An Introduction to Value-At-Risk, Fourth Edition

INDEX

abbreviations' list 159

absolute risk, concepts 10–11, 50–1

accidents 3

see also operational risk across-time ladder values, options 95

administration processes, recovery amounts 125–6

appendix 155–7

arithmetic mean, concepts 14–16

Asian markets 115

asset-backed bonds, risk sources 4

asset-backed securities, prepayment risk 6

at-the-money options 97

B-S see Black Scholes options pricing formula

‘back’ office functions 8

back-testing, VaR 114, 117

bank deposits, risk sources 4

Bank of England (BoE) 55–7, 110–14

Bank for International Settlements (BIS) 111–14, 116 17

bankruptcies 125–6

see also credit risk

banks 2–11, 46–7, 55–7, 97–8, 110–14, 147–9

capital adequacy regulations 46–7, 97, 110–14, 152

case study 147–9

risk management 7–9, 110–14

simulation preferences 98

Barings Bank 2, 122

Basel Capital Accord 46–7, 97, 111–12, 152

basis points 95, 116–17

basis risk

see also market risk

concepts 3–4, 5, 95

de nition 5

Beder, T.S. 54

binomial model, credit risk 132–3

BIS see Bank for International Settlements

Black Scholes options pricing formula (B-S) 21, 26, 88–91, 102–4, 155–7

Blake, David 88

Bloomberg screens, VaR 84 6

BoE see Bank of England

bonds 4, 5, 6, 26–8, 44 5, 61–86, 92–3, 99, 121–6, 155

see also fixed-income instruments

Bloomberg screens 84–6

cash flows 62–4, 70–86

convexity 6, 66–7, 92–3, 99

coupons 70–86, 121, 155–7

credit ratings 121–6, 132–46

credit risk 3–