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

Published
New York : Nova Publishers, [2014]
Physical Description
1 online resource : illustrations
Additional Creators
Worthington, Andrew C.
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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 Analysis5. 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 Factors2.3. 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., Abstract1. 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., and Chapter 7: A Combined Conceptual, Theoretical and Empirical Review of Credit-Scoring ModelsAbstract; 1. Introduction; 2. An Overview of Credit Scoring; 2.1. Definition; 2.2. Development of Credit Scoring; 2.3. Credit Scoring and Judgmental Systems; 2.4. Consumer and Small Business Credit Scoring; 2.5. Credit Scoring and Credit Ratings; 3. Credit-Scoring Approaches; 3.1. Parametric Statistical Approaches; Linear Probability Model; Probit Model; Logit Model; Discriminant Analysis Model; 3.2. Nonparametric Approaches; Recursive Partitioning Algorithm Approach; Nearest-Neighbors Approach.
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.
Subject(s)
ISBN
9781634631341 (ebook)
163463134X
9781634631112 (hardcover)
1634631110
Bibliography Note
Includes bibliographical references and index.
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