Market Risk Analysis Volume I: Quantitative Methods in Finance

List of Tables

I.1.1 Asset prices

I.1.2 Portfolio weights and portfolio value

I.1.3 Portfolio returns

I.2.1 Volatilities and correlations

I.2.2 The correlation matrix of weekly returns

I.2.3 Eigenvectors and eigenvalues of the correlation matrix

I.3.1 Example of the density of a discrete random variable

I.3.2 Distribution function for Table I.3.1

I.3.3 Biased and unbiased sample moments

I.3.4 The B(3, 1/6) distribution

I.3.5 A Poisson density function

I.3.6 A simple bivariate density

I.3.7 Distribution of the product

I.3.8 Calculating a covariance

I.3.9 Sample statistics

I.4.1 Calculation of OLS estimates

I.4.2 Estimating the residual sum of sqaures and the standard error of the regression

I.4.3 Estimating the total sum of squares

I.4.4 Critical values of t₃

I.4.5 Some of the Excel output for the Amex and S&P 500 model

I.4.6 ANOVA for the Amex and S&P 500 model

I.4.7 Coefficient estimates for the Amex and S&P 500 model

I.4.8 ANOVA for Billiton regression

I.4.9 Wald, LM and LR statistics

I.5.1 Mean and volatility of the FTSE 100 and S&P 500 indices and the £/$ FX rate

I.5.2 Estimated parameters of normal mixture distributions

I.5.3 Analytic vs finite difference Greeks

I.5.4 Characteristics of asset returns

I.6.1 Two investments (outcomes as returns)

I.6.2 Two investments (utility of outcomes)

I.6.3 Returns characteristics for two portfolios

I.6.4 Two investments

I.6.5 Sharpe ratio and weak stochastic dominance

I.6.6 Returns on an actively managed fund and its benchmark

I.6.7 Statistics ...