Index

ABCP see asset-backed commercial paper

ABCP conduits 9, 82, 197

ABSs see asset-backed securities

accounting standards 967, 41921, 5423

see also FAS …; IAS …

accruals accounting 5423

accrued interest 1323, 41019, 47591

acronym mysteries 8

adverse selection 79, 256

‘affine correlation’ 222, 3401

AFS see available for sale assets

AIG see American International Group

aircraft leases 8

Akerlof, G.A. 79

ALM see asset–liability management

American Home Mortgage Investment Corp. 3

American International Group (AIG) 6, 35, 367

American options 11213

amortizing swaps 2818, 2936, 3712, 3758, 51837

amount dimension, taxonomy of cash flows 11113, 11841

analytical approximations for ELoP 2969, 3013, 37381

arbitrage 27, 401, 47, 589, 801, 834, 31920, 47683, 4929

arbitrage-free pricing, derivatives 47683, 4929

arctangent function 278

Aristotle 396

ASF see available stable funding

Asian equity markets 45

asset markets 2132, 389, 4950, 7581, 11115, 11934, 14498, 42571, 477537, 539

asset separation resolution tools 42

asset-backed commercial paper (ABCP) 3, 6, 9, 26, 612, 824, 99, 1036, 1978

definition 9, 823

asset-backed securities (ABSs) 4, 6, 8, 15, 612, 645, 678, 769, 824, 99, 1036, 1267, 1978

see also mortgage-backed …; securitizations

collateral pledges 126

definition 8

asset–liability management (ALM) 88, 278337, 389423, 42531, 45671, 53945

see also long-term …

conclusions and future prospects 5435

funding costs 45671,

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