Advances in Risk Management

366 INDEX

basic multivariate normal (BMVN)
methodcontinued
incorporation of hedging constraints
165–6
incorporation of sampling error 162
Bayesian model averaging 164
Bekaert, G. 329
BEKK model 330
asymmetric VaR-BEKK model
309–11, 312–17, 322
Berkowitz, J. 216
Bermudian options 210
beta
volatility and debt 118–23
volatility transmission in Europe
342–4, 345, 351
binomial distribution 4
negative 4–5
Black, F. 109, 110, 117, 194
Black–Scholes option pricing model
109, 198, 201, 208, 353, 356
implied volatility 195–7
blank sheet syndrome 205
block maxima method 7
Blume, L. 48
Blume, M. 280
Bock, B. 242
Bodnar, O. 243, 258
Bohn, J. 109
Bollerslev, T. 54, 115, 246, 266, 311,
330, 335
Bollinger bands 87, 99, 100, 101–2, 103
bond portfolios 69–85
bonds
inflation-linked 172–3; optimal
portfolios 176–82
inflation-linked products and
hedging 182–9
zero-coupon seezero-coupon bonds
Booth, G. 305
Borgonovo, E. 50, 51
bounds for credit spreads 125–6
Braun, P.A. 329
British stock market 331–51
Britten-Jones, M. 258
burn analysis 160–1

CAC40 index 331–51
calibration, model 200
call options 74–5, 158
Campbell, J.Y. 87, 108, 111
Campbell, S.D. 215
Campolongo, F. 49, 59

Canadian government yield curve

97–102, 103

capital asset pricing model (CAPM)

278–9, 280–4

conditional seeconditional CAPM

ADC model

decision rule 282–3

capital charge for operational risk

1–21

capital investment projects 278–302

Carr, P. 357

Ceci, V. 48

central limit theorem (CLT) 285–301

and the first-order autoregressive

process 297–301

and the NPV probability distribution

285–97; simulation models and

statistical tests 288–9; simulation

results 289–93; theoretical results

285–7

certainty equivalent approach 282–3

CEV-ARCH models 90–1

Chambers, J.M. 148

Chapelle, A. 8

Chatfield, C. 216

Chen, L. 70

Chen, R.-R. 125

chi squared test 5

Christie, A.A. 329

Christoffersen, P. 214, 215, 216

collection threshold 2, 8–16, 17

impact on capital charge for

operational risk 9–11; empirical

analysis 11–16, 17, 18, 19

selection 8–9

Collin-Dufresne, P.P. 108, 124

comparative Bayesian analysis 221–2,

223

conditional CAPM ADC model

329–51

asymmetries analysis 342–5

model estimates 335–41

volatility spillovers 345–8, 349–50

conditional correlations 210

conditional volatility 86–7, 88–92

Conover, W. 163

Conrad, J. 328

constant correlation coefficient model

266, 330

Cont, R. 360

convexity, generalized 74, 76–7

copulas 163–4

correlated frailty intensity-based

models 143–6