Splitting the Atom of Systematic Risk
1. Auflage 2017,
287 Seiten, Gebunden, Book, Format (B × H): 153 mm x 216 mm, Gewicht: 4955 g
Reihe: Quantitative Perspectives on Behavioral Economics and Finance
Verlag: Springer-Verlag GmbH
Chen Econophysics and Capital Asset PricingThis book rehabilitates beta as a definition of systemic risk by using particle physics to evaluate discrete components of financial risk. Much of the frustration with beta stems from the failure to disaggregate its discrete components; conventional beta is often treated as if it were "atomic" in the original Greek sense: uncut and indivisible. By analogy to the Standard Model of particle physics theory's three generations of matter and the three-way interaction of quarks, Chen divides beta as the fundamental unit of systemic financial risk into three matching pairs of "baryonic" components. The resulting econophysics of beta explains no fewer than three of the most significant anomalies and puzzles in mathematical finance. Moreover, the model's three-way analysis of systemic risk connects the mechanics of mathematical finance with phenomena usually attributed to behavioral influences on capital markets. Adding consideration of volatility and correlation, and of the distinct cash flow and discount rate components of systematic risk, harmonizes mathematical finance with labor markets, human capital, and macroeconomics.
Weitere Infos & Material
Part I- The First Generation: Addressing Markets Up and Down1. Baryonic Beta Dynamics: The Econophysics of Systematic Risk 2. Double- and Single-Sided Risk MeasuresPart II- The Second Generation: The Strange Charm of Volatility and Correlation3. Relative Volatility Versus Correlation Tightening4. Asymmetrical Volatility and Spillover Effects5. The Low-Volatility Anomaly6. Correlation TighteningPart III- The Third Generation: Truth and Beauty in Cash-Flow and Discount-Rate Effects7. The Intertemporal Capital Asset Pricing Model8. The Equity Premium Puzzle9. Beta's Cash-Flow and Discount-Rate Components10. Risk and Uncertainty11. Short-Term Price Continuation Anomalies12. Systematic Risk in the Macrocosmos13. The Baryonic Ladder: The Firm, the Market, and the Economy