Finance and Banking Developments.

Intro -- FINANCE AND BANKING DEVELOPMENTS -- FINANCE AND BANKING DEVELOPMENTS -- CONTENTS -- PREFACE -- Chapter 1CREDIT RATING MODELLINGBY NEURAL NETWORKS -- Abstract -- 1. Introduction -- 2. Credit Rating Modelling -- 2.1. Credit Rating Process -- 2.2. Credit Rating and Default Prediction -- 2.3. Corporate Credit Rating Modelling -- Statistical Methods -- Artificial Intelligence Methods -- 2.4. Municipal Credit Rating Modelling -- 3. Neural Networks for Classification -- 3.1. Classification Problem -- 3.2. Feed-Forward Neural Networks -- 3.3. Radial Basis Function Neural Networks -- 3.4. Probabilistic Neural Networks -- 3.5. Cascade Correlation Neural Networks -- 3.6. GMDH Polynomial Neural Networks -- 3.7. Support Vector Machines -- 4. Data Sets -- 4.1. Corporate Credit Rating Data -- 4.2. Municipal Credit Rating Data -- 5. Experimental Results -- 6. Conclusion -- Acknowledgements -- References -- Chapter 2 STICKY CREDIT SPREADS, MACROECONOMIC ACTIVITY AND EQUITY MARKET VOLATILITY -- Abstract -- Introduction -- I. Data Description -- II. Markov Switching Models and Credit Spreads -- A. Two Specifications of Markov Switching Models -- B. Cyclical Movement of Credit Spreads -- C. The Change of Credit Spreads -- D. Cyclical Movement in Macroeconomic Activity and Equity Volatility -- III. Correlation Between Cycles of Credit Spreads and the Industrial Output, and Equity Volatility -- A. Model Specification -- B. Credit Spreads and the Growth Rate of the Industrial Output -- C. Credit Spreads and Equity Volatility -- IV. Robustness Analysis -- V. Conclusion -- Appendix: Tables of Estimation Results over Sample Period 04/1953-07/2001 -- References -- Chapter 3PROFITABILITY DETERMINANTS:AN EMPIRICAL STUDY OF PORTUGUESE SMES -- Abstract -- 1. Introduction -- 2. Research Hypotheses -- 3. Methodology -- 3.1. Database -- 3.2. Variables.

3.3. Econometric Method -- 4. Results -- 4.1. Descriptive Statistics -- 4.2. Survival Analysis -- 4.3. Dynamic Estimators -- 5. Discussion of the Results -- 6. Conclusion -- References -- Chapter 4DERIVATIVES AND DEBT: THE MARKET AS GODAND MARKETING AS PROSELYTIZING -- Abstract -- 1. Introduction -- 2. Money &amp -- Value, Primitive &amp -- Modern -- 3. Magical Economic thought in the 20th Century -- 4. Risk and Cycles -- 5. Motivation: Need &amp -- Spirit -- 7. Productivity and a Standard of Living -- References -- Chapter 5ASSESSING HOUSEHOLD VULNERABILITYTO CLIMATE CHANGE: THE CASE OF FARMERSIN THE NILE BASIN OF ETHIOPIA -- Abstract -- 1. Introduction -- 2. Review of Literature -- 2.1. Definitions of Vulnerability -- 2.2. Approaches to Estimating Vulnerability -- 2.2.1. Indicator Approaches -- 2.2.2. Econometric Approaches -- 2.2.2.1. Vulnerability as Expected Poverty -- 2.2.2.2. Vulnerability as Low Expected Utility -- 2.2.2.3. Vulnerability as Uninsured Exposure to Risk -- 3. Empirical Model, Study Area and Data -- 3.1. Empirical Model -- 3.2. Study Area -- 3.3. Data -- 4. Results and Discussion -- 4.1. Descriptive Statistics -- 4.2. Model Results -- 5. Conclusions and Policy Implications -- Acknowledgments -- References -- Chapter 6THE EFFECTS OF ASYMMETRIC VOLATILITYSHOCKS ON EQUITY AND FOREIGN EXCHANGERATE INTERACTIONS -- Abstract -- 1. Introduction -- 2. Econometric Methodology -- 2.1. The Asymmetric BEKK Model -- 2.2. The Volatility Impulse Response Function -- 2.3. Data -- 3. Empirical Results -- 4. Conclusions -- References -- Chapter 7BANKING REGULATION AND PROCYCLICALIT -- Abstract -- 1. Introduction -- 2. About the Role of the Capital Buffer -- 3. Relationship between the Capital Buffer and the Output Gap -- 4. Comparative Analysis of Capital Buffer, Output Gapand Financial Structure in EMU -- 5. Conclusion -- References.

Chapter 8CAN A FINANCIAL INFORMATION DISTORTIONEVENT FACILITATE A REVISIONIN THE INDEPENDENT DIRECTORS INSTITUTION -- Abstract -- 1. Introduction -- 2. Hypotheses Development -- 3. Research Design -- 3.1. Sample Data -- 3.2. Variable Definition -- 3.3. Descriptive Statistics -- 4. Empirical Results -- 4.1. Changes in the Proportion of Listed Companies in which theIndependent Directors' Ratio Is Smaller than 1/3 -- 4.2. Change Range of Independent Directors' Ratio Analysis -- 5. Summaries and Conclusion -- Reference -- Chapter9MANAGERIALMETHODSTOCONTROLDERIVATIVESLOSSES -- Abstract -- 1.Introduction -- 2.CurrentManagerialMethods -- 3.Stop-LossesandDownsideRisk -- 4.SelectingtheAppropriateUnderlyings -- 5.Conclusion -- References -- Chapter10AsymptoticExpansionApproachesinFinance:ApplicationstoCurrencyOptions∗ -- Abstract -- 1.Introduction -- 2.PreliminaryMathematics -- 2.1.SomeNotationsandDefinitions -- 2.2.DefinitionsandExistenceofAsymptoticExpansions -- 3.AnAsymptoticExpansionApproach -- 3.1.AnAsymptoticExpansioninaGeneralMarkovianSetting -- 3.2.AnAsymptoticExpansioninaBlack-ScholesEconomy:aSimpleApplication -- 4.EuropeanCurrencyOptionswithaMarketModelofInterestRatesandStochasticVolatilityModelsofSpotExchange Rates -- 5.ApplicationsoftheAsymptoticExpansionApproachtoCurrencyOptions -- 5.1.AStandardScheme -- 5.2.AHybridScheme -- 5.2.1.APricingProblemRevisited -- 5.2.2.ATransformationoftheUnderlyingStochasticDi erentialEquations -- 5.2.3.ApproximatingtheCharacteristicFunctionbyanAsymptoticExpansion -- 5.2.4.ACharacteristic-function-basedMonteCarloSimulationwithanAsymptoticExpansion -- 6.NumericalExamples -- 6.1.ModelSpecification -- 6.2.ExaminationsofOurClosed-FormApproximationFormulas -- 6.3.CalibrationtotheMarket -- 6.4.VarianceReductionwiththeAsymptoticExpansion -- 7.Conclusion -- Acknowledgements -- References.

Chapter11ANANALYSISOFTHEDETERMINANTSOFCREDITDEFAULTSWAPSPREADCHANGESBEFOREANDDURINGTHESUBPRIMEFINANCIALTURMOIL -- Abstract -- 1.Introduction -- 2.AReviewoftheLiteratureonCreditSpreads -- 2.1.MainDeterminantsofCreditSpreads -- 2.2.EmpiricalStudies -- 3.MertonModel -- 4.Methodology -- 4.1.DataDescription -- 4.2.EmpiricalModelsandTestingMethodology -- 5.Results -- 5.1.ThePre-crisisPeriod -- 5.2.TheCrisisPeriod -- 5.3.FurtherAnalyses -- AnalysisbyLeverageQuartiles -- AnalysisbyEconomicSector -- AnalysisbyLiquidityChange -- 6.Conclusion -- References -- Chapter12THEEXPENSESPROBLEMOFPERSONALFINANCIALPLANNING -- Abstract -- 1.Introduction -- 2.RelatedWork -- 3.ExpensesProblemofPersonalFinancialPlanning -- 3.1.LiquidityConstraints -- 3.2.FinancialRatios -- 3.3.HeightPreferences -- 3.4.TypePreferences -- 3.5.TimePreferences -- 3.6.APreferenceBasedModelfortheExpensesProblemofPFP -- 4.NumericalExample -- 4.1.HeightPreferences -- 4.2.TypePreferences -- 4.3.TimePreferences -- 4.4.LinearProgramfortheExpensesProblemofPFP -- 4.5.DiscussingtheResults -- 5.Summary -- References -- Chapter13THESUBPRIMEMORTGAGECRISISANDITSCONNECTIONSWITHBANKBAILOUTS -- Abstract -- 1.Introduction -- 1.1.LiteratureReviewonSubprimeBankBailouts -- 1.2.PreliminariesaboutSubprimeBankBailouts -- 1.2.1.SubprimeBankBailoutAgents -- 1.2.2.SubprimeBankBailoutEvents -- 1.2.3.OR'sInvestmentinRMBSs -- 1.2.4.RisklessandRiskySubprimeRMLs -- 1.2.5.G'sSubsidyandItsLosses -- 1.2.6.SubgamePerfectNashEquilibrium -- 1.3.MainProblemsoftheChapter -- 2.DefaultingRMLsandSubprimeBankBailouts -- 2.1.BackgroundtoBankBailoutsintheDefaultingRMLCase -- 2.2.DefaultingRMLs:OR'sRMLExtensionsinPeriodtWhenItPurchasesToxicRMBSsinPeriodt+1 -- 2.3.DefaultingRMLs:ComparingSubsidyandRecapitalizationStrategies -- 2.4.DefaultingRMLs:VoluntaryParticipationinBankBailouts -- 3.RefinancingRMLsandSubprimeBankBailouts.

3.1.BackgroundtoBankBailoutsintheRefinancingRMLCase -- 3.2.RefinancingRMLs:OR'sRMLExtensionsinPeriodtWhenItPur-chasesToxicRMBSsinPeriodt+1 -- 3.3.RefinancingRMLs:ComparingSubsidyandRecapitalizationStrategies -- 3.4.RefinancingRMLs:VoluntaryParticipationinBankBailouts -- 4.FullyAmortizingRMLsandSubprimeBankBailouts -- 4.1.BackgroundtoBankBailoutsintheFullyAmortizingRMLCase -- 4.2.FullyAmortizingRMLs:OR'sRMLExtensionsinPeriodtWhenItPurchasesToxicRMBSsinPeriodt+1 -- 4.3.FullyAmortizingRMLs:ComparingSubsidyandRecapitalizationStrategies -- 4.4.FullyAmortizingRMLs:VoluntaryParticipationinBankBailouts -- 5.DiscussionofSubprimeBankBailouts -- 5.1.DefaultingRMLsandSubprimeBankBailouts -- 5.2.RefinancingRMLsandSubprimeBankBailouts -- 5.3.FullyAmortizingRMLsandSubprimeBankBailouts -- 6.2007-2009TimelineofSMC-relatedEventsPertainingtoSubprimeBankBailouts -- 6.1.2007-2009TimelineofEventsRelatedtoSubprimeBankBailouts -- 6.2.SpecificSubprimeBankBailoutEvents -- 6.2.1.BearSternsBailout -- 6.2.2.GoldmanSachsGroupInc.Bailout -- 6.2.3.MorganStanleyBailout -- 6.2.4.2008UnitedKingdomBankRescuePackage -- 6.2.5.2008CanadianBankBailout -- 6.2.6.SomeEuropeanBankBailouts -- 6.2.7.BankofAmericaBailout -- 7.ConclusionsandFutureDirections -- 7.1.Conclusions -- 7.2.FutureDirections -- 8.Appendices -- 8.1.ProofofProposition2.6 -- 8.2.ProofofProposition2.7 -- 8.3.ProofofProposition2.8 -- 8.4.ProofofProposition2.9 -- 8.5.ProofofProposition3.5 -- 8.6.ProofofProposition3.6 -- 8.7.ProofofProposition3.7 -- 8.8.ProofofProposition3.8 -- References -- INDEX -- Blank Page.

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Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2024. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.