Market Risk Analysis Volume IV: Value-at-Risk Models

List of Tables

IV.1.1	Active returns
IV.1.2	LPM of various orders relative to two different thresholds
IV.1.3	Normal VaR with drift adjustment
IV.1.4	The tail of the return distribution and of the active return distribution
IV.1.5	Comparison of estimates from different VaR models
IV.2.1	Normal linear VaR for different volatilities, significance levels and risk horizons
IV.2.2	Risk factor sensitivities
IV.2.3	PV01 of cash flows and volatilities of UK and US interest rates
IV.2.4	Correlations between UK and US interest rates
IV.2.5	PV01 of cash flows and volatilities of LIBOR rates
IV.2.6	Correlations between LIBOR rates
IV.2.7	Cross correlations between credit spreads and LIBOR rates
IV.2.8	Volatilities and correlations of LIBOR and credit spreads
IV.2.9	Eigenvalues of covariance matrix of UK spot rates – short end
IV.2.10	Net sensitivities on PC risk factors
IV.2.11	Stock portfolio characteristics
IV.2.12	Characteristics of 10-day returns
IV.2.13	Characteristics of an international equity portfolio
IV.2.14	Annual covariance matrix Ω of equity and forex risk factor returns
IV.2.15	VaR decomposition for diversified international stock portfolio
IV.2.16	Volatilities and correlations of risk factors
IV.2.17	VaR decomposition into equity and forex factors
IV.2.18	Volatilities and correlations of natural gas and silver futures
IV.2.19	Commodities trading desk positions on natural gas and silver
IV.2.20	1% 10-day VaR of commodity futures ...