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Handbook of Market Risk by Christian Szylar

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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

R2

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

Asymmetric information costs ...

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