Index

Absolute value

Absolute value-at-risk

Active investment

Add-on factors, credit exposure OBS

Advanced Measurement Approach (AMA)

*Against the Gods: The Remarkable Story of Risk* (Bernstein)

Aggregation, stress testing

AIFMD. *See* Alternative Investment Fund Managers Directive (AIFMD)

Alpha targeting

active investment

alternative strategies

cumulative return vs. benchmark

efficient frontier

hedge funds metrics

downside risk

information ratio

Jensen's alpha

R^{2}

Sharpe ratio

idiosyncratic return

passive investment

performance risk adjusted summary

time series

Alternative investment fund (AIF)

Alternative Investment Fund Managers Directive (AIFMD)

Alternatives investment. *See* Alpha targeting

Amendment, Basel Accord, 1996

American Society of Insurance Management

American swaption

Analysis, technical vs. fundamental

Andersen, Arthur

Appraisal ratio. *See* Information ratio

Arbitrage equation for commodities

Arbitrage pricing theory (APT)

Arrow, Kenneth

Asset class, defined

Asset returns covariance matrix

Assets. *See also specific types of assets*

definition

linear factor model of asset returns

pricing of. *see* Arbitrage pricing theory (APT); Capital Asset Pricing Model (CAPM)

risk-weighting factors

Associate in Risk Management (ARM)

Assumptions

arbitrage pricing theory

Black–Scholes formula

Capital Asset Pricing Model

least-squares regression

multivariate stress testing

perfectly competitive markets

portfolio risk

steep yield curves

variance–covariance model

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