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Financial Risk Management: Models, History, and Institutions by Allan M. Malz

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List of Figures

1.1 Disintermediation in the U.S. Financial System 1980–2010

1.2 Share of Financial Services Industry in U.S. Output

1.3 OTC Derivatives Markets 1998–2010

1.4 Intermediation by Sector 1959–2008

1.5 Traditional and Innovative Intermediation 1951–2010

1.6 Securitization of Commercial Real Estate Lending 1960–2010

1.7 Hedge Fund Assets under Management

1.8 Growth of World Income 1950–2006

1.9 Growth of World International Trade 1971–2009

1.10 U.S. Labor Productivity 1947–2010

1.11 U.S. Inflation 1958–2010

1.12 U.S. Current Account Balance 1960–2010

1.13 Growth of International Monetary Reserves

1.14 Real Fed Funds Rate 1971–2009

1.15 U.S. Growth Rate and Its Volatility 1947–2009

1.16 U.S. Savings Rate 1946–2010

1.17 Corporate Leverage in the United States

2.1 Approximating Logarithmic by Arithmetic Returns

2.2 Sample Path of a Random Walk

2.3 Convergence of a Random Walk to a Brownian Motion

2.4 Convergence of a Random Walk to a Brownian Motion

2.5 Geometric Brownian Motion: Asset Price Level

2.6 Geometric Brownian Motion: Daily Returns

2.7 Joint Distribution of EUR and JPY Returns

2.8 Correlation and Beta

2.9 Volatility and Beta

2.10 Diversification, Volatility, and Correlation

2.11 Minimum-Variance and Efficient Portfolios

3.1 Definition of VaR

3.2 The EWMA Weighting Scheme

3.3 Comparison of Volatility Estimators

3.4 Comparison of Simulation Approaches

4.1 Monotonicity and Option Risk Measurement

4.2 Delta-Gamma and VaR for an Unhedged Long Call

4.3 Delta-Gamma ...

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