Index
AAA ratings, reliance on
Abacus structure design
ABS. See Asset-backed securities
Academia sector See also Faculty
Accounting:
insurance risk and
translation risk and
Accounting orientation
Accounting Standards
Codification 815
Codification 820
Adamson, Simon
AIG (American International Group) case study
Ajax Re
Algorithmic forex trading
Allied Irish Bank
Allied-Lyons
Allstate Corporation case study
Alpha, description of See also Portable alpha
Alpha overlay, implementing
Alpha return, definition of
Alpha transport, implementing
Alt-A loans
Alternative investments career path:
applications/front office
infrastructure/back office
management/middle office
overview of
structurer example
Alumni networks
Amaranth hedge fund
American option
American Stock Exchange
American University
Amortizing swaps
Analysis of trading history
Annuity obligations and longevity risk
Applegarth, Adam
Applications/front office area
Arbitrage
capital structure
first-order
regulatory, and AIG
second-order
Arbitrage CDOs
Arbitrage complexes
Arbitrage trading See also No-arbitrage condition
Armstrong World Industries, Inc.
ASC Topic
Asian financial crisis
Ask prices
Asset allocation
Asset-backed securities (ABS):
debt sizing
issuing of
market size and segments
origins of
recent events
Asset-backed security CDOs (ABS CDOs)
Asset classes:
currency as
FX as
illiquidity across
Asset-liability management
Asset Management sector
Asset swaps
Asset values
Assumptions:
of investor behavior
in risk reports
Asymmetry penalty
At-the-money options
Auction process
Auction-rate securities
Authority to contract
Automobile loans
Back office/infrastructure area
Backtesting:
quantitative trading and
systematic trading and
Bailouts
Bank balance sheet transactions
Bankers Trust
Bank for International Settlements
Bank Holding Company Act (U.S.)
Bank of America and Countrywide Financial
Bank of England:
Barings PLC and
foreign exchange market and
London Code of Conduct
Northern Rock PLC and
Bank of France
Bank of Japan
Banks. See also Central banks; specific banks
credit-linked notes and
investment in technology by
procyclicality and
ranking of
reserves of
runs on, in United Kingdom
top five, in foreign exchange
willingness to lend
Barings Bank:
case study
collapse of
operational risk and
BARRA Integrated Model
Barter
Basel Committee on Banking Supervision:
Basel I rules
Basel II committee
Basel III, proposals for
description of
Joint Forum of
legal risk and
operational risk and
regulatory framework
Basis trading
Basket peg
Bayesian theory
Bear Stearns
Benchmarking and systematic trading
Berkshire Hathaway
Bespoke synthetic CDOs
Beta, description of
Beta return, definition of
Bhansali, Vineer
Bid-ask spreads
Bilateral repos
Black model
BlackRock
Black-Scholes-Merton model
Black-Scholes model
Bloomberg LLP
Boards of directors:
reviews of VaR and stress testing
“tone at the top” and
Bonds. See also Treasury bonds
catastrophe (cat)
convertible
domestic
Eurobonds
foreign
general obligation
government
interest-only
municipal
peak mortality
principal-only
revenue
sequential
zero-coupon
Bootstrapping exercise
Bootstrapping of yield curve
Bouton, Daniel
Brace, Gatarek, and Musiela model
Branson, Richard
Breaching of triggers
Bretton Woods system
British Bankers Association survey
Broad Index Securitized Trust Offering
Broker-dealers, challenges and responsibilities of
Brown, Jerry
Broyhill, Paul
Buffet, Warren
Build America Bonds
Burnout
Buy side
Buy side career path
Callable swaps
Call options
Capacity to contract
Capital Adequacy Framework
Capital asset pricing model (CAPM)
Capital markets
Capital structure arbitrage
Caplets
CAPM (capital asset pricing model)
Careers in financial engineering:
computer programming skills
demand fluctuations
evolution of field
functional areas
graduate objectives
job functions
job placement
paths for
qualitative trader example
structurer example
variety of
Carnegie Mellon University
Case-Shiller real estate indexes
Case studies:
Allied Irish Bank/Allfirst
Barings PLC
Countrywide Financial
credit derivatives
fiduciary duty and
fixed income, swap market
Florida State Board of Administration
investment funds
Long-Term Capital Management
Northern Rock PLC
Orange County
Société Générale
Case Western Reserve University
Cash flow:
CDOs and
determinants of
risk assessment and
translation risk and
Cash flow analysis of CDOs
Cash flow hedge accounting
Cash flow waterfall
Cash market:
commodity market types
equity market roots
international debt market
municipal debt market
overview of
repurchase agreements
Treasury debt market
Cash reserve accounts
Cash-settled options
Cassano, Joseph
Catastrophe (cat) bonds
Catastrophe (cat) swaps
CDOs. See Collateralized debt obligations
CDS. See Credit default swaps
Cecala, Guy
Central banks. See also Bank of England; Federal Reserve
applications/front office
Bank of France
Bank of Japan
career path overview
European Central Bank
foreign exchange market and
history overview
infrastructure/back office
management/middle office
monetary policy of
People’s Bank of China
policy tools of
repo markets and
structurer example
Centre for the Study of Financial Innovation, “Banking Banana Skins” report
CFTC. See Commodity Futures Trading Commission
Chase Manhattan Bank
Chase Secured Loan Trust
Chicago Board of Trade
Chicago Mercantile Exchange (CME)
China:
foreign exchange market
job placement
Citerne, Philippe
Citibank
Citigroup
Citron, Robert
Claremont Graduate University
Clean floaters
Clearinghouses:
commodity market and
equity market and
foreign exchange market and
CLS Bank
CLS Group
CME. See Chicago Mercantile Exchange
Collateralized debt obligations (CDOs):
AIG and
customized solutions
definition of
first generation products
future of
history of
Merrill Lynch and
overview of
recent events
second generation products
valuation of
Collateralized loan obligations (CLOs)
Collateralized mortgage obligations (CMOs):
definition of
future of
non-agency CMOs
overview of
Commercial mortgage-backed securities
Commitment fees
Committee on Payment and Settlement Systems
Commodities and inflation
Commodity cap
Commodity floor
Commodity Future Modernization Act (U.S.)
Commodity Futures Trading Commission (CFTC):
commodity pools and
derivatives and
Dodd-Frank bill and
futures trading and
Commodity indices
Commodity-linked notes
Commodity market:
commodity options
commodity swaps
ETF approach
exchange-traded versus OTC
financial engineering in
future of
futures contracts
history of
regulation of
risk management
snapshot of
synthetic barter
Commodity options
Commodity pool operators
Commodity pools
Commodity swaps
Commodity trading advisors
Compensation structure
Competition, perfect
Compulsion by governments with insurance requirements
Computer programming
Confirmation bias
Consultants:
applications/front office
infrastructure/back office
management/middle office
structurer example
Contagious nature of risk
Continuity in firms, and tone at top
Contracts
breach of
capacity and authority to enter into
Contracts for difference
Controlled exchange rates
Convergence models
Convertible bonds
Convexity
Convexity bias
Cooperman, Leon
COOs, role of
Corn, commodity market
Corporate debt, issuance of
Corporate structure
Corporations:
cyclically sensitive
macroeconomic stresses on
multinational
Correlation trading
Counterparties, challenges and responsibilities of
Counterparty risk
Countrywide Financial
Covered options, writing
Cox-Ingersoll-Ross model
C$++$ programming
Credit Agricole
Credit analysis, of municipal bonds
Credit assessment
Credit crisis:
auction-rate securities and
lessons learned from
liquidity and
operational risk and
portable alpha programs and
Credit default swaps (CDS):
AIG and
definition of
first generation products
history of
Merrill Lynch and
notional growth in market for
perceptions of
regulatory status
second generation products
sovereign
structured products
as unregulated market
valuation of
Credit Derivative Definitions
Credit derivatives market:
applications of
case studies
first generation products
future of
perceptions of
predecessor products
second generation products
snapshot of
structured products
Credit enhancement
Credit events, in CDS
Credit-linked notes
Credit ratings. See also Rating agencies
securitized products and
translation risk and
Credit risk:
CDOs and
credit market and
currency futures and
securitization and
Credit spreads:
calculating
credit market and
Cronin, David
Cross-border mergers
Cross-border transactions
Cross-currency swaps
Crossover (XO) CDX indices
C# programming
Currency collars
Currency futures contracts
Currency market, application of alpha and beta to
Currency options
Currency overlay and systematic trading
Currency swaps
Curve trading
Customer market
Custom solutions
Cutoff time
Darling, Alistair
Data availability and insurance risk
DCF (discounted cash flow) model
Default rates
Defaults:
currency futures
forecasting
municipal bonds
Deflation:
economist predictions of
investing with
Delinquency, in DCF model
Deliverable basket
Dell
Deregulation:
inception and early stages
massive growth period
rationalization period
Derivatives. See also Equity derivatives
accounting environment for
careers overview
cross-border transactions
definition of
foreign exchange
history of
illiquidity of
interest rate
legal risk and
over-the-counter, regulation of
pricing of
regulatory environment
symmetric
Derivatives case studies:
Allied Irish Bank/Allfirst
Barings PLC
Société Générale
Derivatives market. See also Credit derivatives market
commodity market overview
forward rate agreements
future of
government bond futures
interest rate futures
interest rate swaps
options
overview of
structured products growth
Derry v. Peek
Deterministic approach
DIAMONDS fund
Dilution
Dinallo, Eric
Directional signals, hedging using
Dirty floaters
Discipline in trading strategies
Disclosure policies
Discount curves
Discounted cash flow (DCF) model
Discount rate of central banks
Discretionary trading, systematic trading as alternative to
Diversification:
across markets
across models
across time-scales
dilution of returns and
of funding
illusion of
market shocks and
portfolio design considerations
Documentation of transactions:
ambiguous, of derivative transactions
credit market and
structured products
Dodd-Frank Wall Street Reform and Consumer Protection Act (U.S.):
credit market and
derivatives reform in
quantitative trader role and
sell-side firms and
structurer role and
swaptions and
Domestic bonds, definition of
Dow Jones Industrial Average
Drage v. Procter & Gamble
Due diligence process:
on hedge funds
on investment managers
legal risk and
Duration as bond attribute
Education in financial engineering:
course tracks
curricula
departmental offerings
faculty
graduate objectives
graduation statistics
history of
internships and research
job placement
pre-enrollment requirements
program diversity
program names
programs contacted
required courses and electives
survey methodology
Efficient market theory
Electronic brokers
Electronic Broking Services
Electronic communication networks
Electronic trading systems
Embedded swaps
Emotion in trading decisions
Employee stock options
Energy futures
Enron
Enterprise risk management
Entry conditions for trading strategies
Environmental risk, legal risk as
Equation of exchange
Equity capital management
Equity curves
Equity derivatives:
equity options
equity swaps
exchange-traded index options
single-stock futures
stock index futures
structured products overview
Equity market:
arbitrage complexes
commodity-linked notes
equity derivatives
exchange-traded funds
origins of
portfolio trading and
shareholder protection
snapshot of
tax efficiency
trading cost declines
Equity options
Equity swaps
Equity trading See also Quantitative trading
ETFs. See Exchange-traded funds
Eurobonds, overview of
European Central Bank
European options
European swaptions
European Union:
Markets in Financial Investments Directive
regulatory evolution in
Solvency II framework
yield curves for
Eurozone
Evaluation of systematic trading ideas and products
Event of default:
incorporating into valuation model
structured products and
Excel VBA
Excess return, definition of
Exchange rate determination
Exchange-traded commodity products
Exchange-traded equity options
Exchange-traded funds (ETFs):
background of
commodity market
description of
improving
shareholder protection
structured products
tax efficiency
Exchange-traded index options
Exit conditions for trading strategies
Expected returns, forecasting
Extreme event risk
Extreme Value Theory (EVT)
Factor models
Faculty See also Academia sector
Fair value, hierarchy of
Fair value hedge accounting
Fannie Mae. See Federal National Mortgage Association
FASB. See Financial Accounting Standards Board
Federal Family Education Loan Program
Federal funds rate
Federal Home Loan Mortgage Corporation (Freddie Mac):
future of market
history of market
MBS pricing
reporting by
Federal Housing Authority
Federal National Mortgage Association (Fannie Mae):
future of market
history of market
lawsuits against
MBS pricing
Federal Reserve (U.S.):
AIG and
Allied Irish Bank executives and
in August 2007
Federal Reserve Board
liquidity crisis and
Long-Term Capital Management and
LTCM bailout
Term Asset-Backed Lending Facility
unwinding of rogue trades and
Federal Reserve Bank of New York
Feynman, Richard
Fiduciary duty:
breach of
in case studies
Financial Accounting Standards Board (FASB):
accounting rules for derivatives
Derivatives Implementation Group
Financial Accounting Standards No. 133
Financial crisis of 2007-2009:
illiquidity risk and
operational risk management and
rationalization period
regulatory evolution after
Financial engineering. See also Careers in financial engineering; Education in financial engineering; History of financial engineering
definition of
use of term
Financial guaranty insurance
Financial institutions:
fiduciary duty of
market conditions for
operating environment of
Financial market innovation. See Innovations for systemic risk management
Financial Services Act (U.K.)
Financial Services and Markets Act (U.K.)
Financial Services Authority (U.K.)
First-order arbitrage
First-to-default baskets
First-to-default swaps
Fiscal policy
Fitch rating agency:
Allied Irish Bank and
Chase and
Countrywide Financial and
Fitted yield curve
Fixed income case study, swap market
Fixed income market:
cash markets
derivatives markets
interest rate models
overview of
price--yield relationship
snapshot of
structured product growth
trading strategies
yield curve
Fixed recovery default swaps
Floater CMOs
Floating exchange rates
Floorlets
Florida State Board of Administration
Florida State University
Ford
Foreign bonds, definition of
Foreign exchange (FX). See also Systematic trading
global market turnover by counterparty
impact of electronic trading technology on
leveraged fund market share
Foreign exchange derivatives
Foreign exchange (forex) market:
efficiency of
exchange rate determination
institutional framework
need for
risk management
snapshot of
Foreign markets, job placement
Forex swaps
Forward contracts
Forward participation agreements
Forward range agreements
Forward rate
Forward rate agreements
Forward rate curves
401(k) plans
France
Bank of France
international debt market
Fraud
Freddie Mac. See Federal Home Loan Mortgage Corporation
Freemantle transactions
Frictionless markets
Front office/applications area
Fundamental Theorem of Asset Pricing (FTAP)
Futures:
currency
government bond
interest rate
stock index
Futures contracts
Futures options
Gambling and derivative transactions
Gamut Re
Gaussian copula model
GDP swaps
General collateral repos
General Electric and VaR
General obligation bonds
Gensler, Gary
Geographic location, job placement and
Germany, international debt market
Ginnie Mae. See Government National Mortgage Association
Glass-Steagall Act (U.S.)
Global financial crisis. See Financial crisis of 2007-2009
Global growth of mortgage market
Globalization, history overview
GM
Gold, commodity market
Goldman Sachs
Government bond basis trading
Government bond curve trading
Government bond futures
Government bond futures options
Government bonds
Government National Mortgage Association (Ginnie Mae):
evolution of market
future of market
history of market
MBS pricing
structure of market
Governments and systemic risk management:
data availability and
insurance risk
policy considerations
Grain merchants, commodity market and
Gramm-Leach-Bliley Act (U.S.)
Greenberg, Hank
Greenberg, Maurice
Greenspan, Alan
Guarantees, agency market and
Guilds, commodity market and
Harrisburg, Pennsylvania
Hatzius, Jan
Hazell vs. Hammersmith and Fulham
Heath, Jarrow, and Morton model
Hedge funds. See also Hedging; Performance fees for hedge funds
Bear Stearns
equity swaps
of LTCM
operational risk and
reinsurance companies in
Hedge Fund sector
Hedges against inflation
Hedging. See also Hedge funds
accounting orientation compared to
algorithms for
determining how much to hedge
generation of losses with
longevity risk
oil market example
orientation of
structured products and
systematically
trading orientation compared to
translation risk and
High-yield (HY) CDX index
Historic rate rollover
History of financial engineering:
inception and early stages
massive growth period
overview of
pre-inception period
rationalization period
“Hockey stick” diagram shape
Hole-in-one gang
Hong Kong University of Science and Technology
Housing policy
Humanitarian aid, financial innovations supporting
IBM
Illiquidity, incorporating effects of in valuation
Indemnity instruments
Independent valuation
Index instruments
Index participation shares
Index strategies
Index technology
Indices:
CDS benchmark
linking notes to
Industrial sector
Industry comparisons for benchmarking
Industry loss warranties
Inflation:
economist predictions of
investing with
as monetary phenomenon
Informational efficiency
Infrastructure/back office area
ING Group
Initial margin
Innovations for systemic risk management:
incomplete markets for insurance risk
insurance risk
overview of
private-sector
public policy considerations
public-sector
risk transfer activity
Insolvency
Institutional relationships
Insurable interest
Insurance:
ABS market and
credit market and
Insurance risk:
incomplete markets for
management of
Interbank market
Interest coverage (IC) tests
Interest-only bonds
Interest rate derivatives
Interest rate futures
Interest rate futures options
Interest rate hedging
Interest rate models
Interest rates, term structure of
Interest rate swaps
Internal Revenue Code
International Association of Financial Engineers
International debt market
International Monetary Market
International Organization of Securities Commissions
International regulation of derivatives
International Swaps and Derivatives Association
Internships
In-the-money options
Intraday trading
Inverse floater CMOs
Investment banks See also specific banks
Investment Company Act (U.S.)
Investment grade (IG) CDX indices
Investment managers, due diligence process on
Investment strategies, crowding into
Investor behavior, assumptions of See also Valuation framework
IShares MSCI Series
Italy, international debt market
ITraxx indices
Japan:
commodity market
foreign exchange market
yield curves for
Java programming
Joint Forum of Basel Committee
Jorion, Philippe
J.P. Morgan
Jumbo loans
Jumbo prime category
Kamp Re
Kawaller Fund
Kent State University
Kerviel, Jerome
Key rate duration
King, Mervyn
Lagarde, Christine
LANCE structure
Lane Financial LLC
Law of One Price
Lawyers, challenges and responsibilities of
Leaning against the wind
Lee, Matthew
Leeson, Nicholas (Nick)
Legal risk:
ambiguous documentation
breach of contract
breach of fiduciary duty
challenges and responsibilities for key players
costs associated with
definition of
education overview
fraud
insolvency
key issues in
lack of capacity or authority
mitigation of
regulatory characterizations
regulatory evolution
regulatory landscape
Lehman Brothers:
CAT bonds and
commodity-linked notes and
cross-border transactions of
failure of
failure to rescue
Nomura International PLC and
“repo 105” practice of
Letters of credit
Leverage:
LTCM and
in systematic trading portfolio design
Liar loans
LIBOR-OIS spread
Liddy, Edward
Life annuities
Life insurance securitizations
Limit order books
Limit orders
Liquidity, definition and variability of
Liquidity buckets
Liquidity crisis
Liquidity risk
Liquidity traps
Loan CDS
Loan covenants
Loan-only CDS (LCDX) index
Loan origination policies
Loans
Alt-A
automobile
derivative transactions characterized as
jumbo
liar
student
Loan total return swaps
Longevity risk
Long-Term Capital Management (LTCM):
case study
collapse of
cross-border transactions of
hedging interest rate risk
Loss severity
LTCM. See Long-Term Capital Management
Ludwig, Eugene
Macaulay duration equation
Macroeconomic derivatives
Macroeconomic innovation
Macroeconomic risk models
Madoff Ponzi scheme
Mahonia Ltd. v. J.P. Morgan Chase Bank
Maintenance margin
Malaysia, foreign exchange market
Managed futures funds
Management fees. See Performance fees
Management/middle office area
Margin, posting of
Margin trading in systematic trading portfolio design
Market markers
Market orders
Markets. See also Cash market; Commodity market; Credit derivatives market; Derivatives market; Equity market; Fixed income market; Foreign exchange (forex) market; Mortgage market
capital
currency
customer
interbank
international debt
municipal debt
specified pool
structure of, and insurance risk
swap
Treasury debt
Market shocks
Markets in Financial Investments Directive (E.U.)
Markit CDX index
Markowitz, Harry
Mark-to-market:
in fair value hierarchy
in foreign exchange market
Mark-to-market accounting and risk calculations
Mark-to-market risk
Mark-to-matrix, in fair value hierarchy
Mark-to-model, in fair value hierarchy
Mark-to-model reserves
Mathematics, study of
Maximum drawdown (MDD)
Maytag Corp.
MBIA Insurance Corp.
MBSs. See Mortgage-backed securities
Mean reversion strategies
Media effect
Merchant class
Meriwether, John
Merna transactions
Merrill Lynch
Merton, Robert
Metallgesellschaft AG
Metrics research
Mexican earthquake CAT bond
Middle office/management area
Miller, Merton
Milligan, Bob
Milliman Medical Index
Mindich, Erich
Mitigation:
of legal risk
of operational risk
Models. See also Quantitative equity models; specific models
Black
Black-Scholes
Black-Scholes-Merton
capital asset pricing
discounted cash flow
diversification across
macroeconomic risk
refinance
requirements for
turnover
Modern portfolio theory (MPT):
portfolio design and
quantitative trading and
risk and
Momentum strategies
Monetary base
Monetary policy
Money multiplier
Money supply
Monoline insurers
Moral hazard and rescue of AIG
Morgan Stanley
Mortality credits
Mortgage-backed securities (MBSs):
AIG and
description of
Florida State Board of Administration and
future of
history of market
investment banks and
pricing of
structure of market
valuation of
Mortgage case studies:
Countrywide Financial
Northern Rock PLC
Mortgage market. See also Federal Home Loan Mortgage Corporation; Federal National Mortgage Association; Government National Mortgage Association; Subprime mortgages
agency market structure
collateralized mortgage obligations
evolution of
future of
global growth of
history of
MBS pricing
mortgage pass-through securities
non-agency market
snapshot of
Mortgage pass-through securities
Mozilo, Angelo
MPT. See Modern portfolio theory
Multicurrency cash settlement systems
Multinational corporations
Multiperiod credit spread framework:
event of default, incorporating
overview of
risk-neutral valuation
term structure of interest rates
Multiple comparisons problem
Municipal bond insurance
Municipal debt market
Municipalities:
cyclically sensitive
macroeconomic stresses on
Mustier, Jean-Pierre
Mutual fund fees, hedge fund fees compared to
Mutual funds:
Investment Company Act and
NAV-based trading comparison
shareholder protections
Naked options, writing
Nanyang Business School
Nasdaq 100, Q ETFs
National Housing Act (U.S.)
Negative assurance opinions
Net asset value
New York Stock Exchange
New York University
No-arbitrage condition:
challenge in use of
description of
dual problem
event of default, incorporating into
market equilibrium and
multiperiod framework for
pricing relationships
two-state, single-period framework
No-arbitrage models
Noise of market data
Nomura International PLC
Non-agency mortgage market
Non-executive directors, neutrality of
North Carolina State University
Northern Rock PLC
Note component
Notional principal
Notional quantity
Noyer, Christian
Offer prices
Oil, commodity market
Oklahoma State University
One-sided risks
Open-adjusted spread approach
Open market operations
Operating environment of financial institutions
Operational risk:
definition of
fiduciary duty and
hedge funds and
history of business of
mitigation of
sources of, and interdependencies across risk types
Opportunity costs:
legal risk and
liquidity and
Option Clearing Corporation
Options:
bond futures
caps and floors
commodity
currency
employee stock
equity
exchange-traded equity
exchange-traded index
interest rate futures
pricing of
swaptions
Options straddles
Orange County case study
Order flow, concentration of
Organizations, “tone at the top” of
Originate and sell model
Oudea, Frederic
Out-of-the-money options
Overcollateralization
Overcollateralization tests
Over-optimization in back testing
Pairs trading
Papering derivative transactions
Parameter choice:
backtesting and
for trading strategies
Parametric instruments
Par curves
Pareidolia
Pareto principle
Pass-through securities
Paulson, John
Paulson & Co. Inc.
Peak mortality bonds
Pegged exchange rates
People’s Bank of China
Perfect capital markets condition
Performance fees for hedge funds:
impact of asymmetry on
mutual fund fees compared to
optimal portfolio allocations and
overview of
Perpetual Trustee Company Limited
Phone-forex market
Physically deliverable options
Pierron, Axel
Planned amortization class structure
Portable alpha:
alpha transport, implementing
appeal of
Casey Quirk and
description of
equity swaps and
implementing
structuring
Portfolio construction:
by investment managers, evaluating
leverage and margin trading
modern portfolio theory approach to
“old school” approach to
in quantitative equity models
for systematic trading
Portfolio trading
Portfolio transparency
Position management
Positive assurance opinions
Prepayment models
Prepayment rates
President’s Working Group on Financial Markets, Asset Managers’ Committee
Price impact costs
Price instability, investing with
Prices:
of commodities
yield and
Pricing:
of derivatives
of equity options
of futures options
LTCM models of
of MBSs
Pricing risk
Primary Dealer Credit Facility
Prime broker relationships
Prince, Chuck
Principal-only bonds
Procyclicality and banks
Procyclical rules, coping with
Profit diagrams
Public-sector risk management
Put-call forward parity
Put-call parity
Put options
Q ETFs
Quantitative analysts
Quantitative easing
Quantitative equity models:
estimating key statistics
forecasting expected returns
forecasting risk
forecasting transaction costs
implementing
Quantitative traders
Quantitative trading. See also Quantitative equity models
advantages of
definition of
key events in history of
outlook for
Quants, use of term
Rare events, probability of
Rating agencies. See also Fitch rating agency
applications/front office
career path overview
challenges and responsibilities of
infrastructure/back office
insurance risk and
management/middle office
securitized products and
structurer example
Rationale for trading strategies
Ray, Robert
Reassessments for hedging
Reference Entity Database
Refinance model
Regulation. See also Commodity Futures Trading Commission; Securities and Exchange Commission
characterizations of derivative transactions in
commodity market and
credit market and
of derivatives
education overview
inception and early stages
massive growth period
pre-inception period
rationalization period
securitized products and
structured products and
Regulation D
Regulation XXX
Regulators:
applications/front office
career path overview
challenges and responsibilities of
infrastructure/back office
management/middle office
Regulatory arbitrage and AIG
Regulatory environment and insurance risk
Regulatory environment and legal risk:
international initiatives
overview of
in U.K.
in U.S.
Regulatory Oversight sector
Regulatory risk
Reinsurance vehicles
Relative value
Relative value arbitrage
Rensselaer Polytechnic Institute
Repurchase agreements (repos)
Research roles
Reuters D3000 system
Revenue bonds
Reverse repos
Revolving credit facilities
Rice, commodity market
Risk. See also Insurance risk; Legal risk; Operational risk; Risk innovation; Risk management
contagious nature of
counterparty
credit, and CDOs
degree of insurability of
extreme event
forecasting
liquidity
longevity
tail
transferable
translation
Risk appetite
Risk appetite statements
Risk class, foreign exchange as
Risk culture of firms
Risk innovation:
inception and early stages
massive growth period
rationalization period
Risk intermediation
Risk management. See also Operational risk; Systemic risk management
board-level reviews of VaR and stress testing
careers overview
collaborative approach to
commodity market
contagion
education overview
field of
foreign exchange market
history overview
by investment managers, evaluating
major risk incidents and
as priority
procyclical rules, coping with
revisiting “tone at the top” of organizations
securitized products and
structured products and
tail risk
warning labels for risk reports
warnings of, as unheeded
Risk-neutral valuation
Risk transfer activity
Rogue trading See also Kerviel, Jerome; Leeson, Nicholas; Rusnak, John
Rollovers
Rule against difference contracts
Rusnak, John
Russian financial crisis
Rutsaert, Nicolas
Sales structurer role
Sambol, David
Sandler, Ron
SAS programming
Savings and loan crisis
SCA. See Security Capital Assurance
Scale, economies of, and risk management
Scenario analysis for CDOs
Scholes, Myron
Schumpeter, Joseph
Second-order arbitrage
Second order effects in risk management policy
Securities. See also Asset-backed securities; Mortgage-backed securities
auction-rate
pass-through
Treasury
Securities and Exchange Commission (SEC):
commodity market and
derivatives and
Dodd-Frank bill and
Regulation D
shareholder protections
Securities and Futures Authority (U.K.)
Securities Industry Financial Markets Association
Securitization:
credit ratings
definition of
key parties to
market size and segments
origins of
Securitized products:
credit ratings
market size and segments
origins of
recent events
transaction process
Security Capital Assurance (SCA)
Selling, use of term
Sell side
Sell side career path:
applications/front office
infrastructure/back office
management/middle office
overview of
quantitative trader example
structurer example
Sequential bonds
Service providers:
applications/front office
career path overview
infrastructure/back office
management/middle office
structurer example
Services sector
Settlement issues:
credit event descriptions
in foreign exchange market
structured products
Shad-Johnson Accord
Shadowing effect
Shareholders:
fairness concerns
fiduciary duty to
Sharpe, William
Sharpe ratio
Shorting of equities
Short-rate models
Sidecars
Silo management
Singapore, job placement
Single-currency pegging
Single monthly mortality rate
Single-name CDS
Single-period credit spread framework
Single-stock futures
Skew, correlation
Société Générale
Software vendors:
applications/front office
infrastructure/back office
management/middle office
structurer example
Solomon Brothers
Soros, George
South Africa, job placement
Sovereign wealth funds
SPDRs (Standard & Poor’s Depositary Receipts)
Special-purpose entities
Special-purpose vehicles
Specified collateral repos
Specified pool market
Spot contracts
SQL programming
Stabilized exchange rates
Stamenson, Michael
Standard & Poor’s Depositary Receipts (SPDRs)
Stochastic copula models
Stock index futures
Straddles
Strategic risk, legal risk as
Stress testing
Structural subordination and CDOs
Structured finance CDOs
Structured finance operating companies
Structured products:
credit overview
customized solutions
definition of
derivatives market and
education overview
equities overview
history of
types of
variety of
Structurer role
Student loans
Subordination
Subprime category
Subprime mortgages:
Citigroup and
Countrywide Financial and
financial crisis and
risk contagion and
Substantive law
Sullivan, Martin
Superior analysis
Supershares
SuperTrust
Survivor bias
Swap market
Swaps. See also Credit default swaps
amortizing
asset
callable
catastrophe (cat)
commodity
cross-currency
currency
embedded
equity
first-to-default
fixed recovery default
forex
GDP
interest rate
loan total return
switchable
total return
Swaptions
Switchable swaps
Symmetric derivatives
Synthetic barter
Synthetic CDOs:
first generation products
future of
history of
second generation products
structured products
Systematic trading:
advantages of
benchmarking and
currency alpha and beta
currency overlay and
definition of
evaluation of ideas and products
growth in
hedging and
industry comparisons
leverage and margin trading
limitations of
maximum drawdown
portfolio construction
portfolio design approaches
purpose of
requirements for models
risk appetite and
risk/return ratio
win:loss trade ratio
Systemic risk management:
financial market innovation and
overview of
Tail risk, managing
TARP (Troubled Asset Relief Program)
Taxation:
equity market and
mortgage market and
municipal bonds and
Tax policy and risk management
Technical core area
Technology as force:
inception and early stages
massive growth period
rationalization period
Tepper, David
Term Asset-Backed Lending Facility
Term Auction Facility
Term Securities Lending Facility
Term structure, yield curve and
Testing trading strategies
Third-party valuation providers
To-be-announced market
“Tone at the top” of organizations
Toronto Index Participation Securities (TIPs)
Total return swaps
Track record of investment managers
Trade execution
Trading. See also Electronic trading systems; Quantitative trading; Systematic trading
algorithmic forex
arbitrage
basis
correlation
curve
discretionary, systematic trading as alternative to
emotion in
equity
intraday
pairs
portfolio
rogue
unauthorized
when-issued
as zero sum game
Trading history, analysis of
Trading orientation
Trading pits, description of
Trading structurer role
Trading symbols
Trading transparency
Transaction costs:
categories of
equity trading and
fairness concerns
forecasting
Transaction parties, list of
Transaction risk
Transactions
bank balance sheet
cross-border
documentation of
freemantle
Merna
Transferable risk
Translation risk
Transparency:
in derivatives market
in equity market
in foreign exchange market
hedge funds and
independent valuations and
Treasury bonds:
commodity market comparison
curve trading
price-yield curves
Treasury debt market
Treasury Department (U.S.)
Treasury futures
Treasury Inflation Protected Securities (TIPS)
Treasury securities
Trend-following strategies
Triggers, breaching of
Tri-party repos
Troubled Asset Relief Program (TARP)
Turnover model
Two-sided risks
Two-state, single-period credit spread framework
UBS
Ultra vires doctrine
Unauthorized trading
United Kingdom. See also Bank of England; Financial Services Authority
bank runs in
commercial property index
equity market
international debt market
regulatory environment in
regulatory evolution in
yield curves for
United States. See also Federal Reserve; specific laws
Bankruptcy Code
Internal Revenue Code
legal issues with IPS in
regulatory environment in
regulatory evolution in
Treasury Department
yield curves for
University of Alabama
University of Dayton
University of Florida
University of Illinois
University of Minnesota
University of Southern California
University of Twente
University of Witwatersand
Utilization spreads
Validating processes of investment managers
Valuation:
approaches to
of CDOs
of equity options
of financially engineered products
incorporating effects of illiquidity in
independent
mathematical analytical techniques for
of MBSs
of non-agency bonds
risk assessment
Valuation framework:
dual problem
event of default, incorporating into
market equilibrium and
multiperiod
optimization formulation
possible solutions
pricing relationships
two-state, single-period
Value at Risk (VaR), reviews of
Velocity and equation of exchange
Visual Basic for Applications
Volatility:
operational risk and
in VIX, January 1998 to September 2010
Volcker, Paul
Volume weighted average price (VWAP)
Warning labels within risk reports
Waterfall, cash flow
Waters, Maxine
Weapons of mass destruction, derivatives as
When-issued trading
Whistleblowers, warnings of, as unheeded
Willow Re
Win:loss trade ratio
WorldCom
World Equity Benchmark Shares
Writing options
XL Capital Assurance Inc.
Yield, price and
Yield curves
Zero-coupon bonds
Zero-coupon curves
Zero coupon stripping
Zero-premium options
Zero sum game, trading as