Globalization, Gating, and Risk Finance

An in-depth guide to global and risk finance based on financial models and data-based issues that confront global financial managers.
 
Globalization, Gating, and Risk Finance offers perspectives on global risk finance in a world with economies in transition. Developed from lectures and research projects investigating the consequences of globalization and strategic approaches to fundamental economics and finance, it provides an approach based on financial models and data; it includes many case-study problems. The book departs from the traditional macroeconomic and financial approaches to global and strategic risk finance, where economic power and geopolitical issues are intermingled to create complex and forward-looking financial systems.
 
Chapter coverage includes: Globalization: Economies in Collision; Data, Measurements, and Global Finance; Global Finance: Utility, Financial Consumption, and Asset Pricing; Macroeconomics, Foreign Exchange, and Global Finance; Foreign Exchange Models and Prices; Asia: Financial Environment and Risks; Financial Currency Pricing, Swaps, Derivatives, and Complete Markets; Credit Risk and International Debt; Globalization and Trade: A Changing World; and Compliance and Financial Regulation.
* Provides a framework for global financial and inclusive models, some of which are not commonly covered in other books.
* Considers risk management, utility, and utility-based multi-agent financial theories.
* Presents a theoretical framework to assist with a variety of problems ranging from derivatives and FX pricing to bond default to trade and strategic regulation.
* Provides detailed explanations and mathematical proofs to aid the readers' understanding.
 
Globalization, Gating, and Risk Finance is appropriate as a text for graduate students of global finance, general finance, financial engineering, and international economics, and for practitioners.

List of contents

Motivation xviii
 
About the Authors xxv
 
1 Globalization: Economies in Collision 1
 
Motivation 1
 
1.1 Introduction 1
 
1.2 Trend and Challenges in Global Finance 5
 
1.2.1 Global Finance and the 2007-2008 Financial Crisis 5
 
1.2.2 Geopolitics and Finance or Geo-Finance 7
 
1.2.3 Population Growth 9
 
1.2.4 Geo-Finance and Gating 9
 
1.2.5 Culture and Social Norms 10
 
1.2.6 Emerging Economies, Equalization, and Risks 11
 
1.2.7 Regulation and Politics 12
 
1.3 Global Finance and Trade in the Media and News 12
 
1.3.1 Taxing Foreign Returns When They Are Repatriated 12
 
1.3.2 Sovereign Gating and Protective Tariffs, Trade Defense 12
 
1.3.3 Global Insurance and Dependence 13
 
1.3.4 Finance and Politics 13
 
1.3.5 EU-US Regulation Risks in a Trans-Atlantic Market 13
 
1.3.6 Rare Earth and Strategic Trades 14
 
1.4 Global Risks 15
 
1.4.1 Factors Affecting Global Risks 15
 
1.4.2 Global Finance and Risk Theories 17
 
1.5 Global Finance and Swaps and Financial Products 18
 
1.6 Currencies and Liquidity 20
 
1.7 Foreign Exchange Regime and Markets, Global Payment, and Reserve Currency 23
 
1.7.1 Foreign Exchange Markets and Global Trade Currency 24
 
1.7.2 Exchange Rate Regimes 28
 
1.7.3 Foreign Exchange Reserve Currencies 29
 
1.7.4 Exchange Rate in Emerging Markets 30
 
1.8 Trade Incentives and Repressions 33
 
1.9 Historical Evolution 36
 
1.9.1 The Gold Standard System 36
 
1.9.2 The Bretton Woods Agreement 37
 
1.9.3 The Yuan Exchange Rate: An Example 38
 
1.10 Archaic and Modern Globalization: A Time Path 40
 
1.11 Discussions on Global Issues 44
 
References 46
 
2 Data, Measurements, and Global Finance 51
 
Motivation 51
 
2.1 Data and Models 51
 
2.1.1 National Accounts and Country-Specific Data 52
 
2.1.2 Financial Data 53
 
2.1.3 Corporate and Statistical Measurements 53
 
2.1.4 Big Data and Model-Less Finance 56
 
2.1.5 Technology and Financial Data 59
 
2.1.6 Transforming Data Management in Global Finance 60
 
2.2 Global Finance, Data Reduction, and Statistical Measurements 61
 
2.2.1 Moments 61
 
2.2.2 Skew and Kurtosis (Tails) 63
 
2.2.3 Outliers, Extreme Statistics, and Fat Tails 65
 
2.2.4 Extreme Risks 65
 
2.2.5 Time Series and Filtration 66
 
2.2.6 Dependence 67
 
2.2.7 Risk Exposure 75
 
2.3 Volatility and Implied Models Estimates 76
 
2.3.1 Simple Volatility Estimates 76
 
2.3.2 Implied Volatility 77
 
2.3.3 Moving Average and Autoregressive Moving Average Models 79
 
2.3.4 ARCH-GARCH Volatility Models 80
 
2.3.5 ARCH-GARCH Model: Empirical Evidence 82
 
2.4 Stochastic Models 86
 
2.4.1 The Constant Rate of Return Hypothesis 88
 
2.4.2 Autoregressive and Mean Reverting Models 90
 
2.5 Multivariate Probability Models 91
 
2.5.1 Bernoulli and Codependence: Qualitative Data 92
 
2.5.2 Multivariate Qualitative Data 93
 
2.5.3 Copulas and Multivariate Models 96
 
2.6 Statistical Data Reduction 100
 
2.7 Complexity: The Global Risk Finance Scourge 102
 
2.8 Discussion 103
 
References 104
 
3 Global Finance: Utility, Financial Consumption, and Asset Pricing 110
 
Motivation 110
 
3.1 Introduction: Financial Models and Pricing 110
 
3.1.1 The Walras-Arrow-Debreu Preference-Free Q Framework 111
&nb

About the author

UNURJARGAL NYAMBUU is a Professor of Economics in the Department of Social Science, New York City College of Technology (NYCCT), The City University of New York (CUNY), Brooklyn, NY. CHARLES S. TAPIERO is the Topfer Chair Distinguished Professor of Financial Engineering and Technology Management, Department of Finance and Risk Engineering, Tandon School of Engineering, New York University (NYU), Brooklyn, NY.

Summary

An in-depth guide to global and risk finance based on financial models and data-based issues that confront global financial managers.

Globalization, Gating, and Risk Finance offers perspectives on global risk finance in a world with economies in transition. Developed from lectures and research projects investigating the consequences of globalization and strategic approaches to fundamental economics and finance, it provides an approach based on financial models and data; it includes many case-study problems. The book departs from the traditional macroeconomic and financial approaches to global and strategic risk finance, where economic power and geopolitical issues are intermingled to create complex and forward-looking financial systems.

Chapter coverage includes: Globalization: Economies in Collision; Data, Measurements, and Global Finance; Global Finance: Utility, Financial Consumption, and Asset Pricing; Macroeconomics, Foreign Exchange, and Global Finance; Foreign Exchange Models and Prices; Asia: Financial Environment and Risks; Financial Currency Pricing, Swaps, Derivatives, and Complete Markets; Credit Risk and International Debt; Globalization and Trade: A Changing World; and Compliance and Financial Regulation.
* Provides a framework for global financial and inclusive models, some of which are not commonly covered in other books.
* Considers risk management, utility, and utility-based multi-agent financial theories.
* Presents a theoretical framework to assist with a variety of problems ranging from derivatives and FX pricing to bond default to trade and strategic regulation.
* Provides detailed explanations and mathematical proofs to aid the readers' understanding.

Globalization, Gating, and Risk Finance is appropriate as a text for graduate students of global finance, general finance, financial engineering, and international economics, and for practitioners.

Report

As we enter the third millennium, information technology--by crushing the cost of communications--is accelerating the globalization of manufacturing, commerce, and especially finance thereby morphing national financial markets into one huge, efficient global marketplace for capital. Indeed, the relentless rise of the digital cyber-economy is weakening the grip of the nation-state as government policies are subjected to a continuing referendum by financial markets. And yet diehard sovereigns are holding firmly to their prerogatives of having a national currency, a national regulatory framework, and a national tax code of their own and much more. Nyambuu and Tapiero's Globalization, Gating, and Risk Finance is a powerful recast of core international pricing models in a world of gated/segmented capital markets. It redefined risks and opportunities in a world of incomplete financial globalization, and is a must read for savvy financiers and their apprentices in their everlasting quest of exploitable capital market abnormalities and imperfections.
 
Laurent Jacque, Walter B. Wriston Professor of International Finance & Banking, The Fletcher School (Tufts University)
 

This book represents a major contribution to our understanding of the key issues currently facing the world economy and global financial markets. It can be highly recommended as a stand-alone textbook in international finance. It can also serve as an essential reference for both academics and practitioners interested in going beyond the standard approaches that assume market integration. This book is unique in providing both a lucid and rigorous exposure of the complexities of risk that pervade our world, where globalization is giving way to increased nationalism and protectionism. Lorne N. Switzer, Professor of Finance and the Van Berkom Endowed Chair in Small Cap Equities, John Molson School of Business (JMSB) at Concordia University, Montreal, Canada

Product details

• Authors: Cs Nyambuu, Unurjarga Nyambuu, Unurjargal Nyambuu, Unurjargal (New York City College of Tech Nyambuu, Unurjargal Tapiero Nyambuu, Nyambuu Unurjargal, Charles S Tapiero, Charles S. Tapiero, Tapiero Charles S.
• Publisher: Wiley, John and Sons Ltd
• Languages: English
• Product format: Hardback
• Released: 04.01.2018
• EAN: 9781119252658
• ISBN: 978-1-119-25265-8
• No. of pages: 496
• Subjects: Natural sciences, medicine, IT, technology > Mathematics; Social sciences, law, business > Business > Business administration; Statistik, Globalisierung, Mathematik, Statistics, Mathematics, Financial Engineering, Finance & Investments, Finanz- u. Anlagewesen, Finanztechnik, Statistics for Finance, Business & Economics, Finanz- u. Wirtschaftsstatistik, Mathematik in Wirtschaft u. Finanzwesen, Business & Finance