Index
A
Absolute risk
Active risk
Actuarial models
Advanced internal ratings-based approach
Advanced measurement approach (AMA)
Agency risk
Aggregation:
portfolio
risk
time
Altman, E.
Amaranth
American International Group (AIG)
American options:
definition of
early exercise of
option Greeks sensitivity of
simulations pricing
valuation of
American swaptions
Annual compounding
Annuities
Answers to examples:
of Basel Accord requirements
of bond valuations
of credit derivative transactions
of credit exposure issues
of credit risk issues
of currency market transactions
of default risk issues
of derivative valuations
of equity, currency, and commodity market transactions
of firmwide risk management issues
of fixed-income derivatives valuation
of fixed-income securities valuation
of hedge fund issues
of hedging linear risks
of hedging nonlinear risks
of liquidity risk issues
of market risk issues
of modeling risk factors
of Monte Carlo simulations
of mortgage-backed securities issues
of operational risk
of options strategies/valuations
of portfolio management issues
of probability calculations
of risk management issues
of statistics calculations
of univariate analysis
of VAR calculations
Antithetic variable technique
Arbitrage:
arbitrage collateralized debt obligations
arbitrage funds
arbitrage pricing theory (APT)
arbitrage profits
convertible bonds and warrants as
no-arbitrage models
regulatory arbitrage
Arbitrage pricing theory (APT)
Argentina default
Asian options
Asset allocation ...
