A powerful, profitable, and elegantly simple system for traders Markets can be extraordinarily complex, and unfortunately most trading systems are too. The Big Trade presents a new system that helps filter out the noise. It leaves behind only meaningful signals you need to liste…
Introducing a revolutionary new quantitative approach to hybrid securities valuation and risk management To an equity trader they are shares. For the trader at the fixed income desk, they are bonds (after all, they pay coupons, so what's the problem?). They are hybrid securities…
In order to discuss developments in measurements of financial risk, a seminar on "Statistical and Computational Problems in Risk Management: VaR and Beyond VaR!" was held, co-sponsored by the University of Rome, La Sapienza, and the bank UBM of the UniCredito Group in the summer…
This title looks at changing managerial styles in business and the predominance of risk aversion behaviour over risk taking behaviour. The author explores the various reasons (regulation and media scrutiny among them) that corporations are becoming more timid and analyses the co…
Building upon the technical and organizational groundwork presented in the first edition, Risk Assessment and Decision Making in Business and Industry: A Practical Guide, Second Edition addresses the many aspects of risk/uncertainty (R/U) process implementation. This comprehensi…
Along with the extraordinary growth in the derivatives market over the last decade, the impact of model choice, and model parameter usage, has become a major source of valuation uncertainty. This book concentrates on equity derivatives and charts, step by step, how key assumptio…
This title uses advanced signal processing technology to measure and analyse risk phenomena of the financial markets. It explains how to scientifically measure, analyse and manage non-stationarity and long-term time dependence (long memory) of financial market returns. It studie…
In order for a bank to calculate whether it is likely to be profitable to make a loan to a company it is necessary to estimate the cost of making the loan. There are many risks involved and it is the successful management and calculation of those risks that will enable the bank …
Ever since the ERM crises of 1992-93 and the Mexican crisis of 1994-95, there has been a heightened interest in early-warning signals of financial crises. This study reviews the literature on the origins of currency and banking crises. It then presents a comprehensive battery of…
How investor expectations move markets and the economy The collapse of Lehman Brothers in September 2008 caught markets and regulators by surprise. Although the government rushed to rescue other financial institutions from a similar fate after Lehman, it could not prevent the de…
