Measuring and Managing Liquidity Risk

Index

ABCP see asset-backed commercial paper

ABCP conduits 9, 82, 197

ABSs see asset-backed securities

accounting standards 967, 419–21, 542–3

see also FAS …; IAS …

accruals accounting 542–3

accrued interest 132–3, 410–19, 475–91

acronym mysteries 8

adverse selection 7–9, 25–6

‘affine correlation’ 222, 340–1

AFS see available for sale assets

AIG see American International Group

aircraft leases 8

Akerlof, G.A. 7–9

ALM see asset–liability management

American Home Mortgage Investment Corp. 3

American International Group (AIG) 6, 35, 36–7

American options 112–13

amortizing swaps 281–8, 293–6, 371–2, 375–8, 518–37

amount dimension, taxonomy of cash flows 111–13, 118–41

analytical approximations for ELoP 296–9, 301–3, 373–81

arbitrage 27, 40–1, 47, 58–9, 80–1, 83–4, 319–20, 476–83, 492–9

arbitrage-free pricing, derivatives 476–83, 492–9

arctangent function 278

Aristotle 396

ASF see available stable funding

Asian equity markets 4–5

asset markets 21–32, 38–9, 49–50, 75–81, 111–15, 119–34, 144–98, 425–71, 477–537, 539

asset separation resolution tools 42

asset-backed commercial paper (ABCP) 3, 6, 9, 26, 61–2, 82–4, 99, 103–6, 197–8

definition 9, 82–3

asset-backed securities (ABSs) 4, 6, 8, 15, 61–2, 64–5, 67–8, 76–9, 82–4, 99, 103–6, 126–7, 197–8

see also mortgage-backed …; securitizations

collateral pledges 126

definition 8

asset–liability management (ALM) 88, 278–337, 389–423, 425–31, 456–71, 539–45

see also long-term …

conclusions and future prospects 543–5

funding costs 456–71,