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Author: Carl Chiarella
Publisher: Routledge
ISBN: 1135984506
Category : Biography & Autobiography
Languages : en
Pages : 513
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Book Description
This important new book from a group of Keynesian, but nonetheless technically-oriented economists explores one of the dominant paradigms in financial economics: the ‘intertemporal general equilibrium approach’.
Author: Oliviero Roggi
Publisher: World Scientific Publishing Company Incorporated
ISBN: 9789814417495
Category : Business & Economics
Languages : en
Pages : 520
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Book Description
Ch. 1. An evolutionary perspective on the concept of risk, uncertainty and risk management / Oliviero Roggi and Omar Ottonelli -- ch. 2. Toward a bottom-up approach to assessing sovereign default risk: an update / Edward I. Altman and Herbert Rijken -- ch. 3. Measuring systemic risk / Viral V. Acharya ... [et al.] -- ch. 4. Taxing systemic risk / Viral V. Acharya ... [et al.] -- ch. 5. Liquidity and efficiency in three related foreign exchange options markets / Menachem Brenner and Ben Z. Schreiber -- ch. 6. Illiquidity or credit deterioration: a study of liquidity in the US corporate bond market during financial crises / Nils Friewald, Rainer Jankowitsch and Marti G. Subrahmanyam -- ch. 7. Integrated wealth and risk management: first principles / Zvi Bodie -- ch. 8. Analyzing the impact of effective risk management: innovation and capital structure effects / Torben Juul Andersen -- ch. 9. Modeling credit risk for SMEs: evidence from the US market / Edward I. Altman and Gabriele Sabato -- ch. 10. SME rating: risk globally, measure locally / Oliviero Roggi and Alessandro Giannozzi -- ch. 11. Credit loss and systematic LGD / Jon Frye and Michael Jacobs Jr. -- ch. 12. Equity risk premiums (ERP): determinants, estimation and implications - the 2012 edition / Aswath Damodaran -- ch. 13. Stock market crashes in 2007-2009: were we able to predict them? / Sébastien Lleo and William T. Ziemba
Author: Carl Chiarella
Publisher: Routledge
ISBN: 1135984506
Category : Biography & Autobiography
Languages : en
Pages : 513
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Book Description
This important new book from a group of Keynesian, but nonetheless technically-oriented economists explores one of the dominant paradigms in financial economics: the ‘intertemporal general equilibrium approach’.
Author: Ulrich Bindseil
Publisher: Springer Nature
ISBN: 3030708845
Category : Business & Economics
Languages : en
Pages : 128
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Book Description
This open access book gives a concise introduction to the practical implementation of monetary policy by modern central banks. It describes the conventional instruments used in advanced economies and the unconventional instruments that have been widely adopted since the financial crisis of 2007–2008. Illuminating the role of central banks in ensuring financial stability and as last resort lenders, it also offers an overview of the international monetary framework. A flow-of-funds framework is used throughout to capture this essential dimension in a consistent and unifying manner, providing a unique and accessible resource on central banking and monetary policy, and its integration with financial stability. Addressed to professionals as well as bachelors and masters students of economics, this book is suitable for a course on economic policy. Useful prerequisites include at least a general idea of the economic institutions of an economy, and knowledge of macroeconomics and monetary economics, but readers need not be familiar with any specific macroeconomic models.
Author:
Publisher: Lulu.com
ISBN: 9291316695
Category : Bank capital
Languages : en
Pages : 294
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Book Description
Author: Sabri Boubaker
Publisher: World Scientific
ISBN: 9813236663
Category : Business & Economics
Languages : en
Pages : 828
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Book Description
The objective of this handbook is to provide the readers with insights about current dynamics and future potential transformations of global financial markets. We intend to focus on four main areas: Dynamics of Financial Markets; Financial Uncertainty and Volatility; Market Linkages and Spillover Effects; and Extreme Events and Financial Transformations and address the following critical issues, but not limited to: market integration and its implications; crisis risk assessment and contagion effects; financial uncertainty and volatility; role of emerging financial markets in the global economy; role of complex dynamics of economic and financial systems; market linkages, asset valuation and risk management; exchange rate volatility and firm-level exposure; financial effects of economic, political and social risks; link between financial development and economic growth; country risks; and sovereign debt markets.
Author: Allen N. Berger
Publisher: Academic Press
ISBN: 0128005319
Category : Business & Economics
Languages : en
Pages : 296
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Book Description
Bank Liquidity Creation and Financial Crises delivers a consistent, logical presentation of bank liquidity creation and addresses questions of research and policy interest that can be easily understood by readers with no advanced or specialized industry knowledge. Authors Allen Berger and Christa Bouwman examine ways to measure bank liquidity creation, how much liquidity banks create in different countries, the effects of monetary policy (including interest rate policy, lender of last resort, and quantitative easing), the effects of capital, the effects of regulatory interventions, the effects of bailouts, and much more. They also analyze bank liquidity creation in the US over the past three decades during both normal times and financial crises. Narrowing the gap between the "academic world" (focused on theories) and the "practitioner world" (dedicated to solving real-world problems), this book is a helpful new tool for evaluating a bank's performance over time and comparing it to its peer group. - Explains that bank liquidity creation is a more comprehensive measure of a bank's output than traditional measures and can also be used to measure bank liquidity - Describes how high levels of bank liquidity creation may cause or predict future financial crises - Addresses questions of research and policy interest related to bank liquidity creation around the world and provides links to websites with data and other materials to address these questions - Includes such hot-button topics as the effects of monetary policy (including interest rate policy, lender of last resort, and quantitative easing), the effects of capital, the effects of regulatory interventions, and the effects of bailouts
Author: Bengt Holmstrom
Publisher: MIT Press
ISBN: 0262518538
Category : Business & Economics
Languages : en
Pages : 263
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Book Description
Two leading economists develop a theory explaining the demand for and supply of liquid assets. Why do financial institutions, industrial companies, and households hold low-yielding money balances, Treasury bills, and other liquid assets? When and to what extent can the state and international financial markets make up for a shortage of liquid assets, allowing agents to save and share risk more effectively? These questions are at the center of all financial crises, including the current global one. In Inside and Outside Liquidity, leading economists Bengt Holmström and Jean Tirole offer an original, unified perspective on these questions. In a slight, but important, departure from the standard theory of finance, they show how imperfect pledgeability of corporate income leads to a demand for as well as a shortage of liquidity with interesting implications for the pricing of assets, investment decisions, and liquidity management. The government has an active role to play in improving risk-sharing between consumers with limited commitment power and firms dealing with the high costs of potential liquidity shortages. In this perspective, private risk-sharing is always imperfect and may lead to financial crises that can be alleviated through government interventions.
Author: International Monetary Fund Staff
Publisher: International Monetary Fund
ISBN: 145197941X
Category : Business & Economics
Languages : en
Pages : 210
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Book Description
The events of the past six months have demonstrated the fragility of the global financial system and raised fundamental questions about the effectiveness of the response by private and public sector institutions. the report assesses the vulnerabilities that the system is facing and offers tentative conclusions and policy lessons. the report reflects information available up to March 21, 2008.
Author: Gary B. Gorton
Publisher: Oxford University Press
ISBN: 0199742111
Category : Business & Economics
Languages : en
Pages : 232
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Book Description
Originally written for a conference of the Federal Reserve, Gary Gorton's "The Panic of 2007" garnered enormous attention and is considered by many to be the most convincing take on the recent economic meltdown. Now, in Slapped by the Invisible Hand, Gorton builds upon this seminal work, explaining how the securitized-banking system, the nexus of financial markets and instruments unknown to most people, stands at the heart of the financial crisis. Gorton shows that the Panic of 2007 was not so different from the Panics of 1907 or of 1893, except that, in 2007, most people had never heard of the markets that were involved, didn't know how they worked, or what their purposes were. Terms like subprime mortgage, asset-backed commercial paper conduit, structured investment vehicle, credit derivative, securitization, or repo market were meaningless. In this superb volume, Gorton makes all of this crystal clear. He shows that the securitized banking system is, in fact, a real banking system, allowing institutional investors and firms to make enormous, short-term deposits. But as any banking system, it was vulnerable to a panic. Indeed the events starting in August 2007 can best be understood not as a retail panic involving individuals, but as a wholesale panic involving institutions, where large financial firms "ran" on other financial firms, making the system insolvent. An authority on banking panics, Gorton is the ideal person to explain the financial calamity of 2007. Indeed, as the crisis unfolded, he was working inside an institution that played a central role in the collapse. Thus, this book presents the unparalleled and invaluable perspective of a top scholar who was also a key insider.
Author: Mark Mitchell
Publisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 0
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Book Description
We study three cases in which specialized arbitrageurs lost significant amounts of capital and, as a result, became liquidity demanders rather than providers. The effects on security markets were large and persistent: Prices dropped relative to fundamentals and the rebound took months. While multi-strategy hedge funds who were not capital constrained increased their positions, a large fraction of these funds actually acted as net sellers consistent with the view that information barriers within a firm (not just relative to outside investors) can lead to capital constraints for trading desks with mark-to-market losses. Our findings suggest that real world frictions impede arbitrage capital.
