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Financial Risk Manager Handbook + Test Bank: FRM Part I / Part II, 6th Edition by Philippe Jorion

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Index

A

Absolute risk

Active risk

Actuarial models

Advanced internal ratings-based approach

Advanced measurement approach (AMA)

Agency risk

Aggregation:

portfolio

risk

time

Altman, E.

Amaranth

American International Group (AIG)

American options:

definition of

early exercise of

option Greeks sensitivity of

simulations pricing

valuation of

American swaptions

Annual compounding

Annuities

Answers to examples:

of Basel Accord requirements

of bond valuations

of credit derivative transactions

of credit exposure issues

of credit risk issues

of currency market transactions

of default risk issues

of derivative valuations

of equity, currency, and commodity market transactions

of firmwide risk management issues

of fixed-income derivatives valuation

of fixed-income securities valuation

of hedge fund issues

of hedging linear risks

of hedging nonlinear risks

of liquidity risk issues

of market risk issues

of modeling risk factors

of Monte Carlo simulations

of mortgage-backed securities issues

of operational risk

of options strategies/valuations

of portfolio management issues

of probability calculations

of risk management issues

of statistics calculations

of univariate analysis

of VAR calculations

Antithetic variable technique

Arbitrage:

arbitrage collateralized debt obligations

arbitrage funds

arbitrage pricing theory (APT)

arbitrage profits

convertible bonds and warrants as

no-arbitrage models

regulatory arbitrage

Arbitrage pricing theory (APT)

Argentina default

Asian options

Asset allocation ...

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