Advances in Risk Management

368 INDEX

diversification-based risk measure
continued
properties of the measure 27–8,
44–5
dollar-denominated risk 26–7
insurance and 42–3
double exponential distribution 288,
291–3, 294
Dow Jones Industrial Average Index
time-varying return correlations and
efficient set of portfolios 269–76
trading strategies through sensitivity
analysis 56–66
Drachman, J. 216
Drudi, F. 48
Dupire, B. 354
duration 69–70, 84
generalized 72–4, 75
proposed solution for limitations of
75–83
Durbin-Watson statistic 229, 230, 239
dynamic conditional correlation (DCC)
models 266, 268–76

Ebens, H. 115, 246
Eber, J.M. 22, 24–5, 27, 28
Eberlain, E. 109
economic motivation 29–30
efficient market hypothesis 282
efficient set of portfolios 265–77
El Karoui, N. 357
elasticity 48–9, 51, 53, 65
Elton, E.J. 108
Embrechts, P. 4, 7
energy sector 57, 63, 64, 65
Engle, R.F. 53–4, 86, 266, 268, 330, 342
Eom, J.H. 109, 128
equilibrium models of interest rate
term structure 92, 93
equity 121–2
equity financing 285
Eraker, B. 354
Ericsson, J. 127
Euro area 226–36
Europe, volatility transmission in
327–52
European call options 172
debt pricing 113–14, 116–17
EWMA control chart
comparison of multivariate and
simultaneous 254–8
multivariate 250–1, 254–8, 259
simultaneous 253, 254–8, 259
exchange traded contracts 158

exotic derivatives 209–10

expiry value 167

extended Kalman filter (EKF) 87, 94,

95

algorithm 96

application to Fong and Vasicek

model 96–7

simulation of interest-rate term

structure 99–103

extreme value theory 7–8, 12–16, 217

algorithm for finding the threshold

8, 12, 18–19

failures analysis 222–4

falsifiability 281

Fama, E.F. 108, 280, 282

Fernández, A. 304

Figlewski, S. 192

financial crises 304

financial derivatives seederivatives

financial distress, probability of 283–4

financial services 57, 63, 64

financing of a firm 285

firm preferences 35–7

first-order autoregressive process

286–7, 288, 289–93, 297–301

Fisher equation 171

Flannery, M.J. 285

flattening of yield curve 79–81

Follmer, H. 23, 28

Fong, H.G. 87

Fong and Vasicek model 87, 93–4

application of extended Kalman filter

to 96–7; discretization 96–7;

linearization 97

calibration 98

data 97–8

simulation of interest rate term

structure 99–103

Fornari, F. 87, 90–1

forward contracts 26, 34

forward-looking models 200

Frachot, A. 3, 8, 9

frailty models 136–7

see alsointensity-based models

French, K.R. 108, 280

French stock market 331–51

frequency distribution 4–5, 17

Frey, R. 48

frictionless economy 282

Friedman, M. 280

Friend, I. 280

Frisen, M. 242, 258

FTSE100 index 331–51