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Quantitative Financial Risk Management: Theory and Practice by Emilios Galariotis, Constantin Zopounidis

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Index

Akaike information criterion (AIC), 84, 90

Altman z-score, 297, 300, 306, 307

analysis of variance (ANOVA), 355

Archimedean copulas, 15

ARCH model. See autoregressive conditionally heteroskedastic model

Arrow–Pratt risk aversion index, 158, 161, 164, 194

asset allocation. See also portfolio optimization

and regime switching, 7879

and state of the world, 95

asset classes, 181

asset/liability management (ALM), 167182. See also portfolio optimization

asset returns. See also bond returns; stock returns

in credit risk models, 299, 300, 301302

i.i.n.d., 73, 80, 82

and mean absolute deviation, 221

multiple-asset models for, 8587

multivariate normal distribution of, 242

predicting, 78

real-world dynamics of, 7374

and securities class actions, 383, 387, 390, 391, 394, 395

single-asset models for, 7982

three-state estimation for, 8485

and transaction costs, 212, 230231

two-state estimation for, 8284

assets

value of, 7, 10, 312

variance/covariance of, 364

volatility of, 301, 306

asymmetric vector GARCH model, 368, 369, 370

asymptotic single factor structural default model, 7

autoregressive conditionally heteroskedastic (ARCH) model, 78, 364366

available capital, defined, 223

average value at risk (AVaR), 15

banking stability index, 12

bankruptcy

counterparty, 30

and credit contagion, 26

global increase in, 312

and loss cascade, 9

predicting, 300, 305306

and systemic risk, 6

banks

capital calculating by, 298

charge-off rates for, 275

and counterparty credit risk, 2241

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