The Handbook of Post Crisis Financial Modelling

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The Handbook of Post Crisis Financial Modelling
Palgrave Macmillan UK | Finance & Banking | 2016 | ISBN-10: 1137494484 | 316 pages | pdf | 2.29 mb

Editors: Haven, E., Molyneux, P., Wilson, J., Fedotov, S., Duygun, M. (Eds.)
Following the 2008 financial crisis many questioned the academic community's role in predicting the events that had unfolded, impacting heavily on the public's perception of the role of finance in society. Prior to the crisis, very little research existed to model events as extreme as those which occurred during the crisis. There is now greater interest in extreme event modeling than at any other time in history and, in addition, many facets of mainstream finance have evolved since the crisis.
This unique handbook brings together original research from leading practitioners and academics in the fields of banking, finance and financial history to explore key issues affecting financial modeling since the 2008 financial crisis. It offers theoretical, empirical, policy and practical insights into many of the key themes involved in the calibration of essential economic and financial variables that are used to model crises. The book begins by offering a historical context to the events, before moving on to discuss the role of central banks, governments, policy-making, the costs of bail-outs and the ‘too-big-to-fail' controversy. The authors offer an analysis on the link between efficiency and bank safety, the role of ‘minimal assumptions' in modeling and the private information price of risk (PIPR). They conclude by addressing the use of specific models and possible approaches to macroeconomic modeling for the future.

Topics
Finance, general
Business Mathematics
Econometrics
Banking
Financial Engineering

9781137494481
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