Index
Absolute value
Absolute value-at-risk
Active investment
Add-on factors, credit exposure OBS
Advanced Measurement Approach (AMA)
Against the Gods: The Remarkable Story of Risk (Bernstein)
Aggregation, stress testing
AIFMD. See Alternative Investment Fund Managers Directive (AIFMD)
Alpha targeting
active investment
alternative strategies
cumulative return vs. benchmark
efficient frontier
hedge funds metrics
downside risk
information ratio
Jensen's alpha
R2
Sharpe ratio
idiosyncratic return
passive investment
performance risk adjusted summary
time series
Alternative investment fund (AIF)
Alternative Investment Fund Managers Directive (AIFMD)
Alternatives investment. See Alpha targeting
Amendment, Basel Accord, 1996
American Society of Insurance Management
American swaption
Analysis, technical vs. fundamental
Andersen, Arthur
Appraisal ratio. See Information ratio
Arbitrage equation for commodities
Arbitrage pricing theory (APT)
Arrow, Kenneth
Asset class, defined
Asset returns covariance matrix
Assets. See also specific types of assets
definition
linear factor model of asset returns
pricing of. see Arbitrage pricing theory (APT); Capital Asset Pricing Model (CAPM)
risk-weighting factors
Associate in Risk Management (ARM)
Assumptions
arbitrage pricing theory
Black–Scholes formula
Capital Asset Pricing Model
least-squares regression
multivariate stress testing
perfectly competitive markets
portfolio risk
steep yield curves
variance–covariance model
Asymmetric information costs ...
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