December 2012
Beginner
579 pages
19h 13m
English
book
Financial Risk Management: A Practitioner's Guide to Managing Market and Credit Risk, 2nd Edition
by Steven Allen
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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
for positions that are born illiquid, 143–144
Adjustable-rate mortgages (ARMs), 86–87. See also Financial crisis of 2007–2008
Adoboli, Kweku, 67
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, 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
Alpha factor, 515
Altman, Edward, 464–465, 467, 479
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
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