Bubble Value at Risk: A Countercyclical Risk Management Approach, Revised Edition

Index

Absolute returns

Acceptance tests

cyclicality

event timing

visual checks

Accuracy

Adaptive moving average (AMA)

Advanced VaR models

about

conditional autoregressive value-at-risk (CAViaR)

Extreme Value Theory (EVT)

Hull-White VaR

hybrid historical simulation VaR

Aggregation of VaR

The Alchemy of Finance (Soros)

Algo trading

Alternative hypothesis

Analytical tools for VaR

Animal spirits

Arrow of time

Asian currency crisis (1997-1998)

Asset & liability management (ALM)

Asset allocation

Asset bubbles

Asset liquidity risk

Asset-specific risk

Asynchronous data

At-the-money (ATM)

Augmented Dickey-Fuller (ADF(q)) stationarity test

Austrian Nationalbank (OeNB)

Autocorrelation

about

autocorrelation function (ACF)

in time scaling computation

Autoregressive Conditional Heteroscedasticity (ARCH) model

Autoregressive processes (AR(p))

Back testing

and buVaR

and credit buVaR

and data integrity

distortion of results

frequency back test

and whole distribution test

Bad loans

Bank for International Settlements (BIS)

Bank of England (BOE)

Bank of Japan (BoJ)

Banking book

Basel Committee of Banking Supervision (Basel)

about

Basel 2.5

Basel Accord (Basel I)

Basel II

Basel III

Basel Rules

role of

traffic light approach

VaR approach, adoption of

Basic assumptions of VaR, theoretical problems with

about

coherence and expected shortfall

constant versus stochastic volatility and production of fat tails

entropy

extremistan

i.i.d. assumption. See also Independent and identically distributed (i.i.d.) ...