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Results for “valuation” · papers 1 · wiki 25
Academic Papers · 1arXiv q-fin live 0 · desk corpus 1
arXiv · arXiv · 2026

Data-Driven Duration Management -- Term Structure Forecasting Using Machine Learning

This paper compares different methods for forecasting the term structure of U.S. and European zero-coupon government bonds using both traditional econometric and Machine Learning (ML) approaches. We compare classical models (e.g., Dynamic Nelson-Siegel (DNS) and Principal Component Analysis (PCA)) with different Neural Network (NN) architectures, including those inspired by the classical models, on the U.S. Treasury …

Tobias Lausser, Joao Eduardo Vuolo, Rudi Zagst
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Wiki Entities · 25
Credit

Credit Valuation Adjustment

Credit Valuation Adjustment — Adjustment to derivative value for counterparty default risk.

Credit

Funding Valuation Adjustment

Funding Valuation Adjustment — Funding cost adjustment in uncollateralized derivative books.

Desk Slang

Cheap vs Rich

Cheap and rich are relative-value words: cheap means wide or low versus a model, a history, or a hedge; rich means tight or expensive on that same yardstick — not ‘I like the story.’

Equity

Book Value

Book value is accounting equity — assets minus liabilities on the books, not what a willing buyer would pay tonight.

Equity

Earnings Per Share

Earnings per share is net income attributable to common, divided by weighted-average shares — basic or diluted.

Equity

EBIT

EBIT is earnings before interest and tax — operating profit after depreciation, before capital structure and the tax man.

Equity

EBITDA

EBITDA is earnings before interest, tax, depreciation, and amortization — a crude operating-profit proxy used in leverage and EV multiples.

Equity

Enterprise Value

Enterprise value is the market value of operating assets — equity plus net debt and other non-equity claims, minus non-operating cash.

Equity

Equity Risk Premium

Equity Risk Premium measures the excess return investors expect from equities over risk-free assets and is a core framework for evaluating relative equity valuation.

Equity

Free Cash Flow

Free cash flow is cash from operations minus the capex needed to keep and grow the business — cash that could leave the firm.

Equity

Growth Stock

A growth stock is priced for high expected earnings or sales growth — a duration asset dressed as an equity.

Equity

Initial Public Offering

An IPO is a private firm’s first sale of stock to public investors — a liquidity and valuation event, not a proof of quality.

Equity

Market Capitalization

Market capitalization is share price times diluted shares — the market value of residual equity, not the value of the firm.

Equity

Net Asset Value

NAV is the fund’s assets minus liabilities, per share — the accounting price at which open-end vehicles deal.

Equity

PEG Ratio

The PEG ratio is P/E divided by expected earnings growth — a back-of-the-envelope adjustment of the multiple for growth.

Equity

Price-to-Book Ratio

Price-to-book is market cap divided by book equity — what the market pays per unit of accounting residual.

Equity

Price-to-Earnings Ratio

The P/E ratio is price per share divided by earnings per share — how many years of current earnings the market is paying for.

Equity

Return on Invested Capital

ROIC is after-tax operating profit over invested capital — the unlevered return on the money actually in the business.

Equity

S&P 500 Earnings Yield

S&P 500 Earnings Yield measures expected earnings relative to price and is useful for assessing valuation and comparing equities with bond yields.

Financial Crises

Argentine Crisis 2001

Argentina’s 2001–02 collapse ended the convertibility 1:1 peg with default, corralito, and a violent real devaluation — a political-economy crisis of an overvalued peg.

Financial Crises

Dot-Com Crash 2000

The 2000–02 dot-com crash was an equity-valuation collapse after a narrative IPO bubble — brutal for NASDAQ, milder as a banking crisis because leverage sat more in households and corporates than in dealer warehousing of the story.

Financial Crises

Russia / LTCM 1998

Russia’s August 1998 default and devaluation blew up leveraged relative-value books, culminating in the LTCM rescue — a reminder that ‘hedged’ can mean ‘short liquidity in every state.’

Financial Crises

Tequila Crisis 1994

Mexico’s 1994–95 tequila crisis was a devaluation-and-tesobono run after political shocks and a crawling peg that had become incredible — the first big 1990s EM capital-account crisis.

FX

Purchasing Power Parity

Purchasing Power Parity — Long-horizon FX anchor based on relative price levels, often slow to converge.

Microstructure

Circuit Breaker

A circuit breaker is an exchange halt when prices move too far too fast — a pause so the book can rebuild, not a valuation.

Option Blackboard · 0
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Encyclopedia · 10
Financial Crises · Foundations

Argentine Crisis 2001

Argentina’s 2001–02 collapse ended the convertibility 1:1 peg with default, corralito, and a violent real devaluation — a political-economy crisis of an overvalued peg.

Microstructure · Foundations

Circuit Breaker

A circuit breaker is an exchange halt when prices move too far too fast — a pause so the book can rebuild, not a valuation.

Credit · Foundations

Credit Valuation Adjustment

Credit Valuation Adjustment — Adjustment to derivative value for counterparty default risk.

Financial Crises · Foundations

Dot-Com Crash 2000

The 2000–02 dot-com crash was an equity-valuation collapse after a narrative IPO bubble — brutal for NASDAQ, milder as a banking crisis because leverage sat more in households and corporates than in dealer warehousing of the story.

Equity · Foundations

Equity Risk Premium

Equity Risk Premium measures the excess return investors expect from equities over risk-free assets and is a core framework for evaluating relative equity valuation.

Credit · Foundations

Funding Valuation Adjustment

Funding Valuation Adjustment — Funding cost adjustment in uncollateralized derivative books.

Equity · Foundations

Initial Public Offering

An IPO is a private firm’s first sale of stock to public investors — a liquidity and valuation event, not a proof of quality.

Financial Crises · Foundations

Russia / LTCM 1998

Russia’s August 1998 default and devaluation blew up leveraged relative-value books, culminating in the LTCM rescue — a reminder that ‘hedged’ can mean ‘short liquidity in every state.’

Equity · Foundations

S&P 500 Earnings Yield

S&P 500 Earnings Yield measures expected earnings relative to price and is useful for assessing valuation and comparing equities with bond yields.

Financial Crises · Foundations

Tequila Crisis 1994

Mexico’s 1994–95 tequila crisis was a devaluation-and-tesobono run after political shocks and a crawling peg that had become incredible — the first big 1990s EM capital-account crisis.

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