Contemporary Finance

List of Tables

Table 2.1  Return experience of the S&P 500 1971–2024

Table 4.1  Estimating volatility with the EWMA model

Table 4.2  Recursive formula for EWMA volatility estimates

Table 4.3  Extreme moves in the S&P 500 1928–2023

Table 5.1  Feasible and efficient portfolios

Table 5.2  Summary of optimal investor choice

Table 5.3  Systematic and nonsystematic risk: example

Table 6.1  Deriving a foreign-currency interest rate curve from forwards

Table 7.1  Returns to option writing strategies

Table 8.1  Monte Carlo computation of Value-at-Risk

Table 8.2  Order statistics for historical simulation Value-at-Risk

Table 8.3  Comparison of Value-at-Risk techniques

Table 8.4  Parametric normal estimate of expected shortfall

Table 8.5  Historical simulation estimates of expected shortfall

Table 8.6  Computation of expected shortfall by historical simulation

Table 9.1  Rating migration rates, 1920–2022

Table 9.2  Default probability analytics: example

Table 9.3  Merton model valuation of firm liabilities

Table 10.1    TBA convexity calculations

Table 11.1    Debt overhang example

Table 13.1    Granularity and credit Value-at-Risk

Table 13.2    Violations of subadditivity

Table 13.3    Impact of a market shock

Table 14.1    Contactually stipulated bond payments

Table 14.2    Securitization scenario analysis

Table 14.3    Senior bond default probability

Table 14.4    Equity tranche: probability of negative return

Table 14.5    Mezzanine bond default probability

Table 14.6    Credit Value-at-Risk ...