Financial Modelling

This book contains a selection of the papers presented at the 24th Meeting of the Euro Working Group on Financial Modelling held in Valencia, Spain, on April 8-10, 1.999. The Meeting took place in the Bancaja Cultural Center, a nice palace of the XIX century, located in the center of the city. Traditionally, members of the Euro Working Group on Financial Mod­ elling meet twice a year, hosted by different active groups in successions. The year 1999 was very special for us because the University of Valencia celebrates its fifth century. The Meeting was very well attended and of high quality. More than 90 participants, coming from 20 different countries debated 46 communications in regular sessions. The opening lecture was given by Prof. H. White, from the University of California, San Diego. The topics discussed were classified in nine sessions: Financial Theory, Financial Time Series, Risk Analysis, Portfolio Analysis, Financial Institu­ tions, Microstructures Market and Corporate Finance, Methods in Finance, Models in Finance and Derivatives. The papers collected in this volume provide a representative but not com­ plete sample of the fields where the members of the working group develop their scientific activity. The papers are a sample of this activity, and consist of theoretical papers as well as empirical ones.

Inhalt

J. Barle, A. Zunic. On the Use of Credit Rating Migration Matrices: Introduction; Credit Rating Migration Matrices; Some Applications of Credit Rating Migration Matrices; Conclusions; References.- L. Becchetti, L. Cavallo: Do Stock Market Anomalies Disappear? The Example of Small Size and Market-to-book Premia at the London Stock Exchange: Introduction; Descriptive Evidence; Testing the Stability of Risk Adjusted Premia; Empirical Findings; Conclusions; References.- J. Belaire, D. Contreras: Testing Independence: A New Approach: Introduction; Independence Tests (I) and (II); Properties; Chaotic Variance Models; Empirical Application; Concluding Comments; References.- M. Bonilla, P. Marco, I. Olmeda: Forecasting Exchange Rate Volatilities Using Artificial Neural Networks: Introduction; A Short Introduction to ANNs; Parametric Models of Volatility; Conclusions; References.- M. Bonilla, I. Olmeda, R. Puertas: An Application of Hybrid Models in Credit Scoring: Introdcution; Parametric vs. Nonparametric Models; Database and Results; Conclusions; References.- R. Caballero, J.M. Cabello, A. Cano, F. Ruiz: Portfolio Selection Via Goal Programming: Introduction; Program; Simulations; Conclusions; References.- J.D. Cabedo, I. Moya: ARCH Factor: A New Methodology to Estimate Value at Risk: Introduction; Value at Risk Calculation; ARCH Factor Methodology; VaR Evaluation Procedure; ARCH Factor Methodology and Evaluation Procedure Implementation; Concluding Remarks; References.- T. Casasús, J.C. Pérez: A Problem of Optimization in a Case of Foreign Investment: Introduction; The Model; Conclusions; Simulations; Simulation Conclusions; Appendix; References.- R. Castellano, R. Giacometti: Improving Portfolio Performances Using Options Strategies: Introduction; The GeneralFramework; The Data; Empirical Results; Portfolio Performances Evaluation; Concluding Remarks; References.- L. Cavallo, S.P.S. Rossi: An X-Efficiency Analysis of Different Banking Organizational Types in Europe: Introduction; Methodological Issues; Data and Variables Description; Model Specification; Empirical Findings; Conclusion; References.- G. Figá-Talamanca, M.L. Guerra: Towrads a Coherent Volatility Pricing Model: An Empirical Comparison: Volatility Models; Estimation's Methodologies; Numerical Results: A Comparison; References.- R.L. Giles: Direction Indicators in Financial Modelling: Introduction; Market Efficiency and Long Memory Processes; Formalising Technical Analysis; Appropriate Technical Analysis Methods; Emprical Results; Conclusions; References.- J.C. Gómez Sala: Stock-Split Ex-Dates: Evidence from the Spanish Stock Market: Introduction; Sample and Data; The Movement in Prices around the Split Ex-Date; The Solit Factor; The Effect of the Bid-Ask Spread on the Abnormal Returns, Conclusions; References.- A. Groenendijk, J. Spronk: Portfolio Performance Through the Eyes of Monkeys: Introduction; A General Framework for Performance Evaluation; The Set of All Possible Frameworks; Illustration: Free Monkeys against the Amsterdam Exchanges (AEX); Index; Use of the Framework for Different Purposes; Conclusions; References.- A. Gottschling, C. Kreuter: Approximation Properties of the Neuro-Fuzzy Minimum Function: Introduction Universal Approximation; Characteristics of the Fuzzy Minimum System; A Differentiable Quasi-Minimum Function; Conclusions, References.- K. Hellwig, G. Speckbacher, P. Wentges: A Stakeholder Approach to the Valuation of Corporate Cash Flows: Introduction; The Assumption of Perfect and Complete Capital