Basel accords, bank capital and portfolio risk behavior

With the endorsement of the Basel III contracts on the supervision of the banking industry, management of capital buffers throughout the business cycle have attained crucial importance for the reinforcement of financial stability in the banking system. This book departs from previous studies through its ...

La paradoja del riesgo

por qué la política económica tendrá que asumir más riesgos si quiere salvarnos de la próxima crisis

Durante décadas, los economistas han estado obsesionados con combatir la inflación, reducir los déficits públicos y desaconsejar a los inversores la asunción de riesgos excesivos. Pero, tras el estallido de la crisis de 2008, esta creencia ha quedado en entredicho. Ante el peor desastre económico ...

Nonparametric finance

Nonparametric function estimation is an important part of machine learning, which is becoming increasingly important in quantitative finance. Nonparametric Finance provides graduate students and finance professionals with a foundation in nonparametric function estimation and the underlying mathematics. Combining practical applications, mathematically rigorous presentation, and statistical ...

Interest rate derivatives explained

Volume 2: term structure and volatility modelling

This book on Interest Rate Derivatives has three parts. The first part is on financial products and extends the range of products considered in Interest Rate Derivatives Explained I. In particular we consider callable products such as Bermudan swaptions or exotic derivatives. The second part ...

Fundamentals of risk management

understanding, evaluating and implementing effective risk management

This fifth edition of Fundamentals of Risk Management is a comprehensive introduction to commercial and business risk for students and risk professionals. Providing extensive coverage of the core frameworks of business continuity planning, enterprise risk management and project risk management, this is the definitive guide ...

Riesgos de mercado

fundamentos, modelos y aplicaciones

En este libro se exponen los principales modelos de riesgo de mercado, desde los fundamentos estadísticos en los que se apoyan, las técnicas de estimación de los parámetros, hasta los métodos de contraste para testar la idoneidad de los modelos. El enfoque adoptado ha buscado ...

FinTech innovation

from robo-advisors to goal based investing and gamification

FinTech Innovation examines the rise of financial technology and its growing impact on the global banking industry. Wealth managers are standing at the epicenter of a tectonic shift, as the balance of power between offering and demand undergoes a dramatic upheaval. Regulators are pushing toward ...

Risky strategy

understanding risk to improve strategic decisions

What is risk? Is it a real danger or just an opportunity in disguise? Can it be out-manoeuvred or is it something to be embraced and worked with? When companies are developing their business strategies, risk may be mentioned in passing (and even then, frequently ...

Commodity markets

asset allocation, pricing and risk management

The increasing presence of investors and financial intermediaries in commodity markets, together with the huge increase in the volatility of commodity prices, have renewed the interest in commodities and commodity derivatives. In the last decade, a better understanding of the behavior of commodity prices and ...

Valuation of derivative assets under cyclical mean-reversion processes for spot prices

This thesis studies the stochastic behaviour of interest rates and commodity prices, extending the existing literature by allowing the underlying state variable to capture any ossible seasonal or cyclical behaviour. In the first chapter, we propose a nuw model for the term structure of interest ...

Systemic risk

measures and determinants

This book studies the measurement and the determinants of systemic risk, paying special attention to the role of the Credit Default Swaps (CDSs) either as financial instruments containing valuable information about the soundness of the reference institutions or as a market whose distress contributes to ...

Uncertainty, expectations, and financial instability

reviving allais's lost theory of psychological time

Eric Barthalon applies the neglected theory of psychological time and memory decay of Nobel Prize-winning economist Maurice Allais (1911-2010) to model investors' psychology in the present context of recurrent financial crises. Shaped by the behavior of the demand for money during episodes of hyperinflation, Allais ...

Portfolio management under stress

a bayesian-net approach to coherent asset allocation

Portfolio Management under Stress offers a novel way to apply the well-established Bayesian-net methodology to the important problem of asset allocation under conditions of market distress or, more generally, when an investor believes that a particular scenario (such as the break-up of the Euro) may ...

An introduction to quantitative finance

The worlds of Wall Street and The City have always held a certain allure, but in recent years have left an indelible mark on the wider public consciousness and there has been a need to become more financially literate. The quantitative nature of complex financial ...

The risk premium factor

a new model for understanding the volatile forces that drive stock prices

This is a radical, definitive explanation of the link between loss aversion theory, the equity risk premium and stock price, and how to profit from it. "The Risk Premium Factor" presents and proves a radical new theory that explains the stock market, offering a quantitative ...

Noves tendències en finançament empresarial

Bases conceptuals i aplicacions pràctiques

Noves tendències en finançament empresarial analitza els aspectes més rellevants a considerar en dissenyar la política financera de l’empresa. La política financera de la empresa exigeix prendre decisions sobre temes tals com la combinació adequada del capital i deute, entre deute a curt i ...

Noves tendències en finances corporatives

Bases conceptuals i aplicacions pràctiques

Les finances corporatives tenen com a principal objectiu elevar el valor de l’empresa i, per tant, el de les accions que integren el capital social. Per a això, han de trobar un equilibri adequat entre els subobjectius de rendibilitat, risc i liquiditat. La rendibilitat ...

Financial risk forecasting

the theory and practice of forecasting market risk, with implementation in R and MATLAB

Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance, statistics and modeling ...

The Flaw of Averages

why we understimate risk in the face on unvertainty

This book is a must-read for anyone who makes business decisions that have a major financial impact. As the recent collapse on Wall Street shows, we are often ill-equipped to deal with uncertainty and risk. Yet every day we base our personal and business plans ...

Dynamics of markets

the new financial economics

This second edition presents the advances made in finance market analysis since 2005. The book provides a careful introduction to stochastic methods along with approximate ensembles for a single, historic time series. The new edition explains the history leading up to the biggest economic disaster ...