Fat-tailed and skewed asset return distributions: implications for risk management, portfolio selection, and option pricing
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Hoboken, NJ
Wiley
2005
|
| Series: | The Frank J. Fabozzi Series
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XIII, 369 graph. Darst. |
| ISBN: | 0471718866 9780471718864 |
Staff View
MARC
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| 245 | 1 | 0 | |a Fat-tailed and skewed asset return distributions |b implications for risk management, portfolio selection, and option pricing |c Svetlozar T. Rachev ; Christian Menn ; Frank J. Fabozzi |
| 246 | 1 | 3 | |a Fat tailed and skewed asset return distributions |
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Record in the Search Index
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|---|---|
| adam_text | t
SSBtSSfe
Preface xj
About the Authors x|i,
CHAPTER 1
Introduction *
Organization of the Book 5
References g
MMMIt ,,,... „,„„„ „ ,.,„„ ,^w „,
Probability and Statistics i
chapter 2
Discrete Probability Distributions 13
Basic Concepts 14
Discrete Probability Distributions Defined 14
Bernoulli Distribution 15
Binomial Distribution 15
Poisson Distribution 16
References 21
CHAPTER 3
Continuous Probability Distributions 23
Continuous Random Variables and Probability Distributions 23
The Normal Distribution 29
Other Popular Distributions 32
References 4g
CHAPTER 4
Describing a Probability Distribution Function: Statistical Moments and Quantiles 47
Location 47
Dispersion 4g
Asymmetry 4g
V
Vi Contents
Concentration in Tails 48
Statistical Moments 49
Quantiles 50
Sample Moments 53
Normal Distribution Revisited 55
References 56
CHAPTER 5
Joint Probability Distributions 57
Joint Probability Distributions Defined 57
Marginal Distributions 58
Dependence of Random Variables 59
Multivariate Normal Distribution 60
Elliptical Distributions 67
References 70
CHAPTER 6
Copulas 71
Drawbacks of Correlation 71
Overcoming the Drawbacks of Correlation: Copulas 72
Mathematical Definition of Copulas 73
References 74
CHAPTER 7
Stable Distributions 81
Properties of the Stable Distribution 82
Considerations in the Use of the Stable Distribution 85
Truncated Stable Distributions 89
References 92
CHAPTER 8
Estimation Methodologies 93
Fitting Probability Distributions by Maximum Likelihood Estimation 93
Confidence Bounds 96
Hypothesis Tests and P Value 101
Relationship between Hypothesis Tests and Confidence Bounds 105
Fitting Stable Distributions 109
Comparing Probability Distributions: Testing for the Goodness of Fit 111
References 117
Contents Vfl
HBUWO . ..... ... . .,« .. ., ., .
Stochastic Processes 119
CHAPTER 9
Stochastic Processes in Discrete Time and Time Series Analysis 121
Stochastic Processes in Discrete Time 121
ARCH and GARCH Models 130
ARMA GARCH Illustration 133
References 140
CHAPTER 10
Stochastic Processes in Continuous Time 143
The Poisson Process 144
Brownian Motion 147
Stochastic Differential Equations 155
Levy Processes 156
References 158
Eneuwn ,. .,..,....._...,. ., . ..... ,
Portfolio Selection 161
CHAPTER 11
Equity and Bond Return Distributions 163
Evidence from the U.S. Stock Market 163
Evidence from the U.S. Bond Market 167
References 178
CHAPTER 12
Risk Measures and Portfolio Selection 181
Desirable Features of Investment Risk Measures 181
Alternative Risk Measures for Portfolio Selection 185
References 194
CHAPTER 13
Risk Measures in Portfolio Optimization and Performance Measures 199
Efficient Frontiers and Return Distribution Assumption 200
Portfolio Optimization and Conditional Value at Risk versus
Value at Risk 203
Performance Measures 206
References 210
VH Contents
JjflinJEflllB. mjuu^
Risk Management 213
CHAPTER 14
Market Risk 215
Adoption of VaR for Measuring Market Risk 216
VaR and Bank Capital Requirements 218
Computation of VaR 222
Evaluation of VaR Methods: Strengths and Weaknesses 228
Stable Modeling of VaR 230
Alternative to VaR: Expected Tail Loss 239
References 246
Appendix: Coherent Risk Measures 249
CHAPTER 15
Credit Risk 253
Credit Risk 253
Credit Risk Framework for Banks: Basel I and Basel II 254
Overview of Credit Risk Modeling 256
Credit Risk Management Tools 263
An Integrated Market and Credit Risk Management Framework
Based on the Structural Approach 267
An Integrated Market and Credit Risk Management Framework
Based on the Intensity Based Model 272
Building An Econometric Model for the Intensity Based Model 276
References 278
CHAPTER 16
Operational Risk 283
Operational Risk Defined 283
Capital Requirement for Operational Risk 286
Comparison of Market, Credit, and Operational Risk Distributions 287
Aggregated Stochastic Models for Operational Risk 288
References 291
Option Pricing 293
CHAPTER 17
Introduction to Option Pricing and the Binomial Model 295
Options Contracts 295
Basic Components of the Option Price 297
Contents iX
Boundary Conditions for the Price of an Option 298
Discrete Time Option Pricing: Binomial Model 300
Convergence of the Binomial Model 312
References 316
CHAPTER 18
Black Scholes Option Pricing Model 319
Motivation 319
Black Scholes Formula 322
Computing a Call Option Price 323
Sensitivity of Option Price to a Change in Factors: The Greeks 325
Computing a Put Option Price 331
Assumptions Underlying the Black Scholes Model and
Basic Extensions 331
Black Scholes Model Applied to the Pricing of Options on Bonds:
Importance of Assumptions 334
References 336
CHAPTER 19
Extension of the Black Scholes Model and Alternative Approaches 337
The Smile Effect 337
Continuous Time Models 339
Discrete Time Models 345
References 349
INDEX 353
|
| adam_txt |
t
SSBtSSfe
Preface xj
About the Authors x|i,
CHAPTER 1
Introduction *
Organization of the Book 5
References g
MMMIt ,,,. „,„„„ „ ,.,„„ ,^w „,
Probability and Statistics i \
chapter 2
Discrete Probability Distributions 13
Basic Concepts 14
Discrete Probability Distributions Defined 14
Bernoulli Distribution 15
Binomial Distribution 15
Poisson Distribution 16
References 21
CHAPTER 3
Continuous Probability Distributions 23
Continuous Random Variables and Probability Distributions 23
The Normal Distribution 29
Other Popular Distributions 32
References 4g
CHAPTER 4
Describing a Probability Distribution Function: Statistical Moments and Quantiles 47
Location 47
Dispersion 4g
Asymmetry 4g
V
Vi Contents
Concentration in Tails 48
Statistical Moments 49
Quantiles 50
Sample Moments 53
Normal Distribution Revisited 55
References 56
CHAPTER 5
Joint Probability Distributions 57
Joint Probability Distributions Defined 57
Marginal Distributions 58
Dependence of Random Variables 59
Multivariate Normal Distribution 60
Elliptical Distributions 67
References 70
CHAPTER 6
Copulas 71
Drawbacks of Correlation 71
Overcoming the Drawbacks of Correlation: Copulas 72
Mathematical Definition of Copulas 73
References 74
CHAPTER 7
Stable Distributions 81
Properties of the Stable Distribution 82
Considerations in the Use of the Stable Distribution 85
Truncated Stable Distributions 89
References 92
CHAPTER 8
Estimation Methodologies 93
Fitting Probability Distributions by Maximum Likelihood Estimation 93
Confidence Bounds 96
Hypothesis Tests and P Value 101
Relationship between Hypothesis Tests and Confidence Bounds 105
Fitting Stable Distributions 109
Comparing Probability Distributions: Testing for the Goodness of Fit 111
References 117
Contents Vfl
HBUWO . . . . .,« . ., ., .
Stochastic Processes 119
CHAPTER 9
Stochastic Processes in Discrete Time and Time Series Analysis 121
Stochastic Processes in Discrete Time 121
ARCH and GARCH Models 130
ARMA GARCH Illustration 133
References 140
CHAPTER 10
Stochastic Processes in Continuous Time 143
The Poisson Process 144
Brownian Motion 147
Stochastic Differential Equations 155
Levy Processes 156
References 158
Eneuwn ,. .,.,._.,. ., . . ,
Portfolio Selection 161
CHAPTER 11
Equity and Bond Return Distributions 163
Evidence from the U.S. Stock Market 163
Evidence from the U.S. Bond Market 167
References 178
CHAPTER 12
Risk Measures and Portfolio Selection 181
Desirable Features of Investment Risk Measures 181
Alternative Risk Measures for Portfolio Selection 185
References 194
CHAPTER 13
Risk Measures in Portfolio Optimization and Performance Measures 199
Efficient Frontiers and Return Distribution Assumption 200
Portfolio Optimization and Conditional Value at Risk versus
Value at Risk 203
Performance Measures 206
References 210
VH Contents
JjflinJEflllB. mjuu^
Risk Management 213
CHAPTER 14
Market Risk 215
Adoption of VaR for Measuring Market Risk 216
VaR and Bank Capital Requirements 218
Computation of VaR 222
Evaluation of VaR Methods: Strengths and Weaknesses 228
Stable Modeling of VaR 230
Alternative to VaR: Expected Tail Loss 239
References 246
Appendix: Coherent Risk Measures 249
CHAPTER 15
Credit Risk 253
Credit Risk 253
Credit Risk Framework for Banks: Basel I and Basel II 254
Overview of Credit Risk Modeling 256
Credit Risk Management Tools 263
An Integrated Market and Credit Risk Management Framework
Based on the Structural Approach 267
An Integrated Market and Credit Risk Management Framework
Based on the Intensity Based Model 272
Building An Econometric Model for the Intensity Based Model 276
References 278
CHAPTER 16
Operational Risk 283
Operational Risk Defined 283
Capital Requirement for Operational Risk 286
Comparison of Market, Credit, and Operational Risk Distributions 287
Aggregated Stochastic Models for Operational Risk 288
References 291
Option Pricing 293
CHAPTER 17
Introduction to Option Pricing and the Binomial Model 295
Options Contracts 295
Basic Components of the Option Price 297
Contents iX
Boundary Conditions for the Price of an Option 298
Discrete Time Option Pricing: Binomial Model 300
Convergence of the Binomial Model 312
References 316
CHAPTER 18
Black Scholes Option Pricing Model 319
Motivation 319
Black Scholes Formula 322
Computing a Call Option Price 323
Sensitivity of Option Price to a Change in Factors: The Greeks 325
Computing a Put Option Price 331
Assumptions Underlying the Black Scholes Model and
Basic Extensions 331
Black Scholes Model Applied to the Pricing of Options on Bonds:
Importance of Assumptions 334
References 336
CHAPTER 19
Extension of the Black Scholes Model and Alternative Approaches 337
The "Smile Effect" 337
Continuous Time Models 339
Discrete Time Models 345
References 349
INDEX 353 |
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| illustrated | Illustrated |
| index_date | 2024-07-02T13:17:34Z |
| indexdate | 2024-07-09T20:26:26Z |
| institution | BVB |
| isbn | 0471718866 9780471718864 |
| language | English |
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| physical | XIII, 369 graph. Darst. |
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| spelling | Račev, Svetlozar T. 1951- Verfasser (DE-588)12022979X aut Fat-tailed and skewed asset return distributions implications for risk management, portfolio selection, and option pricing Svetlozar T. Rachev ; Christian Menn ; Frank J. Fabozzi Fat tailed and skewed asset return distributions Hoboken, NJ Wiley 2005 XIII, 369 graph. Darst. txt rdacontent n rdamedia nc rdacarrier The Frank J. Fabozzi Series Kapitalertrag / Statistische Verteilung / Portfolio-Management / Risikomanagement / Optionspreistheorie Portfoliomanagement - Risikomanagement Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 s Risikomanagement (DE-588)4121590-4 s b DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014165487&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Račev, Svetlozar T. 1951- Fat-tailed and skewed asset return distributions implications for risk management, portfolio selection, and option pricing Kapitalertrag / Statistische Verteilung / Portfolio-Management / Risikomanagement / Optionspreistheorie Portfoliomanagement - Risikomanagement Portfoliomanagement (DE-588)4115601-8 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4115601-8 (DE-588)4121590-4 |
| title | Fat-tailed and skewed asset return distributions implications for risk management, portfolio selection, and option pricing |
| title_alt | Fat tailed and skewed asset return distributions |
| title_auth | Fat-tailed and skewed asset return distributions implications for risk management, portfolio selection, and option pricing |
| title_exact_search | Fat-tailed and skewed asset return distributions implications for risk management, portfolio selection, and option pricing |
| title_exact_search_txtP | Fat-tailed and skewed asset return distributions implications for risk management, portfolio selection, and option pricing |
| title_full | Fat-tailed and skewed asset return distributions implications for risk management, portfolio selection, and option pricing Svetlozar T. Rachev ; Christian Menn ; Frank J. Fabozzi |
| title_fullStr | Fat-tailed and skewed asset return distributions implications for risk management, portfolio selection, and option pricing Svetlozar T. Rachev ; Christian Menn ; Frank J. Fabozzi |
| title_full_unstemmed | Fat-tailed and skewed asset return distributions implications for risk management, portfolio selection, and option pricing Svetlozar T. Rachev ; Christian Menn ; Frank J. Fabozzi |
| title_short | Fat-tailed and skewed asset return distributions |
| title_sort | fat tailed and skewed asset return distributions implications for risk management portfolio selection and option pricing |
| title_sub | implications for risk management, portfolio selection, and option pricing |
| topic | Kapitalertrag / Statistische Verteilung / Portfolio-Management / Risikomanagement / Optionspreistheorie Portfoliomanagement - Risikomanagement Portfoliomanagement (DE-588)4115601-8 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Kapitalertrag / Statistische Verteilung / Portfolio-Management / Risikomanagement / Optionspreistheorie Portfoliomanagement - Risikomanagement Portfoliomanagement Risikomanagement |
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