Encyclopedia of Financial Models, Volume II

Frank J. Fabozzi

• Publisher: Wiley
• Year: 2012
• Print ISBN: 9781118010334
• eBook ISBN: 9781118539682
• Edition: 1
• Topic: Business
• Subtopic: Finance
• Index: Business

Volume 2 of the Encyclopedia of Financial Models

The need for serious coverage of financial modeling has never been greater, especially with the size, diversity, and efficiency of modern capital markets. With this in mind, the Encyclopedia of Financial Models has been created to help a broad spectrum of individuals—ranging from finance professionals to academics and students—understand financial modeling and make use of the various models currently available.

Incorporating timely research and in-depth analysis, Volume 2 of the Encyclopedia of Financial Models covers both established and cutting-edge models and discusses their real-world applications. Edited by Frank Fabozzi, this volume includes contributions from global financial experts as well as academics with extensive consulting experience in this field. Organized alphabetically by category, this reliable resource consists of forty-four informative entries and provides readers with a balanced understanding of today's dynamic world of financial modeling.

• Volume 2 explores Equity Models and Valuation, Factor Models for Portfolio Construction, Financial Econometrics, Financial Modeling Principles, Financial Statements Analysis, Finite Mathematics for Financial Modeling, and Model Risk and Selection
• Emphasizes both technical and implementation issues, providing researchers, educators, students, and practitioners with the necessary background to deal with issues related to financial modeling
• The 3-Volume Set contains coverage of the fundamentals and advances in financial modeling and provides the mathematical and statistical techniques needed to develop and test financial models

Financial models have become increasingly commonplace, as well as complex. They are essential in a wide range of financial endeavors, and the Encyclopedia of Financial Models will help put them in perspective.

Index

Absence of arbitrage principle, I:, I:. See also arbitrage, absence of

ABS/MBS (asset-backed securities/mortgage-backed securities), I:, I:

cash flow of, III:

comparisons to Treasury securities, III:

modeling for, III:

Accounting, II:, II:

Accounting firms, watchdog function of, II:

Accounts receivable turnover ratio, II:

Active-passive decomposition model, III:, III:, III:

Activity ratios, II:, II:

Adapted mesh, one year to maturity, II:

Adjustable rate mortgages (ARMs). See ARMs (adjustable rate mortgages)

Adjustments for changes in net working capital (ANWC), II:

Adverse selection, III:

Affine models, III:

Affine process, basic, I:, I:

Agency ratings, and model risk, II:

Airline stocks, II:, II:, II:, II:

Akaike Information Criterion (AIC), II:, II:

Algorithmic trading, II:

Algorithms, II:, II:, III:

Allied Products Corp., cash flow of, II:

α-stable densities, III:, III:

α-stable distributions

defined, II:

discussion of, III:

fitting techniques for, II:

properties of, II:

simulations for, II:

subordinated representation of, II:

usefulness of, III:

and VaR, II:

variables with, II:

α-stable process, III:

Alternative risk measures

proposed, III:

Amazon.com

cash flows of, II:, II:

American International Group (AIG), stock prices of, III:

Amortization, II:, III:

Analysis

and Barra model, II:

bias in, II:

common-size, II:

crisis-scenario, III:

to determine integration, II:

formulas for quality, II:

fundamental, II:, II:, II:

interpretation of results, III:

mathematical, I:

model-generated, III:

...

Table of contents

• Cover
• Title Page
• Copyright
• About the Editor
• Contributors
• Preface
• Guide to the Encyclopedia of Financial Models
• Equity Models and Valuation
• Factor Models for Portfolio Construction
• Financial Econometrics
• Financial Modeling Principles
• Financial Statement Analysis
• Finite Mathematics for Financial Modeling
• Model Risk and Selection
• Index