Financial Risk Management: A Practitioner's Guide to Managing Market and Credit Risk, 2nd Edition

Index

ACA Insurance, 107

Accounting arbitrage, 107

Accounting risk:

defined, 30

as form of reputational risk, 42

Accrual swaps, 378

Acharya, Viral, 84

Ackerlof, George, 20

Active management approach, 526–531

Actuarial risk management:

actuarial risk, defined, 2

comparison with financial risk management, 2–4

financial risk in estimating, 2

liquid proxies in, 520

moral hazard in, 13–14

for positions that are born illiquid, 143–144

Adjustable-rate mortgages (ARMs), 86–87. See also Financial crisis of 2007–2008

Adoboli, Kweku, 67

Adverse selection, 19–21

controlling, 22

defined, 20

information asymmetry and, 20–21

legal risk and, 37

Agrawal, Deepak, 484

AIG (American International Group), 86, 93, 97, 102, 107, 108, 114

Allen, Franklin, 141

Allen, Linda, 464, 481

Allen, Peter, 331

Allfirst First Maryland Bancorp. See Allied Irish Bank (AIB) case

Allied Irish Bank (AIB) case, 31, 51, 57–59, 64, 65

detection of unauthorized financial positions, 58

development of unauthorized position, 57

failure to detect unauthorized positions, 57–58

further reading, 59

incident, 57

lessons to be learned, 59

result, 57

Almgren, Robert, 255–256

Alpha factor, 515

Altman, Edward, 464–465, 467, 479

Amato, Jeffery, 84, 465

American International Group (AIG), 86, 93, 97, 102, 107, 108, 114

American options:

defined, 426

difficulty in valuing, 409

European options versus, 426

hedging, 435

intensity of use, 363

AmericanOption spreadsheet, 427–428, 551

Analysis of overrides, 233–234

Analysis of revenue, 156