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Money market. Capital market --- Investment management --- Capital assets pricing model --- Portfolio management --- Uncertainty --- Modèle de fixation du prix des actifs --- Gestion de portefeuille --- Incertitude --- Capital assets pricing model. --- Portfolio management. --- Uncertainty. --- 657.42 --- 657.41 --- AA / International- internationaal --- 380.20 --- 305.91 --- 303.8 --- 332.6 --- Reasoning --- Investment analysis --- Investments --- Securities --- Capital asset pricing model --- CAPM (Capital assets pricing model) --- Pricing model, Capital assets --- Capital --- Finance --- Accounts of working, floating funds --- Capital accounts --- Prijstheorieën: algemeenheden. --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- Econometrische behandeling van een onderwerp. --- Mathematical models --- 657.41 Capital accounts --- 657.42 Accounts of working, floating funds --- Modèle de fixation du prix des actifs --- Econometrische behandeling van een onderwerp --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Prijstheorieën: algemeenheden

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CAPM (finance) --- Uncertainty --- Portfolio management --- 336.767 --- Capital assets pricing model --- AA / International- internationaal --- 380.20 --- 305.91 --- 303.8 --- 332.6 --- Reasoning --- Investment management --- Investment analysis --- Investments --- Securities --- Capital asset pricing model --- CAPM (Capital assets pricing model) --- Pricing model, Capital assets --- Capital --- Finance --- Investering. Belegging. Portfolio. Portfoliotheorie. --(toepassing voor kapitaalkosten in de onderneming zie {658.15}) --- Prijstheorieën: algemeenheden. --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- Econometrische behandeling van een onderwerp. --- Mathematical models --- Capital assets pricing model. --- Portfolio management. --- Uncertainty. --- 336.767 Investering. Belegging. Portfolio. Portfoliotheorie. --(toepassing voor kapitaalkosten in de onderneming zie {658.15}) --- Econometrische behandeling van een onderwerp --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Prijstheorieën: algemeenheden

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This book, based on the author's Clarendon Lectures in Finance, examines the empirical behaviour of corporate default risk. A new and unified statistical methodology for default prediction, based on stochastic intensity modeling, is explained and implemented with data on U.S. public corporations since 1980. Special attention is given to the measurement of correlation of default risk across firms. The underlying work was developed in a series of collaborations over roughly the past decade with Sanjiv Das, Andreas Eckner, Guillaume Horel, Nikunj Kapadia, Leandro Saita, and Ke Wang. Where possible, the content based on methodology has been separated from the substantive empirical findings, in order to provide access to the latter for those less focused on the mathematical foundations. A key finding is that corporate defaults are more clustered in time than would be suggested by their exposure to observable common or correlated risk factors. The methodology allows for hidden sources of default correlation, which are particularly important to include when estimating the likelihood that a portfolio of corporate loans will suffer large default losses. The data also reveal that a substantial amount of power for predicting the default of a corporation can be obtained from the firm's "distance to default," a volatility-adjusted measure of leverage that is the basis of the theoretical models of corporate debt pricing of Black, Scholes, and Merton. The findings are particularly relevant in the aftermath of the financial crisis, which revealed a lack of attention to the proper modelling of correlation of default risk across firms.

Corporate debt --- Debt financing (Corporations) --- Default (Finance) --- Risk --- Statistical methods --- AA / International- internationaal --- 305.8 --- 339.42 --- 658.47 --- Corporations --- -658.15 --- Business corporations --- C corporations --- Corporations, Business --- Corporations, Public --- Limited companies --- Publicly held corporations --- Publicly traded corporations --- Public limited companies --- Stock corporations --- Subchapter C corporations --- Business enterprises --- Corporate power --- Disincorporation --- Stocks --- Trusts, Industrial --- Finance --- Finance, Public --- Repudiation --- Econometrie van de investeringen, het gedrag van de onderneming. --- Financiële analyse. --- Fusies en liquidatie van ondernemingen. Concentratie. Sluiting. --- 658.15 --- Economics --- Uncertainty --- Probabilities --- Profit --- Risk-return relationships --- Debt --- Econometrie van de investeringen, het gedrag van de onderneming --- Financiële analyse --- Fusies en liquidatie van ondernemingen. Concentratie. Sluiting --- Corporate debt - United States - Statistical methods --- Debt financing (Corporations) - United States - Statistical methods --- Default (Finance) - United States - Statistical methods --- Risk - Statistical methods

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Dealer banks--that is, large banks that deal in securities and derivatives, such as J. P. Morgan and Goldman Sachs--are of a size and complexity that sharply distinguish them from typical commercial banks. When they fail, as we saw in the global financial crisis, they pose significant risks to our financial system and the world economy. How Big Banks Fail and What to Do about It examines how these banks collapse and how we can prevent the need to bail them out. In sharp, clinical detail, Darrell Duffie walks readers step-by-step through the mechanics of large-bank failures. He identifies where the cracks first appear when a dealer bank is weakened by severe trading losses, and demonstrates how the bank's relationships with its customers and business partners abruptly change when its solvency is threatened. As others seek to reduce their exposure to the dealer bank, the bank is forced to signal its strength by using up its slim stock of remaining liquid capital. Duffie shows how the key mechanisms in a dealer bank's collapse--such as Lehman Brothers' failure in 2008--derive from special institutional frameworks and regulations that influence the flight of short-term secured creditors, hedge-fund clients, derivatives counterparties, and most devastatingly, the loss of clearing and settlement services. How Big Banks Fail and What to Do about It reveals why today's regulatory and institutional frameworks for mitigating large-bank failures don't address the special risks to our financial system that are posed by dealer banks, and outlines the improvements in regulations and market institutions that are needed to address these systemic risks.

Bank failures. --- Bank failures --- Financial crises. --- Prevention. --- Crashes, Financial --- Crises, Financial --- Financial crashes --- Financial panics --- Panics (Finance) --- Stock exchange crashes --- Stock market panics --- Failure of banks --- Business failures --- Crises --- Financial crises --- Prevention --- E-books --- 333.481 --- 333.139.0 --- Monetaire crisissen, hervormingen, saneringen en stabilisering --- Controle en nationalisatie van de banken: algemeen --- 332.1 --- 333.130.2 --- 333.17 --- AA / International- internationaal --- Bankliquiditeit. Verplichte reserves. Solvabiliteit --- Crises, saneringen en hervormingen van het bankwezen --- Private finance --- United States --- United States of America

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