Simulating Security Returns
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| Author | : Giovanni Barone Adesi |
| Publisher | : Springer |
| Total Pages | : 183 |
| Release | : 2014-10-14 |
| Genre | : Business & Economics |
| ISBN | : 1137465557 |
Practitioners in risk management are familiar with the use of the FHS (filtered historical simulation) to finding realistic simulations of security returns. This approach has become increasingly popular over the last fifteen years, as it is both flexible and reliable, and is now being accepted in the academic community. Simulating Security Returns is a useful guide for researchers, students, and practitioners. It uses the FHS approach to help simulate the returns of large portfolios of securities. While other simulation methods use the covariance matrix of security returns, which suffers the curse of dimensionality even for modest portfolios, Barone Adesi demonstrates how FHS can accurately adjust to current market conditions.
| Author | : Douglas W. Hubbard |
| Publisher | : John Wiley & Sons |
| Total Pages | : 304 |
| Release | : 2016-07-25 |
| Genre | : Business & Economics |
| ISBN | : 1119085292 |
A ground shaking exposé on the failure of popular cyber risk management methods How to Measure Anything in Cybersecurity Risk exposes the shortcomings of current "risk management" practices, and offers a series of improvement techniques that help you fill the holes and ramp up security. In his bestselling book How to Measure Anything, author Douglas W. Hubbard opened the business world's eyes to the critical need for better measurement. This book expands upon that premise and draws from The Failure of Risk Management to sound the alarm in the cybersecurity realm. Some of the field's premier risk management approaches actually create more risk than they mitigate, and questionable methods have been duplicated across industries and embedded in the products accepted as gospel. This book sheds light on these blatant risks, and provides alternate techniques that can help improve your current situation. You'll also learn which approaches are too risky to save, and are actually more damaging than a total lack of any security. Dangerous risk management methods abound; there is no industry more critically in need of solutions than cybersecurity. This book provides solutions where they exist, and advises when to change tracks entirely. Discover the shortcomings of cybersecurity's "best practices" Learn which risk management approaches actually create risk Improve your current practices with practical alterations Learn which methods are beyond saving, and worse than doing nothing Insightful and enlightening, this book will inspire a closer examination of your company's own risk management practices in the context of cybersecurity. The end goal is airtight data protection, so finding cracks in the vault is a positive thing—as long as you get there before the bad guys do. How to Measure Anything in Cybersecurity Risk is your guide to more robust protection through better quantitative processes, approaches, and techniques.
| Author | : Dessislava A. Pachamanova |
| Publisher | : John Wiley & Sons |
| Total Pages | : 786 |
| Release | : 2010-09-23 |
| Genre | : Business & Economics |
| ISBN | : 0470882123 |
An introduction to the theory and practice of financial simulation and optimization In recent years, there has been a notable increase in the use of simulation and optimization methods in the financial industry. Applications include portfolio allocation, risk management, pricing, and capital budgeting under uncertainty. This accessible guide provides an introduction to the simulation and optimization techniques most widely used in finance, while at the same time offering background on the financial concepts in these applications. In addition, it clarifies difficult concepts in traditional models of uncertainty in finance, and teaches you how to build models with software. It does this by reviewing current simulation and optimization methodology-along with available software-and proceeds with portfolio risk management, modeling of random processes, pricing of financial derivatives, and real options applications. Contains a unique combination of finance theory and rigorous mathematical modeling emphasizing a hands-on approach through implementation with software Highlights not only classical applications, but also more recent developments, such as pricing of mortgage-backed securities Includes models and code in both spreadsheet-based software (@RISK, Solver, Evolver, VBA) and mathematical modeling software (MATLAB) Filled with in-depth insights and practical advice, Simulation and Optimization Modeling in Finance offers essential guidance on some of the most important topics in financial management.
| Author | : Richard Horwitz |
| Publisher | : John Wiley & Sons |
| Total Pages | : 310 |
| Release | : 2007-07-01 |
| Genre | : Business & Economics |
| ISBN | : 9781576602577 |
In the constantly evolving hedge fund marketplace, nothing is more central--but in many ways, more amorphous and elusive--than risk. Yet there remains no standard for analyzing and measuring risk within this highly secretive, largely unregulated field, leaving the thousands of hedge funds--and the tens of thousands of hedge fund investors--in dangerously dim light. The industry has not solved the "transparency" challenge--communicating risk to investors without disclosing proprietary information. Hedge Fund Risk Fundamentals is the first book to bring these issues to the forefront. With clarity, concision, and minimal math, Richard Horwitz lays out the key components and the cutting-edge processes in the field of hedge fund risk management today. Against that backdrop, he presents a groundbreaking utility destined to set the standard for transparency and risk management within the hedge fund universe. You’ll learn why, when it comes to risk management, 1 + 1 = 1.41. For all of those perplexed by the difficulties of assessing risk in hedge fund investing, Horwitz’s concepts make for an invaluable road map and a demystifying resource that hedge funds and investors at all levels will find indispensable.
| Author | : Jeffrey R. Brown |
| Publisher | : University of Chicago Press |
| Total Pages | : 473 |
| Release | : 2009-12-15 |
| Genre | : Business & Economics |
| ISBN | : 0226076504 |
Social Security Policy in a Changing Environment analyzes the changing economic and demographic environment in which social insurance programs that benefit elderly households will operate. It also explores how these ongoing trends will affect future beneficiaries, under both the current social security program and potential reform options. In this volume, an esteemed group of economists probes the challenge posed to Social Security by an aging population. The researchers examine trends in private sector retirement saving and health care costs, as well as the uncertain nature of future demographic, economic, and social trends—including marriage and divorce rates and female participation in the labor force. Recognizing the ambiguity of the environment in which the Social Security system must operate and evolve, this landmark book explores factors that policymakers must consider in designing policies that are resilient enough to survive in an economically and demographically uncertain society.
| Author | : Mayolo Alberto López Castellanos |
| Publisher | : BoD – Books on Demand |
| Total Pages | : 298 |
| Release | : 2012 |
| Genre | : Business & Economics |
| ISBN | : 3844102094 |
In today's global business environment, the intense competition, the changing and uncertain conditions, and the increasing customer's requirements are challenges for the companies' operational efficiency and profitability. In this context, companies highlight the importance of supply chain design and its holistic understanding in order to achieve and sustain competitive strengths. This book analyses supply chains as complex systems, whose performance is characterized by their structural configuration and emergent behaviour. The author analyses the supply chain structure and behaviour within the scope of complexity science. He focuses on supply chain complexity by means of a literature review and an empirical research, which give insights into the impact of complexity on supply chain performance. Moreover, within this book the supply chain is modelled as a complex system by considering the non-linear relationships of its geo-positioned elements. Finally, an agent based model is developed for the generic supply chain simulation, which allows assessing the impact of complexity on supply chain performance and characterizing the behaviour of supply chain designs. The materials presented in this book contribute to the understanding and management of supply chain complexity. This work complements existing complexity frameworks with a holistic analysis of complexity's impact on the performance of supply chain participants and their network. The findings of this work are relevant for researchers interested in characterizing supply chain phenomena by enabling them to model supply chain structures and to simulate their emergent behaviour. Practitioners can benefit from the provided model and simulation platform by allowing them to dynamically assess the performance of their supply chain designs and strategy definitions. By these means, they improve their decision-making and business profitability. In all, this book contributes towards the development of artificial intellig
| Author | : Doo-Kwon Baik |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 747 |
| Release | : 2005-01-31 |
| Genre | : Business & Economics |
| ISBN | : 3540244778 |
This book constitutes the refereed post-proceedings of the third Asian Simulation Conference, AsiaSim 2004, held in Jeju Island, Korea in October 2004. The 78 revised full papers presented together with 2 invited keynote papers were carefully reviewed and selected from 178 submissions; after the conference, the papers went through another round of revision. The papers are organized in topical sections on modeling and simulation methodology, manufacturing, aerospace simulation, military simulation, medical simulation, general applications, network simulation and modeling, e-business simulation, numerical simulation, traffic simulation, transportation, virtual reality, engineering applications, and DEVS modeling and simulation.
| Author | : David Jamieson Bolder |
| Publisher | : Springer |
| Total Pages | : 559 |
| Release | : 2015-02-02 |
| Genre | : Business & Economics |
| ISBN | : 3319126679 |
The book offers a detailed, robust, and consistent framework for the joint consideration of portfolio exposure, risk, and performance across a wide range of underlying fixed-income instruments and risk factors. Through extensive use of practical examples, the author also highlights the necessary technical tools and the common pitfalls that arise when working in this area. Finally, the book discusses tools for testing the reasonableness of the key analytics to help build and maintain confidence for using these techniques in day-to-day decision making. This will be of keen interest to risk managers, analysts and asset managers responsible for fixed-income portfolios.
| Author | : Marida Bertocchi |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 306 |
| Release | : 2012-12-06 |
| Genre | : Business & Economics |
| ISBN | : 3642517307 |
Shown is the application of up-to-date techniques for measuring efficiency, information imperfection and predictability in financial markets. Moreover, trading strategies in commodity future markets, models for the evolution of interest rates and postoptimality analysis in portfolio management are given. A couple of conceptual papers on modelling preference relations are also included.
| Author | : Mark P. Kritzman |
| Publisher | : John Wiley & Sons |
| Total Pages | : 274 |
| Release | : 2003-09-29 |
| Genre | : Business & Economics |
| ISBN | : 0471267600 |
Financial professionals are faced with increasingly technical topics that are theoretically complicated but practically necessary in determining the trade-off between risk and return. The Portable Financial Analyst, Second Edition is a unique collection of essays that address the heart of every analyst's and investor's dilemma: how to make decisions in the face of unknown forces and how to assert some control over the outcome
