Index
ABSs see asset-backed securities
ACA Financial Guarantee
acceleration clauses, concepts
accounting tricks, profit boosts
accrued interest, CDS concepts
actuarial prices, concepts
add-on approach to credit exposure, concepts
additional termination events (ATEs), definition
additivity issues, pricing
adjusted CVAs, concepts
advanced IRB approach, concepts
aggregation netting agreements, concepts
AIG
alpha factor
see also economic capital
asymmetric exposures
concepts
correct values
correlated exposures
critique
definitions
dependencies
examples
sensitivity analysis
special cases
wrong-way risk
Ambac
annuity risk, CDS concepts
approximation methods, credit exposures
arbitrage concepts
Asian crisis
asset classes
CCPs
wrong-way risk examples
asset correlations, concepts
asset liquidity risk
see also liquidity …
concepts
asset swaps (ASW), concepts
asset-backed securities (ABSs), concepts
ASW see asset swaps
asymmetric exposures
asymmetric information problems, CCPs
ATEs see additional termination events
auctions
auditors
backtesting, models
backwardation
bankers paradox
Bankers Trust
bankruptcies
bankruptcy-remote entities (swap subsidiaries), concepts
banks
see also capital requirements; financial institutions
compensation culture
trading activity reductions
Barings
barrier options
Basel Committee on Banking Supervision (BCBS)
Basel I
Basel II
approaches
concepts
double-default approach
EAD
fixed exposures
IRB approach
origins
Pillars
standardised approach
basis risk, concepts ...