Advances in Risk Management

370 INDEX

intensity-based modelscontinued
default events correlations 138–9
extensions 143–50;α-stable
distributions 146–50; multi-factor
model 143–6
loss distribution 137–8, 142–3
interest rate risk seetwo-factor model
for interest rates
interest rate term structure forecasting
87, 92–103
data and calibration of Fong and
Vasicek model 97–8
empirical results 99–102, 103
methodology 94–7
models 92–4
simulation 98–9
inventory of models in use 204–5
Ito, H. 304

Jagannathan, R. 281, 330
Japan 226–36
Jarque-Bera test 270, 271, 274, 306, 307
Jarrow, R. 23, 189
Jeanblanc, M. 357
Jensen, M.C. 283
Jewson, S. 157, 162, 163, 164, 167
Jobson, J.D. 258, 265
Johannes, M. 354
Jones, S. 157
Jostova, G. 108
jump-diffusion (JD) models 354

Kallsen, J. 109
Kalman filter 94
extended seeextended Kalman
filter
Kani, I. 354
Kaul, G. 328
Kealhofer, S. 127
Kearney, C. 310
Kocagil, A.E. 109
Kolmogorov–Smirnov test 6, 9, 10, 11
Koopman, S.J. 108
Korkie, B.M. 258, 265
Korn, R. 170, 172, 173, 174, 176–7,
183–5
Koutmos, G. 305
Kraft, H. 170, 173
Kristen, J. 109
Kroner, K.F. 266, 328, 330, 342, 344
Kruse, S. 170, 172
Kumar, A. 128
Kumar, D. 360
Kupiec, P. 215, 220
Kurbat, M. 127

kurtosis 270, 271, 274, 306, 307

lambda 118–23

Lange, R. 92

large capitalization stocks 327–52

Laughhunn, D.J. 283

Laurent, J.P. 48

Le Cam, Y. 360

Ledoit, O. 163, 241, 258

Lee, D. 304

left tail risk 88–9

Leland, H.E. 122

leptokurtic distributions 5, 6

Lesniewski, A. 360

Lettau, M. 111

leverage effect hypothesis 328–9

Levy, H. 280–1

Lhabitant, F.S. 192

Li, C. 103

likelihood weighting 164

Lin, W.L. 317

Lintner, J. 278

liquidity 127

illiquidity 35–7

liquidity premium 127

Ljung–Box test 307

Lo, A.W. 327

local volatility (LV) models 354

location parameter 147

long time horizons 139, 152–4

Longin, F. 305

Lopez, J.A. 217

loss distributions

α-stable intensity-based model

149–50

intensity-based models 137–8,

142–3

measuring operational risk 3–8;

empirical analysis 12–16;

frequency distribution 4–5, 17;

modeling extreme losses 7–8;

severity distribution 5–7, 12, 13,

16, 17

Merton-style models 134–5, 142–3

multi-factor intensity-based model

144

loss functions, backtesting VaR models

based on 217

Lucas, A. 108

Luenberger, D.G. 34

Mackinlay, A.C. 327

Madan, D.B. 210, 357

Mahmoud, M.A. 258