Title Page
Copyright Page
Preface
Table of Contents
List of Contributors
Impact of interest rate risk on the Spanish banking sector
1 Introduction
2 Literature review
3 Methodology
4 Data
5 Empirical results
6 Conclusions
References
Tracking error with minimum guarantee constraints
1 Introduction
2 Minimum guaranteed return and constraintson the level of wealth
3 Benchmark and tracking error issues
4 Formulation of the problem
5 Conclusions
References
Energy markets: crucial relationship between prices
1 Introduction
2 Relevant literature
3 The data set
4 The short-run relationship
5 The long-run relationship
6 Conclusions
References
Tempered stable distributions and processes infinance: numerical analysis
1 Introduction
2 Basic definitions
3 Evaluating the density function
4 Simulation of TSα processes
4.1 A Monte Carlo example
5 Conclusions
References
Transformation kernel estimation of insurance claim cost distributions
1 Introduction
2 Estimation procedure
3 VaR estimation
4 Simulation study
5 Data study
References
What do distortion risk measures tell us on excess of loss reinsurance with reinstatements?
1 Introduction
2 Excess of loss reinsurance with reinstatements: problem setting
3 Initial premium, aggregate claims and distortion risk measures
3.1 Distortion risk measures
4 Risk-adjusted premiums
5 Conclusions
References
Some classes of multivariate risk measures
1 Introduction
2 Multivariate case
3 Multivariate distorted risk measures
4 Measures of concordance
5 A vector-valuedmeasure
6 Conclusions
References
Assessing risk perception by means of ordinal models
1 Introduction
2 CUB models: description and inference
3 Assessing risk perception: some empirical evidence
3.1 Data analysis
3.2 Control and measure risk perception: a map
3.3 Perception of fire/explosion risk
4 Conclusions
References
A financial analysis of surplus dynamics fordeferred life schemes∗
1 Introduction
2 The model
3 Surplus analysis
3.1 The mathematical framework
3.2 The computational application
4 Results
5 Conclusions and future research prospect
References
Checking financial markets via Benford’s law: the S&P 500 case
1 Introduction
2 Benford’s law: an introduction
3 Benford’s law: financial applications
4 Do the S&P 500’s stocks satisfy Benford’s law?
4.1 Overall analysis
4.2 Day-by-day analysis
4.3 Consecutive rejection days analysis
5 Conclusions
References
Empirical likelihood based nonparametric testing for CAPM
1 Introduction
2 The CAPM in a nutshell
2.1 Theoretical model
2.2 Testing strategy
2.3 The parametric step
3 The nonparametric goodness-of-fit test
4 Empirical results and conclusions
References
Lee-Carter error matrix simulation:heteroschedasticity impact on actuarial valuations
1 Introduction
2 The Lee-Carter model: a sensitivity issue
3 The experiment
4 Running the experiment
5 Numerical illustrations
5.1 Financial hypotheses
5.2 Mortality hypotheses
6 Conclusions
References
Estimating the volatility term structure
1 Introduction
2 Data
3 GARCH models
4 Differences in the volatility from different models
5 A principal component analysis of volatility term structure (VTS)
6 Conclusions
References
Exact and approximated option pricing in a stochastic volatility jump-diffusion model
1 Introduction
2 Stochastic volatility jump-diffusion model
3 Closed formula for European-style options
4 Generating sample paths
5 Barrier options and their Greeks
6 Numerical results
7 Conclusions
References
A skewed GARCH-type model for multivariate financial time series
1 Introduction
2 Third moment
3 The multivariate skew-normal distribution
4 A skewed GARCH-typemodel
5 Data analysis
6 Sign tests for symmetry
7 Conclusions
References
Financial time series and neural networks in a minority game context
1 Minority games and financial markets
2 Neural network and financial time series
3 Conclusions
References
Robust estimation of style analysis coefficients
1 Introduction
2 Sharpe-style regression model
3 A robust approach to style analysis
4 Simulation results
5 Conclusions and further issues
References
Managing demographic risk in enhanced pensions
1 Introduction
2 Actuarial model for Enhanced Pensions
3 Demographic scenarios
4 A risk theory model
4.1 Risk-based capital requirements
5 Profit analysis
6 Portfolio simulation results
7 Conclusions
References
Clustering mutual funds by return and risk levels
1 Introduction
2 Risk modelling
3 An application
4 Some concluding remarks
References
Multivariate Variance Gamma and Gaussian dependence: a study with copulas∗
1 Introduction
2 VGmodels
2.1 Dependence structure
3 Empirical investigation
3.1 Data
3.2 Selection of the α-VG parameters
3.3 Copula results
3.4 Measures of dependence
4 Conclusions and further research
Appendix
References
A simple dimension reduction procedure for corporate finance composite indicators∗
1 Introduction
2 Composite indicator computation
3 To reduce the dimension of composite indicators
4 A practical application
5 Conclusions
References
The relation between implied and realised volatility in the DAX index options market
1 Introduction
2 The data set, the sampling procedure and the definition of the variables
3 The methodology
4 The results
5 Conclusions
References
Binomial algorithms for the evaluation of options on stocks with fixed per share dividends
1 Introduction
2 European-style options
3 American-style options
4 Binomial models
5 Numerical experiments
6 Conclusions
References
Nonparametric prediction in time series analysis: some empirical results
1 Introduction
2 Nonparametric kernel predictors
3 Simulation results
4 Empirical results on 90-day US T-bill rate
5 Conclusions
References
On efficient optimisation of the CVaR and related LP computable risk measures for portfolio selection
1 Introduction
2 Computational LP models
3 Conclusions
References
A pattern recognition algorithm for optimal profits in currency trading
1 Introduction
2 Pattern recognition algorithm
3 Experimental results
4 Conclusions and future work
References
Nonlinear cointegration in financial time series
1 Introduction
2 Nonlinear cointegration
3 An application to a financial time series
4 Conclusion
References
Optimal dynamic asset allocation in a non–Gaussian world
1 Introduction
2 The model: formal statement and optimal solution
3 Case study: a total return portfolio in the US market
4 Conclusions
Appendix: Markets MMGM modeling
References
Fair costs of guaranteed minimum death benefit contracts
1 Introduction
2 General framework and main notations
2.1 Financial risk and mortality
2.2 Contract payoff
2.3 Main Equations
3 Pricing model
3.1 Modelling stochastic interest rates and subaccount jumps
3.2 Present value of fees
3.3 Mortality models
3.4 Valuation of the embedded GMDB option
4 Empirical study
4.1 Impact of jumps and interest rates
4.2 Impact of combined risk factors
5 Conclusions
References
Solvency evaluation of the guaranty fund at a large financial cooperative
1 Introduction
2 Context of the study
3 Analysis and selection of methodologies
4 The aggregated approach
5 The disaggregated approach
6 Comparison of the two approaches
7 Financial impact of the study
8 Conclusions
References
A Monte Carlo approach to value exchange options using a single stochastic factor
1 Introduction
2 The price of a Simple European Exchange Option (SEEO)
3 The price of a Compound European Exchange Option (CEEO)
4 The price of a Pseudo American Exchange Option (PAEO)
5 Numerical examples and variance reduction techniques
6 Conclusions
References