Market Risk Analysis Volume II: Practical Financial Econometrics

List of Figures

II.1.1 EWMA beta and systematic risk of the two-stock portfolio

II.1.2 EWMA beta, relative volatility and correlation of Amex (λ = 0.95)

II.1.3 EWMA beta, relative volatility and correlation of Cisco (λ = 0.95)

II.1.4 Two communications stocks and four possible risk factors

II.1.5 A fund with ex post tracking error of only 1%

II.1.6 Irrelevance of the benchmark for tracking error

II.1.7 Which fund has an ex post tracking error of zero?

II.1.8 Forecast and target active returns

II.1.9 Returns distributions for two funds

II.2.1 UK government zero coupon yields, 2000–2007

II.2.2 Volatilities of UK spot rates, 2005–2007

II.2.3 Eigenvectors of the UK daily spot rate correlation matrix

II.2.4 Eigenvectors of the UK daily short spot rate covariance matrix

II.2.5 UK government interest rates, monthly, 1995–2007

II.2.6 Eigenvectors of the UK monthly spot rate covariance matrix

II.2.7 First principal component for UK interest rates

II.2.8 Constant maturity futures on West Texas Intermediate crude oil

II.2.9 Eigenvectors of crude oil futures correlation matrix

II.2.10 Credit spreads in the euro zone

II.2.11 First two eigenvectors on two-curve PCA

II.2.12 Three short spot curves, December 2001 to August 2007

II.2.13 Eigenvectors for multiple curve PCA factor models

II.3.1 Confidence interval for variance forecasts

II.3.2 US Treasury rates

II.3.3 Volatilities of US interest rates (in basis points)

II.3.4 MIB 30 and S&P 500 daily closing prices

II.3.5 Equally weighted moving ...