Economic and financial modeling of markets, institutions and instruments / Andrew C. Worthington, editor.

Format:

Book

Contributor:

Worthington, Andrew C., editor.

Series:

Business issues, competition and entrepreneurship series.

Business issues, competition and entrepreneurship

Language:

English

Subjects (All):

Finance--Mathematical models.

Finance.

Finance--Econometric models.

Capital market.

Physical Description:

1 online resource (288 p.)

Place of Publication:

Hauppauge, New York : Nova Science Publishers, Inc., [2014]

Language Note:

English

Summary:

A model is a simplified representation of a real object or situation that facilitates our understanding and manipulation of the real thing. Models are therefore pervasive, not only in the everyday world, but in academic, industry and government research for the purpose of solving problems and making decisions. The cases addressed in this volume share a common focus in the use of economic and financial modeling techniques, but concern a wide variety of markets, institutions, and instruments. Each of the chapters illustrates well the complexity of modeling and some of the challenges faced when t

Contents:

""ECONOMIC AND FINANCIAL MODELING OF MARKETS, INSTITUTIONS AND INSTRUMENTS""; ""ECONOMIC AND FINANCIAL MODELING OF MARKETS, INSTITUTIONS AND INSTRUMENTS""; ""Library of Congress Cataloging-in-Publication Data""; ""Contents""; ""Chapter 1: Introduction to the Economic and Financial Modeling of Markets, Institutions and Instruments""; ""Chapter 2: Modeling the Pricing of Initial Public Offerings""; ""Abstract""; ""1. Introduction""; ""2. Thai IPO market""; ""3. Review of the Literature""; ""4. Methodology""; ""4.1. Sample Selection and Data Sources""; ""4.2. Measures of Underpricing""

""4.3. Measures of Aftermarket Performance""""4.4. Regression Analysis""; ""5. Empirical Results""; ""5.1. Underpricing""; ""5.2. Aftermarket Performance""; ""5.3. Regression Analysis""; ""Conclusion""; ""Chapter 3: Trading/Trading-Restricted and Business/Nonbusiness Days in Market Return Models""; ""Abstract""; ""1. Introduction""; ""2. Literature Review""; ""2.1. Settlement and Clearing Hypothesis""; ""2.2. Holiday Effects""; ""2.3. Individual vs. Institutional Hypothesis""; ""3. Data and Method""; ""4. Empirical Results""; ""Conclusion""

""Chapter 4: The Theory and Practice of Credit Risk Modeling""""Abstract""; ""1. Introduction""; ""2. The Structure of Credit Decisions""; ""2.1. External Factors""; ""2.2. Internal Factors""; ""2.3. Borrower-Specific Factors""; ""3. Concept of Credit Risk""; ""4. Credit Risk Analysis""; ""4.1. Expert Systems""; ""4.2. Risk Premium Analysis""; ""4.3. Econometrics""; ""4.4. Hybrid Systems""; ""Expected Default Frequency""; ""5. Credit Risk Modeling""; ""5.1. Credit Ratings""; ""5.2. Portfolio Models""; ""Structural Models""; ""Moody�s-KMV Portfolio Manager""

""Risk Metrics Group�s Credit Manager""""Macro Factor Models""; ""McKinsey�s Credit Portfolio View""; ""Actuarial Models Including Credit Risk+""; ""Comparison of Portfolio Models""; ""Conclusion""; ""Chapter 5: Modeling Firm-Specific Determinants of Initial Public Offerings""; ""Abstract""; ""1. Introduction""; ""2. Thai IPO process""; ""3. Prior Research""; ""4. Sample and Method""; ""4.1. Sample""; ""4.2. Explanatory Variables""; ""4.3. Estimation Technique""; ""5. Empirical Results""; ""5.1. Determinants of IPOs""; ""5.2. The Outcomes of IPOs""; ""Conclusion""; ""References""

""Chapter 6: Models of Political Cycles and Market Risk and Return""""Abstract""; ""1. Introduction""; ""2. Literature Review""; ""3. Recent Australian Political History""; ""4. Research Method and Data""; ""5. Empirical Results""; ""5.1. Parametric Tests of Mean Return Differences""; ""5.2. Regression-Based Analysis of the Political Cycle and Election Effects""; ""Conclusion""; ""Chapter 7: A Combined Conceptual, Theoretical and Empirical Review of Credit-Scoring Models""; ""Abstract""; ""1. Introduction""; ""2. An Overview of Credit Scoring""; ""2.1. Definition""

""2.2. Development of Credit Scoring""

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

Description based on print version record.

ISBN:

1-63463-134-X

OCLC:

894667934