Applications in Finance, Investments, and Banking (Advances in Computational Economics, 9)

Technological, economic, and regulatory changes are some of the driving forces in the modern world of finance. For instance, financial markets now trade twenty-four hours a day and securities are increasingly being traded via real-time computer-based systems in contrast to trading floor-based systems. Equally important, new security forms and pricing models are coming into existence in response to changes in domestic and international regulatory action. Accounting and risk management systems now enable financial and investment firms to manage risk more efficiently while meeting regulatory concerns. The challenge for academics and practitioners alike is how to keep themselves, and others, current with these changing markets, as well as the technology and current investment and risk management tools. __Applications in Finance, Investments, and Banking__ offers presentations by twelve leading investment professionals and academics on a wide range of finance, investment and banking issues. Chapters include analysis of the basic foundations of financial analysis, as well as current approaches to managing risk. Presentations also include reviews of the means of measuring the volatility of the underlying return process and how investment performance measurement can be used to better understand the benefits of active management. Finally, articles also present advances in the pricing of the new financial assets (e.g., swaps), as well as the understanding of the factors (e.g., earnings estimates) affecting pricing of the traditional assets (e.g., stocks). __Applications in Finance, Investments, and Banking__ provides beneficial information to the understanding of both traditional and modern approaches of financial and investment management. Front Matter....Pages i-xv Advanced Applications in Finance: An Overview of Problems and Solution Techniques....Pages 1-19 Principles for the Control of Asset Liability Management Strategies in Banks and Insurance Companies....Pages 21-61 Asset & Liability Management: Regulatory Guidelines on Interest Rate Risk Control and Their Impacts on Financial Institutions....Pages 63-91 OTC Derivatives and the ‘Competitive Payments System’ Debate: The Lessons from History and Implications for a Supervisory Framework....Pages 93-157 A Unified Approach to Performance Attribution....Pages 159-196 Volatility....Pages 197-255 Diversifying Earnings Forecast Errors via Composites of Market-Based, Analyst and Time-Series Predictions....Pages 257-284 The Valuation of Cross-Currency Interest-Sensitive Claims with Application to “Diff” Swaps....Pages 285-333 Back Matter....Pages 335-335