Index

  1. abnormal return (alpha), in CAPM
  2. administrative fees
  3. alpha effect
  4. arbitrage
    1. and equilibrium economies
    2. and futures prices
    3. riskless
  5. asset allocation, dynamic
  6. asset pricing
    1. and corporate equity
    2. for derivatives
    3. and equilibrium models
    4. in risk-neutral economies
  7. assets
    1. in best-return strategy
    2. book value of
    3. hierarchy of claims on
    4. liquidity of
    5. and loan default
    6. market value of
    7. riskless (in CAPM)
    8. under separation theorem
    9. target
    10. See also specific types
  8.  
  9. Bank of America
  10. bankruptcies
    1. and credit valuation
    2. probability of
    3. recoveries in
    4. and stockholders' interests
    5. and term of debt
  11. banks
    1. CAPM used by
    2. loss reporting by
    3. portfolio diversification for
    4. and risk measurement
  12. barbell portfolios
    1. and immunization strategy
    2. relative performance of
  13. Basel Accords
  14. Bayesian decision theory
  15. benchmark maturities
  16. best-return strategy
    1. costs of
    2. function of
    3. implementation of
  17. beta
    1. for bond portfolio
    2. in CAPM
    3. for securities
  18. bivariate normal distribution function
  19. Black, Derman, Toy model
  20. Black, Fisher
  21. Black-Scholes option pricing model
  22. bond portfolios
    1. analyzing returns on
    2. and forward rate
    3. immunization strategy for
    4. performance measurement for
    5. timing of changes in
  23. bond pricing
    1. calculating
    2. and call price
    3. case study
    4. and catastrophic events
    5. and credit valuation
    6. and discount function
    7. equation for
    8. in equilibrium models
    9. evolution of
    10. and immunized portfolios
    11. and interest rate volatility
    12. and portfolio performance measurement
    13. in production economy in equilibrium
    14. in risk-neutral economies
    15. and short rate
    16. stochastic representation of
    17. term structure models for
  24. bonds
    1. coupon
    2. discount
    3. government
    4. payment dates for
    5. in portfolio immunization
  25. Bondtrac
  26. book asset value
  27. Brazil, sovereign debt of
  28. bullet portfolios
    1. and immunization strategy
    2. relative performance of
  29.  
  30. canonical distribution
  31. capital asset pricing model (CAPM)
    1. adoption of
    2. application to bonds
    3. development of
    4. function of
    5. generalized
    6. risk-return relationship under
    7. security betas in
    8. See also efficient market model
  32. capital at risk
  33. capital gains
    1. vs. dividends
    2. in portfolio immunization strategy
  34. capital market line
    1. in CAPM
    2. definition of
    3. equation for
  35. capital markets
    1. actual behavior of
    2. divisibility in
    3. efficient
    4. liquidity in
    5. risk as defined in
  36. capital market theory
  37. cash flow
    1. in credit valuation
    2. and portfolio performance analysis
    3. and portfolio value
  38. Cass, Dwight
  39. catastrophic events
  40. Charles University
  41. collateralized debt obligations (CDOs)
  42. commodities
    1. nonstorable
    2. storable
  43. confidence intervals
  44. consumption
    1. discrete
    2. and interest rates
    3. in pure exchange vs. production economies
    4. and risk tolerance
  45. contingent immunization
  46. convenience yield
  47. corporate debt
    1. calculation of
    2. and future market value
    3. and interest rates
    4. pricing of
    5. structure of
  48. correlation of defaults
  49. coupon bonds
  50. covariance
    1. calculating for derivatives
    2. on loan defaults
    3. of market portfolio
    4. of portfolio
    5. in portfolio risk measurement
    6. in rates of return
  51. Cox-Ingersoll-Ross model
  52. credit
    1. demand for
    2. risks associated with (see also credit risk models)
  53. credit analysis
    1. components of
    2. traditional approach to
  54. credit default swaps
  55. credit migration
  56. credit risk models
    1. development of
    2. issues to address in
    3. and plain debt
  57. CreditSights
  58. credit valuation
    1. as credit analysis component
    2. and debt structure
    3. default probability in
    4. in equilibrium models
    5. evolution of
    6. function of
    7. and loan pricing
    8. methodology for
    9. and portfolio diversification
  59. cumulative normal distribution function
  60. Cuneo, Larry J.
  61. currency exchange rates
  62. Czechoslovak Academy of Science
  63. Czech Technical University
  64.  
  65. debt
    1. corporate (see corporate debt)
    2. pricing of
    3. sovereign
    4. structure of
  66. debt instruments
    1. complexity of
    2. pricing of
    3. risk measurement for
    4. See also specific types
  67. default point
  68. default probability
    1. and bond yields
    2. calculation for
    3. and corporate asset value
    4. and credit risk
    5. distribution of
    6. estimating
    7. and loan term
  69. default risk management
  70. derivative asset-pricing model
  71. derivatives
    1. correlations of
    2. in energy markets
    3. interest rate swaps for
    4. market for
    5. and nonstorable commodities
    6. pricing of
    7. risk associated with
  72. diffusion processes
  73. discount bonds
    1. and liquidity premium
    2. pricing of
    3. and spot rate
  74. discount function
    1. specification of
    2. in term structure models
  75. diversification
    1. and credit valuation
    2. desired effect of
    3. and expected loss
    4. and loan pooling
    5. perfect
    6. quantitative characterization of
    7. as risk mitigation
    8. and systematic risk
  76. Diversified Corporate Loans (DCL)
  77. dividend payouts
    1. in capital market theory
    2. in credit valuation
  78.  
  79. East Central Area Reliability (ECAR) Co-ordination Agreement
  80. efficient frontier
  81. efficient market model
    1. empirical validation of
    2. overview
    3. and riskless arbitrage
    4. and risk-return relationship
    5. theory of
    6. See also capital asset pricing model (CAPM)
  82. electricity
    1. market for
    2. pricing for
    3. as unstorable commodity
    4. See also energy markets
  83. empirical distribution function (EDF)
  84. energy markets
    1. price spikes in
    2. pricing in
    3. risk premia in
    4. spot prices in
  85. Enron
  86. entropy
    1. maximum
    2. of normal distribution
  87. equilibrium
    1. and asset pricing
    2. in capital markets
    3. constant changes in
    4. equation describing
    5. in production economy
    6. and riskless arbitrage
    7. in risk-neutral economy
    8. See also equilibrium economies; general equilibrium models
  88. equilibrium economies
    1. with heterogeneous participants
    2. and interest rates
    3. price of risk in
  89. equity
    1. calculating value of
    2. as corporate liability
    3. and credit valuation
    4. and loan default
    5. risk management for
  90. ergodicity
  91. ESSEC, xi
  92. exchange rates
  93. expectation hypothesis
  94. expected default frequency (EDF)
  95. expected loss
    1. and additional debt
    2. beta estimation to minimize
    3. calculating
    4. compensation for
    5. definition of
    6. and portfolio diversification
    7. in portfolio risk
  96. expected rate of return
    1. in CAPM
    2. definition of
    3. in efficient markets
    4. in portfolio immunization strategy
    5. on portfolios
    6. and risk
  97. expected spot rate
  98. exponential spline fitting
  99. exposure to risk
  100. extendible options
  101.  
  102. Federal Home Loan Bank (FHLB) securities
  103. Federal Reserve Bank (FRB)
  104. financial theory
    1. CAPM impact on
    2. development of
    3. economics as focus in
    4. Vasicek's impact on
  105. fixed-income instruments
    1. in best-return strategy
    2. and interest rate variability
    3. and risk
    4. U.S. Treasury issues as
  106. Fong, H. Gifford, xi
  107. foreign exchanges
  108. forward contracts, for energy markets
  109. forward rates
    1. and bond portfolio value
    2. and derivatives pricing
    3. in energy markets
    4. equation for
    5. and immunization risk
    6. and liquidity premium
    7. and market-implicit forecast
    8. in term structure models
  110. fraud
  111. future earnings
  112. future prices
    1. mechanisms of
    2. predictors of
  113. futures contracts
    1. for energy markets
    2. vs. forward contracts
    3. and market-implicit forecasts
  114. future term structure
  115.  
  116. gambler's ruin
  117. Geman, Hélyette, xi
  118. general equilibrium models
    1. function of
    2. with heterogeneous participants and discrete consumption
    3. and interest rate term structure
    4. production
    5. pure exchange
    6. See also equilibrium; equilibrium economies
  119. Gifford Fong Associates
  120. goodness-of-fit test
  121. goodwill
  122. government rates, spreads over
  123. government securities
  124. Group of Thirty
  125.  
  126. Heath, Jarrow, Morton model
  127. holding period return
  128. Hunter, Robert
  129.  
  130. immunization risk
  131. immunized portfolios
    1. risk-return tradeoff for
    2. strategy for
  132. index funds
  133. index tracking
  134. interest rates
    1. anticipating changes in
    2. on bonds (see bond pricing)
    3. and changes in economic conditions
    4. on derivatives (see derivatives, pricing of)
    5. determination of
    6. and equilibrium models
    7. and futures contracts
    8. and investor preferences
    9. level of
    10. on loans (see loans, pricing of)
    11. and portfolio immunization
    12. and risk
    13. spot (see spot [instantaneous] interest rates)
    14. swaps
    15. term structure of
    16. volatility of
  135. investment strategies
    1. best-return
    2. in equilibrium models
    3. and expected rate of return
    4. immunization (see immunized portfolios)
    5. index tracking
    6. optimal
    7. in risk-neutral economies
    8. and timing
  136. investors
    1. in best-return strategy
    2. and credit valuation
    3. in efficient markets
    4. fixed-income
    5. and gambler's ruin
    6. information channels for
    7. preferences of
    8. rational
    9. risk tolerances of
    10. and stock price changes
  137.  
  138. JPMorgan Chase
  139.  
  140. Kealhofer, Stephen, xi
  141. Keilson, Julian, xi
  142. Kirchoff laws
  143. KMV Corporation, xi
  144. K test for normality
  145.  
  146. law of large numbers
  147. least-squares regression, in beta estimates
  148. Lehman Government/Corporate Bond Index
  149. lenders
    1. claims on assets by
    2. and loan riskiness
  150. liabilities
    1. funding of
    2. multiple, and immunized portfolios
    3. See also corporate debt; debt
  151. liquidity
    1. in capital markets
    2. risk associated with
    3. and risk tolerance
  152. liquidity premium
  153. loan portfolios
    1. granularity of
    2. loss probability distribution for
    3. market value of
  154. loans
    1. credit valuation as prerequisite for
    2. default on (See also default probability)
    3. loss correlations for
    4. pooling of
    5. pricing of
    6. term of
  155. losses
    1. correlations for loans
    2. expected value of (see expected loss)
    3. as function of risk
    4. limiting distribution of
    5. and portfolio diversification
  156.  
  157. M2
  158. market-implicit forecasts
    1. in bond portfolio analysis
    2. in term structure models
  159. market portfolio
    1. in CAPM
    2. in equilibrium models
    3. and individual security prices
    4. risk measurement for
    5. in risk-neutral economy
    6. and tangent portfolio
    7. and zero price of risk
  160. market price
  161. market price of risk
    1. in CAPM
    2. in case study
    3. and energy derivatives
    4. in equilibrium models
    5. in liquidity premium calculation
    6. in risk-neutral economies
    7. in term structure model
  162. markets
    1. complete
    2. efficiency of
    3. risks due to changes in
    4. volatility of
    5. See also capital markets; energy markets; stock market
  163. market sensitivities
  164. market value
    1. of corporate assets
    2. in credit valuation methodology
    3. and loan default
    4. of loan portfolios
    5. and risk measurement
  165. Markov chains, ergodicity of
  166. Markov processes
    1. in energy spot price models
    2. in equilibrium models
    3. in term structure models
  167. martingales
    1. definition of
    2. and energy markets
  168. maximum entropy principle
  169. McAllister, Patrick
  170. McQuown, John A. (Mac), xi, xii
  171. Mehta, Nina
  172. Merrill Lynch, Pierce, Fenner & Smith, Inc.
  173. Merton, Robert C., ix, xii
  174. Merton-Black-Scholes approach
  175. Merton model
  176. Miller, Merton
  177. Modigliani, Franco
  178. money market account
  179. Moody's Investors Service
  180. Moody's KMV
  181. multiple liability immunization
  182.  
  183. New York Stock Exchange (NYSE)
  184. nonstorable commodities
  185. normality, testing for
  186.  
  187. optimal investment and consumption decisions
  188. options
    1. in energy markets
    2. on fixed-income instruments
    3. probability distributions in pricing
    4. risks associated with
  189. options pricing theory
  190. Ornstein-Uhlenbeck process
  191.  
  192. Pearson, C. J.
  193. perfectly diversified portfolio
  194. perfectly immunized portfolio
  195. performance measurement, for bond portfolios
  196. portfolio insurance
  197. portfolio management
    1. in best-return strategy
    2. components of
    3. and effects of interest rate changes
    4. as factor in return analysis
    5. risk associated with
  198. portfolios
    1. based on beta estimates
    2. in CAPM
    3. diversification of (see diversification)
    4. efficient
    5. immunized (see immunized portfolios)
    6. investment strategies for (see investment strategies)
    7. management components for
    8. mean-variance optimization of
    9. perfectly diversified
    10. performance measurement for
    11. rate of return on
    12. risk measurement for
    13. and stock covariance
    14. tangent
    15. target
    16. zero-beta
    17. See also bond portfolios; loan portfolios; market portfolio
  199. prepayments, risks associated with
  200. probability distributions
    1. bivariate normal distribution function
    2. and entropy
    3. and ergodicity
    4. limiting state
    5. for loan losses
    6. of portfolio value changes for risk assessment
    7. and wait times in queueing systems
  201. probability theory
  202. production
    1. in equilibrium models
    2. independence from technology
    3. investment in
  203. production models (general equilibrium)
  204. pure exchange models (general equilibrium)
  205.  
  206. queueing discipline
  207. queueing systems
  208.  
  209. rainbow options
  210. random walk
    1. in efficient markets theory
    2. elastic
    3. geometric
  211. rate of return
    1. in CAPM
    2. covariance in
    3. expected (see expected rate of return)
    4. and portfolio immunization strategy
    5. regression coefficient of
    6. as risk measurement parameter
    7. specific vs. systematic
    8. variance in
  212. rating agencies
  213. rational expectations hypothesis
  214. recovery, in loan defaults
  215. reduced-form models
  216. regulation, as risk factor
  217. return on investment
    1. analyzing sources of (for bonds)
    2. best-performance strategy for
    3. and risky issues
  218. risk
    1. and corporate asset valuation
    2. definition of
    3. in equilibrium models
    4. exposures to
    5. immunization
    6. and interest rate volatility
    7. market price of (see market price of risk)
    8. neutrality to
    9. and portfolio diversification
    10. price fluctuation as measure of
    11. sources of
    12. specific
    13. systematic
    14. technology vs. production
    15. and variance in rate of return
    16. See also default probability; risk-return relationship; zero price of risk
  219. Risk
    1. lifetime achievement award
  220. risk-adjusted return
  221. risk aversion
    1. in CAPM
    2. in efficient market model
    3. in energy markets
    4. in equilibrium economies
  222. risk factors
  223. risk-free financial instruments
  224. risk-free rate
    1. in CAPM
    2. and expected return
    3. and loan pricing
    4. in risk-neutral economy
  225. riskless asset
    1. in CAPM
    2. in tangent portfolio
    3. in zero-beta portfolio
  226. risk management
    1. function of
    2. need for
  227. risk measurement
    1. beta coefficient in
    2. in capital market theory
    3. components of
    4. for corporate debt
    5. in credit analysis
    6. development of
    7. for loan portfolios
    8. in loan pricing
    9. market-price-based
    10. and portfolio optimization
    11. and return variance
    12. term structure models in
    13. types of
  228. risk-neutral probabilities
  229. risk premia
    1. in electricity market
    2. and interest rate volatility
  230. risk-return relationship
    1. compensation in
    2. defined
    3. in immunized portfolios
    4. measuring
    5. in optimal portfolios
    6. and portfolio insurance
  231. Roll, Richard, xii
  232. Ross, Stephen
  233.  
  234. sampling errors
    1. in beta estimation
    2. mitigating
  235. sampling theory
  236. Scholes, Myron
  237. sector
    1. energy (see energy markets)
    2. as performance analysis factor
    3. price variability of
    4. value-at-risk for
  238. securities
    1. betas of
    2. in equilibrium economy
    3. government
    4. high-risk
    5. price changes in
    6. selection of
    7. systematic/specific risk of
    8. valuation of
    9. value-at-risk for
    10. See also specific types
  239. security market line
  240. Security Risk Evaluation service
  241. sensitivity analysis, in risk measurement
  242. separation theorem, in CAPM
  243. Shapiro-Wilk test for normality
  244. Sharpe, William
  245. Shearson Lehman Treasury Index
  246. short rate
    1. in bond pricing
    2. in general equilibrium models
    3. in term structure model
  247. sovereign debt
  248. specific returns
  249. specific risk
  250. splines
    1. and discount function
    2. exponential fitting of
    3. in yield curve plotting
  251. spot (instantaneous) interest rates
    1. and bond returns
    2. in case study
    3. definition of
    4. equation for
    5. expected
    6. and forward rate
    7. in liquidity premium calculation
    8. and market-implicit forecasts
    9. in term structure models
  252. spot prices, in energy markets
  253. standard deviation
    1. defined
    2. of rate of return for immunized portfolios
    3. in risk measurement
  254. standard deviation of loss (unexpected loss)
  255. Stanford University
  256. state price density process
    1. in equilibrium models
    2. in risk-neutral economy
    3. and zero price of risk
  257. stochastic volatility term structure (SVTS)
  258. stockholders
    1. and bankruptcies
    2. capital flows to
  259. stock market
    1. and CAPM
    2. and individual stock prices
    3. NYSE
    4. role in credit valuation
  260. stock options, valuation of
  261. stocks
    1. beta estimation for
    2. as call on firm's assets
    3. and corporate credit valuation
    4. liquidity of
    5. and loan default
    6. pricing of
    7. riskiness of
    8. volatility of
    9. See also securities
  262. storable commodities
  263. Stratos
  264. stress testing, in risk measurement
  265. supply and demand
    1. and energy markets
    2. in general equilibrium models
    3. and interest rates
  266. swaps
    1. credit default
    2. cross-country
    3. on derivatives interest rates
    4. spreads on
  267. systematic return
  268. systematic risk
    1. compensation for
    2. definition of
    3. measuring for securities
    4. and portfolio diversification
  269.  
  270. tangent portfolio
  271. target asset, in best-return strategy
  272. target portfolio
  273. target rate of return
  274. taxes
    1. on capital gains vs. dividends
    2. as corporate liability
    3. effect in term structure models
  275. technology
    1. in equilibrium models
    2. independence from production
  276. telecommunications market
  277. term structure
    1. applications for
    2. benchmark maturities in
    3. empirical estimation of
    4. future
    5. of interest rates
    6. liquidity premium in
  278. term structure equation
  279. term structure models
    1. applications for
    2. in bond performance analysis
    3. case study using
    4. and equilibrium models
    5. function of
    6. and interest rate volatility
    7. notation for
    8. specification for
    9. See also specific models
  280. term structure theory
  281. tetrachoric series
  282. timing
    1. of bond portfolio changes
    2. in portfolio management
  283. transaction costs
  284. Treynor, Jack
  285.  
  286. uncertainty
    1. as concept
    2. and rate of return
  287. unexpected loss
  288. uniform cost allocation
  289. University of California at Berkeley
  290. University of Rochester
  291. U.S. Treasury securities
  292.  
  293. value-at-risk (VaR)
    1. calculating
    2. in risk measurement
  294. variance (Var)
    1. calculating
    2. in CAPM
    3. in interest rate volatility
    4. of portfolio
    5. in portfolio risk measurement
    6. in queueing systems
    7. in rate of return
  295. Vasicek, Oldrich Alfons
    1. career of
    2. as IAFE/SunGard Financial Engineer of the Year (2004)
    3. interview with
    4. as Risk lifetime achievement award recipient
  296. Vasicek model
  297. vega
  298. Venezuela, sovereign debt of
  299. volatility
    1. of interest rates
    2. measuring
    3. in prices
    4. and specific risk
    5. stochastic
    6. of stocks
  300. volatility exposure
  301.  
  302. wealth
    1. in CAPM
    2. in equilibrium models
    3. and rate of return
    4. in risk-neutral economies
    5. and risk tolerance
    6. transfers to stockholders
    7. and zero price of risk
  303. Wells Fargo Bank
  304. Worldcom
  305.  
  306. yield curve
    1. for bonds
    2. factors in evolution of
    3. for interest rates
    4. and portfolio immunization
    5. and portfolio value
    6. splines used for
    7. and term structure models
  307. yield to maturity
    1. in bond performance analysis
    2. on coupon bonds
    3. equation for
  308. Yoo, D.
  309.  
  310. zero-beta portfolio
  311. zero price of risk
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