Rethinking Valuation and Pricing Models

Lessons Learned from the Crisis and Future Challenges
1. Auflage 2012
ISBN: 978-0-12-415875-7
Verlag: Elsevier Science

Buch, Englisch, 652 Seiten, Format (B × H): 195 mm x 244 mm, Gewicht: 1502 g

It is widely acknowledged that many financial modelling techniques failed during the financial crisis, and in our post-crisis environment many techniques are being reconsidered. This single volume provides a guide to lessons learned for practitioners and a reference for academics. Including reviews of traditional approaches, real examples, and case studies, contributors consider portfolio theory; methods for valuing equities and equity derivatives, interest rate derivatives, and hybrid products; and techniques for calculating risks and implementing investment strategies. Describing new approaches without losing sight of their classical antecedents, this collection of original articles presents a timely perspective on our post-crisis paradigm.

- Highlights pre-crisis best classical practices, identifies post-crisis key issues, and examines emerging approaches to solving those issues
- Singles out key factors one must consider when valuing or calculating risks in the post-crisis environment
- Presents material in a homogenous, practical, clear, and not overly technical manner

Zielgruppe

Addresses issues relevant for upper-division undergraduates, graduate students, and professionals worldwide working in:asset management trading risk control of banks and insurance companies consultancy firms auditing regulation applied mathematics and finance

Autoren/Hrsg.

Wehn, Carsten

Hoppe, Christian

Gregoriou, Greg N

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines
• Wirtschaftswissenschaften Volkswirtschaftslehre Internationale Wirtschaft Internationale Finanzmärkte
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere
• Wirtschaftswissenschaften Volkswirtschaftslehre Finanzkrisen, Wirtschaftskrisen
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzkrisen
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Internationale Finanzmärkte

Inhaltsverzeichnis

40 original chapters divided into these sections: 1. Review of Traditional Approaches 2. Valuing Equities and Equity Derivatives--Calculating Risks 3. Valuing Interest Rate Derivatives and Debt Products--Calculating Risks 4. Valuing Hybrid Products, Alternative Investments--Calculating Risks 5. Investment Strategies and Asset Management--Combining the Results 6. Putting a Global Perspective on New Valuation Aspects

Über Autor(innen)

Gregoriou, Greg N
Greg N. Gregoriou is Professor of Finance in the School of Business and Economics at State University of New York at Plattsburgh. He is co-editor of the Journal of Derviatives and Hedge Funds and edited "Fund of Hedge Funds" (Elsevier, 2006) among others.

Wehn, Carsten
Head of the risk modelling team at DekaBank, Frankfurt, Germany. He is responsible for development and validation of internal portfolio models for measuring and managing credit risk.

Hoppe, Christian
Christian Hoppe is the Head of Credit Solutions at Commerzbank, Frankfurt, Germany, and the founder of Anleihen Finder GmbH.

Carsten Wehn: Head of the risk modelling team at DekaBank, Frankfurt, Germany. He is responsible for development and validation of internal portfolio models for measuring and managing credit risk.

Christian Hoppe is the Head of Credit Solutions at Commerzbank, Frankfurt, Germany, and the founder of Anleihen Finder GmbH.

Greg N. Gregoriou is Professor of Finance in the School of Business and Economics at State University of New York at Plattsburgh. He is co-editor of the Journal of Derviatives and Hedge Funds and edited "Fund of Hedge Funds" (Elsevier, 2006) among others.