Index
A
- accuracy, as core principle of risk infrastructure
- Acerbi, C.
- Acharya, V.
- Adjusted CVA (ACVA)
- advanced CVA calculations, CVA Greeks and
- advanced CVA charge
- aggregation process
- about
- of copulas
- firmwide risk
- Aguais, S.D.
- Alexander, S.T.
- ALM
- See asset and liability management (ALM)
- Almgren, R.
- alpha, general wrong-way risk and
- Altman, E.I.
- Amato, J.D.
- Amemiya, T.
- An, M.Y.
- Andersen, L.
- Anderson, T.W.
- Anderson-Darling test
- Anfuso, F.
- Angelidis, T.
- annuity
- Applied Portfolio Migration
- Arbenza, P.
- Arbitrage Pricing Theory (APT) model
- Archimedean copulas
- ARMA (autoregressive moving average) models
- Artzner, P.
- assessment, of counterparty default probability
- asset and liability management (ALM)
- about xiv
- risk of
- system for
- asset inflows, from loans and investment assets
- asset returns, multi-factor model for
- Asset Value Distribution
- asymmetry
- of copulas
- of GARCH Models
- autoregressive moving average (ARMA) models
B
- Babbs, S.H.
- backtesting
- model validation and
- performance of the multivariate model
- requirements for
- balance sheet
- about
- breakdown of with funds transfer instruments
- vulnerability of with contractual cash flows
- balance sheet ratio
- Bangia, A.
- Bank of England RAMSI model
- banks
- book fair value
- evolution of capital regulation
- funding facilities extended to
- risk management and
- bank-specific approach
- Bao, Y.
- Barger, N.
- Barone-Adesi, G.
- Basel accords
- Basel III liquidity risk regulation
- Basel Regulatory Capital
- Basket Credit Default Swaps
- Bates, T.W. ...
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