Financial Risk Management: Applications in Market, Credit, Asset and Liability Management and Firmwide Risk

Index

A

1. accuracy, as core principle of risk infrastructure
2. Acerbi, C.
3. Acharya, V.
4. Adjusted CVA (ACVA)
5. advanced CVA calculations, CVA Greeks and
6. advanced CVA charge
7. aggregation process
   1. about
   2. of copulas
   3. firmwide risk
8. Aguais, S.D.
9. Alexander, S.T.
10. ALM
    1. See asset and liability management (ALM)
11. Almgren, R.
12. alpha, general wrong-way risk and
13. Altman, E.I.
14. Amato, J.D.
15. Amemiya, T.
16. An, M.Y.
17. Andersen, L.
18. Anderson, T.W.
19. Anderson-Darling test
20. Anfuso, F.
21. Angelidis, T.
22. annuity
23. Applied Portfolio Migration
24. Arbenza, P.
25. Arbitrage Pricing Theory (APT) model
26. Archimedean copulas
27. ARMA (autoregressive moving average) models
28. Artzner, P.
29. assessment, of counterparty default probability
30. asset and liability management (ALM)
    1. about xiv
    2. risk of
    3. system for
31. asset inflows, from loans and investment assets
32. asset returns, multi-factor model for
33. Asset Value Distribution
34. asymmetry
    1. of copulas
    2. of GARCH Models
35. autoregressive moving average (ARMA) models

B

1. Babbs, S.H.
2. backtesting
   1. model validation and
   2. performance of the multivariate model
   3. requirements for
3. balance sheet
   1. about
   2. breakdown of with funds transfer instruments
   3. vulnerability of with contractual cash flows
4. balance sheet ratio
5. Bangia, A.
6. Bank of England RAMSI model
7. banks
   1. book fair value
   2. evolution of capital regulation
   3. funding facilities extended to
   4. risk management and
8. bank-specific approach
9. Bao, Y.
10. Barger, N.
11. Barone-Adesi, G.
12. Basel accords
13. Basel III liquidity risk regulation
14. Basel Regulatory Capital
15. Basket Credit Default Swaps
16. Bates, T.W. ...