Advances in Risk Management

372 INDEX

multivariate normal distribution see
basic multivariate normal (BMVN)
method
multivariate statistical surveillance
246–51
comparison of multivariate and
statistical control charts 253–8
multivariatet-distribution 244–5
Myers, S.C. 283

NatWest 206
negative binomial distribution 4–5
negative returns 273
Nelken, J. 109
Nelson, D.B. 86–7, 90
news impact surfaces 342–4
Ng, V.K. 266, 305, 328, 330, 342, 344
Ngai, H.-M. 248, 249, 250
no-arbitrage models 92, 93
no default risk 281
non-normality 163–4
non-synchronous trading problem
304–5
normal distribution 288, 289, 290, 294
NPV probability distribution 278–302
and the central limit theorem
285–97; simulation models and
statistical tests 288–9; simulation
results 289–93; theoretical results
285–7
systematic risk and the perfect
economy 280–2
total risk and the real economy
282–5

one-factor models of interest rate term
structure 92–3
operational risk 1–21
collection threshold 8–11; empirical
analysis of impact 11–16, 17, 18,
19
measuring 3–8
optimal weight changes 57, 58–63,
65–6, 67
optimization, portfolio seeportfolio
optimization
option pricing models 199
Black–Scholes model see
Black–Scholes option pricing
model
model risk 201–3
option pricing theory 112–14, 116–17
options 158
call options 74–5, 158

European call options 113–14,

116–17, 172

exotic 209–10

out-of-the-money options 26, 34, 35

orthogonalization 309

ORX 8

out-of-control states 247, 255–8

out of sample model efficiency 234–5,

236

out-of-the-money options 26, 34, 35

over the counter (OTC) contracts 158

parallel change in yield curve 77–9

parameters misspecification 359–60,

361–3

Parner, E. 143, 144

partial derivatives (PDs) 48–9, 50–1,

52–3, 65

Patton, A.J. 310

peak over threshold (POT) method 7

Peccati, L. 50, 51

Peña, J.I. 304

Penzer, J. 162

Perez, J.V. 304

perfect economy 280–2

Peters, J.P. 8

Philipov, A. 108

Philips, T. 242

Philips and Perron test 307

Phoa, W. 128

Pickands, J. 7

Pignatiello, J.J. 248

Pistre, N. 192

Platen, E. 112

Poisson distribution 4

Pollak, M. 249

Polson, M. 354

Poon, S.H. 305

Popper, K. 281

portfolio holdings-based risk measure

seediversification-based risk

measure

portfolio insurance 23, 30

pricing 37–43; insurance and

dollar-denominated risk 42–3;

insurance with rebalancing

39–42; insurance without

rebalancing 38–9

portfolio optimization

covariance structure of asset returns

and optimal portfolio weights

243–6

impact of correlation jumps 237,

238, 239