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

Index

A

Accounting 405–6

Accrual accounting 405

Actual P&L 337

Aggregation risk 323, 355, 403, 422–4

Alpha model 311

Alpha strategies 7

Antithetic variance reduction 207–9

Apple 183

Archimedean copulas 229

Asymmetric volatility clustering see GARCH model

At-the-money (ATM) volatility 252, 306

Auditing 408

Autocorrelation 61–2, 138, 218, 292, 319

B

Backtesting 312, 313, 322, 332–55

banking regulations 335–7, 404

basic methodology 332–5

coverage tests 337–40

ETL 344–5

regression-based 341–2

volatility clustering, effect on 342–4

Banking book 406

Banking regulations 6, 14

Basel Accords 404–5

incremental risk charge 412–16

internal models 408–11

standardized rules 411–12

stress testing 378–84

Bank insolvency 364–6

Bank for International Settlements 404

Banks

accounting framework 405–6

capital requirements 403–16

Citigroup 183

economic capital 416–33

market risk requirement 406–8

Northern Rock 421

Base case scenarios 360

Basel Accords 404–5

Bayesian VaR 375–8, 399

Bayes’ rule 375

Behavioural models 232

Beliefs 375

Benchmark VaR 34–5, 48

Bernoulli process 334

Bias 206, 366

Bias statistics 345–8

Bid-ask spread 392

Black–Scholes–Merton formula 265

Bootstrap simulation 345

C

Candidate portfolio 332

Capital allocation 316, 401–35

Capitalization 403, 417

Cash flow

historical VaR 176–9, 190–2

linear VaR 67–78

Cash-flow maps 29, 76

interest rate sensitive portfolios 119

model risk 313–23

PCA 81–5

Cash-flow portfolios 69, 202, 236–9

Cash positions 86–7

CDO (Collateralized debt obligations) ...