ACCOUNTING THEORY UNDERLYING FINANCIAL ACCOUNTING

The theory of financial intermediation: An essay on what it does (not) explain

 The theory of financial intermediation: An essay on what it does (not) explain
... on the bank as a coalition of depositors, of Akerlof (1970) and Leland and Pyle (1977) on the bank as an information sharing coalition, and of Diamond (1984) on the bank as delegated ( ) monitor, ... by a further extension of the present theory, by the framework of the agency theory and the theory of asymmetric information The question goes into the heart of the present theory, into the paradigm ... on the merits of the present theory of financial intermediation, on what it does and does not explain from both a practical and a theoretical point of view The theory is impressive by the multitude...
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Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 1 pot

Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 1 pot
... iii Head Financial Engineering Principles A Unified Theory for Financial Product Analysis and Valuation Perry H Beaumont, PhD John Wiley & Sons, Inc TLFeBOOK TLFeBOOK Financial Engineering ... ONE Products, Cash Flows, and Credits CHAPTER Products CHAPTER Cash Flows 15 CHAPTER Credit 73 PART TWO Financial Engineering, Risk Management, and Market Environment 11 1 CHAPTER Financial Engineering ... Wiley products, visit our web site at www.wiley.com Library of Congress Cataloging-in-Publication Data Beaumont, Perry H., 19 6 1Financial engineering principles: a unified theory for financial product...
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Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 2 ppt

Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 2 ppt
... $60 >2 11 ϩ 6% >22 ϩ $60 >2 11 ϩ 6% >22 ϩ ϩ $60 >2 11 ϩ 6% >22 $60 >2 & $1,000 11 ϩ 6% >22 ϭ $1,000 If yield should happen to drop to percent after initial launch, the coupon rate remains at percent and ... TLFeBOOK 22 PRODUCTS, CASH FLOWS, AND CREDIT ($60 /2) &$1,000 + $60 /2 + $60 /2 (1 + 6% /2) 4 (1 + 6% /2) 3 (1 + 6% /2) 2 + $60 /2 = $1,000 (1 + 6% /2) 1 Yield 6% 12 18 Reinvestment period (months) FIGURE 2. 5 Reinvestment ... coupon means that we are demanding a higher Y as well To transform the formula for a two-year Treasury— Price ϭ ϩ C C ϩ 11 ϩ Y >22 11 ϩ Y >22 C C&F ϩ ϭ $1,000 11 ϩ Y >22 11 ϩ Y >22 from something that...
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Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 3 potx

Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 3 potx
... S TLFeBOOK 64 PRODUCTS, CASH FLOWS, AND CREDIT SUMMARY ON BONDS, EQUITIES, AND CURRENCIES For bonds, equities, and currencies, the formula for an option’s valuation is the same For a call option ... purchaser of a forward does not receive the cash flows paid over the life of the forward and ought not to pay for them Time Date forward is purchased Date forward expires and previously agreed forward ... 2. 23 reinforces the interrelationships among spot, forwards and futures, and options Chapter adds the next layer of credit and shows how credit is greatly influenced by products (Chapter 1) and...
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Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 4 docx

Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 4 docx
... a credit market for one rather narrow segment of all credit products While correlations between the swap market (and its underlying link to banks and financial institutions) and other credit ... investors may demand less of a risk premium for buying a financial product that comes with guarantees) and the possibility of reaching more potential investors by structuring its product in such ... more desirable credit profile for its financial products is with the creative use of another entity’s capital structure For example, if an issuer creates a financial product requiring certain inputs...
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Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 5 ppt

Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 5 ppt
... values for S and R ϪSRT with values unchanged for S and R ϪSRT with decreasing values for S and R O O Trade date Expiration date FIGURE 4.2 Three scenarios for the value of carry TLFeBOOK 118 FINANCIAL ... matter for how portfolios are constructed and managed Chapter explores how credit and other risks can be quantified and managed TLFeBOOK TLFeBOOK PART TWO Financial Engineering, Risk Management, and ... triangles of products, cash flows, and credit Consider how other products might be placed in such a three-dimensional context, not only as an academic exercise to reinforce an understanding of financial...
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Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 6 docx

Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 6 docx
... very practical or realistic for mortgage products For example, a typical home mortgage is a 30-year fixed-rate product This type of product has been around for some time, and some useful data have ... prepayment patterns for the first several years in the life of an MBS and has proven to be a standard for comparing various MBSs Figure 4. 16 shows theoretical principal and coupon cash flows for a percent ... floor level for prices TLFeBOOK 148 FINANCIAL ENGINEERING, RISK MANAGEMENT, AND MARKET ENVIRONMENT Spot Bond = Credit-enhanced bond Forward Currency swap FIGURE 4.25 Use of spot and forwards to...
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Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 7 pps

Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 7 pps
... Equation Difference 76 .1448 81. 072 4 86.4398 92.29 17 98.0996 105.6525 113. 277 7 121.6210 130 .75 82 71 . 573 5 78 .2050 84.8365 91.4681 98.0996 104 .73 11 111.32 27 1 17. 9942 124.62 57 4. 571 3 2.8 674 1.6033 0.8236 ... Equation 76 .1448 81. 072 4 86.4398 92.29 17 98.0996 105.6525 113. 277 7 121.6210 130 .75 82 Price plus Accrued Interest, Duration and Convexity Equation Difference 76 .2541 80.8 378 86.00 67 91 .76 06 98.0996 ... 5.9344 6.9344 7. 9344 8.9344 9.9344 3. 676 3 3. 676 3 3.4009 3. 271 0 3.1461 3.0259 2.9104 2 .79 92 2.6923 70 .5111 98.9690 3.4352 6.8399 9. 979 6 12.8694 15.5240 17. 9 571 20.18 17 22.2102 24.0544 70 0.4868 833.5384...
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Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 8 pptx

Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 8 pptx
... they buy and sell As these security types expand beyond traditional spot and forward cash flows and increasingly make their way into options and various hybrids, the price discovery process for credit ... classifications For example, RAROC (risk-adjusted return on capital) is used for risk analysis and project evaluation where a higher net return is required for a riskier project than for a less risky ... Treasury bill (and pocket the difference between the two rates) Parenthetically, it is entirely possible to price a forward on a forward basis and price an option on a forward basis For example,...
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Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 9 pps

Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 9 pps
... true for an option on the underlying spot Figure 5.31 repeats the illustrations for spot, forwards and futures, and options from Chapter TLFeBOOK 228 FINANCIAL ENGINEERING, RISK MANAGEMENT, AND ... with these products relative to bonds (The standard deviation of price tends to be lowest for bonds, higher for equities, and higher again for currencies.) TLFeBOOK 236 FINANCIAL ENGINEERING, ... 246 FINANCIAL ENGINEERING, RISK MANAGEMENT, AND MARKET ENVIRONMENT Loan Bank and Farm credit, for instance) relative to the corporate security is 26 bps for three-month instruments and bps for...
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Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 10 pptx

Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 10 pptx
... Securities Forward exchange rates, Forward formulas, 53t Forward leaps, 40 Forward points, 50t Forward price, 214 strike price, contrast, 208 Forward rates, 44t Forward settlement, 33 Forward spread ... interrelationships, 61f Forward transaction, 124f See also Offsetting forward transaction Forward yields, spot yields (convergence), 191f Forward-dated option, 199 Forward-forward arrangement, 196 Forward/future ... vehicles and manufactured housing LTV up to 100 %; senior or subordinate; and rated BBB– or better LTV over 100 % or rated below BBB– Commercial or multifamily (not real estate secured) and and equipment...
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Portfolio Theory and Financial Analyses Exercises

Portfolio Theory and Financial Analyses Exercises
... Robert Alan Hill Portfolio Theory & Financial Analyses Exercises Download free eBooks at bookboon.com Portfolio Theory & Financial Analyses: Exercises 1st edition © 2010 Robert ... Theory & Financial Analyses: Exercises Contents Exercise 2.3: Correlation and Risk Reduction Summary and Conclusions 22 he Optimum Portfolio 23 Introduction 23 Exercise 3.1: Two-Asset Portfolio Risk ... specialists and contribute to inluencing our future Come and join us in reinventing light every day Light is OSRAM Download free eBooks at bookboon.com Click on the ad to read more Portfolio Theory & Financial...
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