Index Page 761 Wednesday, February 4, 2004 1:13 PM
Index 761Continuous-time processes, 284
Continuous-time white noise, 268
Continuum, 99
Contracting costs, 37
Contrarian strategies, 576
Contribution risk modeling, 752
Control theory, 213. See also
Optimal control theory
Convergence, interval, 122
Convertibility, 22
Convertible bonds, 22, 56
Convexity. See Constant interest
rates; Continuously com-
pounding constant interest
rate; Variable interest rates
measure. See Bonds
Convolution, 136–137, 193
closure property, 355
product, 291
Copula functions, 188–189, 732–733
Corporate bonds. See High-yield
corporate bonds; Invest-
ment-grade corporate bonds
Correlated default processes, mod -
eling process, 722–734
Correlated random walks, 285–
286
Correlation, 327–329. See also
Moments/correlation;
Returns
coefficient, 188–189, 195–196,
328
default time correlation, com -
parison. See Defaults
definition, 187
factors, 433
matrix, 433
Cost-effective diversification, 36
Counterparty
risk, 69, 718, 720. See also
Default swap
analysis, 696
exposure, 70
swap payments, 70
Counting measure, 372
Coupon
payment, 52
interval, 620
rate. See Bonds
Coupon-paying instruments, 623
Covariance, 8. See also Returns;
Variables
definition, 187–188
matrix, 147, 276, 328, 654
change, 754
usage, 658
Covered call, 686
Cowles, Alfred, 81
Cowles Commission, 81
Cox, D.R., 371
Cox, John C., 69, 616, 637,
695, 709
Cox process, 697
Cox-Ingersoll-Ross (CIR) Model,
635, 637, 709Cramer, Harald, 80
Cramer-Rao bound, 319–320, 322
Cray supercomputer, usage, 11
Credit default swaps, 679–683.
See also Senior basket
credit default swaps; Sub-
ordinate basket credit
default swaps
baskets, pricing, 734
pricing. See Single-name credit
default swaps
formulation, 714
termination value, 680
value, 713–715
Credit derivatives, legal docu-
mentation, 683
Credit event, 680
Credit risk, 59, 746
management, 711
Credit risk modeling, 679
reduced form models, 696–710
structural models, 683–696
Credit risk Value-at-Risk (CrVaR),
391–392
Credit risk-based capital require-
ments, 5
Credit Suisse First Boston, 746
Creditor, definition, 51
Creditrisk+, 746
CreditRiskMetrics, 746
Critical point, 203
Cross acceleration, 683
Cross default, 683
Csake, F., 318
Cumulative distribution function,
175, 352
Cumulative normal probability, 687
Cumulative payoff rate processes,
444
Cumulative tracking error, cal -
culation, 658
Currency, 22
swap, 70
Currently callable issue, 55–56
Dacorogna, M.M., 377, 389
Dahl, Henrik, 491, 666
Daniel, Kent, 344
Danielsson, J., 377
Dantzig, Georg, 82, 201
Darboux-Young approach. See
Integration
Data generation process (DGP),
285, 332, 345
modeling, 378
nonlinear function, 547
schemes, 547
Database query functions, devel-
opment, 16
Datini, Francesco, 10
Davis, M.H.A., 742
DAX, 70
Day convention, 681
de Haan, L., 377
de Varenne, Francois, 695de Vries, C.G., 377
Dealers
bid-ask spread charge, 83
role. See Real markets
DeBondt, Werner, 572
Debreu, Georges, 75
Debt
contract, 700
default probability, 692
market, 25
obligations, investment. See
Short-term debt obliga -
tions
value, 688
Debt instruments, 22. See also
One-period debt instru-
ment
definition, 180
valuation principles, 594–595
Dechert, W.D., 259
Decision making, management
structures, 14
Dedicated portfolio strategy, 664
Default basket market, 719
Default basket swap contract, 718
Default prediction, 711
Default probability, 689. See
also Forward default
probability
curves, 711
equation, 691–692
forward curve, 685, 711
Default swap, 719
contract, total protection value,
715
counterparty risk, 717–718
delivery option, 716
tenor, 734
valuation. See Baskets
value, 718
Default time
correlation, 730–733
distribution, 698
Defaultable zero-coupon bond, 696
Default-free payoff, 707
Defaults
correlation, default time cor-
relation (comparison),
733–734
distribution, specification. See
Joint defaults
processes, modeling process.
See Correlated default
processes
Deferred call, 55
Defined contribution plan, 42
Dekkers, A.L.M., 377
Delbaen, F., 467
Delbaen, Freddy, 748
Deliverable obligation, 680
Delivery option. See Default swap
Delta, 117
Dembo, Ron, 672
Dempster, A.P., 348
Demsetz, Harold, 29, 30