emerging science of pricing and hedging derivative securities and, more generally, managing financial risk. Specific articles concern topics such as option theory, dynamic hedging, interest-rate modeling, portfolio theory, price forecasting using statistical methods, etc. Contents:Estimation and Data-Driven Models:Transition Densities for Interest Rate and Other Nonlinear Diffusions (Y Aït-Sahalia)Hidden Markov Experts (A Weigend & S-M Shi)When is Time Continuous? (A Lo et al.)Asset Prices are Brownian Motion: Only in Business Time (H Geman et al.)Hedging Under Stochastic Volatility (K Ronnie Sircar)Model Calibration and Volatility Smile:Determining Volatility Surfaces and Option Values from an Implied Volatility Smile (P Carr & D Madan)Reconstructing the Unknown Local Volatility Function (T Coleman et al.)Building a Consistent Pricing Model from Observed Option Prices (J-P Laurent & D Leisen)Weighted Monte Carlo: A New Technique for Calibrating Asset-Pricing Models (M Avellaneda et al.)Pricing and Risk Management:One- and Multi-Factor Valuation of Mortgages: Computational Problems and Shortcuts (A Levin)Simulating Bermudan Interest-Rate Derivatives (P Carr & G Yang)How to Use Self-Similarities to Discover Similarities of Path-Dependent Options (A Lipton)Monte Carlo Within a Day (J Cárdenas et al.)Decomposition and Search Techniques in Disjunctive Programs for Portfolio Selection (K Wyatt) Readership: Students and researchers in economics, finance and applied mathematics. Keywords:

Econometric Analysis of Stochastic Dominance

“Does positive dependence between individual risks increase stop-loss premiums?” Insurance: Mathematics and Economics 28(3), 305–308.

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Author: Yoon-Jae Whang

Publisher: Cambridge University Press

ISBN: 9781108472791

Category: Business & Economics

Page: 262

View: 977

Provides a comprehensive analysis of stochastic dominance through coverage of concepts, methods of estimation, inferential tools, and applications.

Handbook of Financial Econometrics

They examine whether people use individual stocks to hedge nonfinancial income risk and find little evidence for hedging. Rather, they find a tendency to ...

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Author: Yacine Ait-Sahalia

Publisher: Elsevier

ISBN: 0080929842

Category: Business & Economics

Page: 808

View: 899

This collection of original articles—8 years in the making—shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine Aït-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume. Presents a broad survey of current research—from local characterizations of the Markov process dynamics to financial market trading activity Contributors include Nobel Laureate Robert Engle and leading econometricians Offers a clarity of method and explanation unavailable in other financial econometrics collections

Current Developments in the Interface Economics Econometrics Mathematics

Drèze, J. H. (1981), "Inferring risk tolerance from deductibles in insurance ... Malinvaud, E. (1972), "The allocation of individual risks in large markets" ...

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Author: Michiel Hazewinkel

Publisher: Springer Science & Business Media

ISBN: 9789400979338

Category: Business & Economics

Page: 352

View: 760

This book contains the Proceedings of a symposium that was held in Rotterdam from 12 to 15 January 1982 to celebrate the 25-th anniversary of the Econometric Institute of the Erasmus University. The subject of the symposium, developments in econometrics and related fields, was particularly appropriate for the occasion. In 25 years the research carried out at the Econometric Institute developed from the original seminal work in econometrics, carried out under the supervision of the first director H. Theil, to embrace related areas such as mathematical economics, operations research, systems theory and other branches of mathematics, statistics and probability theory. To review the state of the art in these areas, thirteen leading experts were invited to deliver a lecture at the symposium; their contributions form .the backbone of this book. Together, they illustrate the wide range and scope of the current scientific activity in these fields. The thirteen authoritative surveys should be of great value to researchers and students alike, who want to become acquainted with recent ideas, current trends and future developments in their chosen fields of interest. Each contribution is preceded by an introduction to the author and his work and followed by a summary of the discussion that followed the lecture. A special chapter is devoted to the history of the Econometric Institute.