Financial Risk Management: Models, History, and Institutions

Index

ABCP conduits. See Asset-backed commercial paper (ABCP) conduits

ABX index family, 406–407

Acceptance region, 662

Accounting balance sheet, 193

Accounting triggers, 547

Adverse price impact, 463, 467

Adverse selection, 198, 462

Agency debt, 639

Agency MBS, 298, 446

Agency securities lending, 441

Aggregate credit, 517

Alternative hypothesis, 661

Amaranth (hedge fund), 505

American International Group (AIG), 211

American option, 121

Analytical approach, 123–126

Arbitrage, regulatory, 644

Arbitrage CDOs, 343

Arbitrage pricing theory (APT), 81–82. See also Multiple risk factors

Arithmetic rate of return, 44–49

Arithmetic return approximation, 164, 165–166

Arranger. See Underwriters/underwriting

Asian financial crisis of 1997, 42–43, 588

Asset and default correlation, 279–281

Asset-backed commercial paper (ABCP) conduits, 299, 431–432, 524–525, 528–529, 644–645

Asset-Backed Commercial Paper Money Market Mutual Fund Liquidity Facility (AMLF), 429

Asset-backed securities (ABS), 10, 299–309, 431–432

spreads, 550

Asset-liability management (ALM), 464

Asset-price targeting, 622–624

Asset return correlation, see Correlation

Asset prices and returns. See also Kurtosis, Skewness, Volatility

and default correlation, 279–281

behavior, 43, 72, 349–363, 514

return correlation, 343

statistical behavior of, 43

statistical properties of, 356, 358

time variation of distribution of, 352

Asset-swap spread, 232

Asymmetric information, 197, 583, 599

Asymptotic behavior, 142

Attachment point, 303 ...