Advances in Risk Management

INDEX 373

with inflation-linked products
173–82
time-varying return correlations and
the efficient set of portfolios
265–77
portfolio rebalancing seerebalancing
portfolio weights seeweights,
portfolio
positive homogeneity 28
Poterba, J.M. 281
Poteshman, A.M. 304
preferences
firms’ 35–7
model user’s 204
price of risk 335–7, 351
price risk 77
pricing error 202
probability density function 216–17
projected pursuit CUSUM (PPCUSUM)
control charts 249–50, 252–3
proportional weight changes 53, 55,
58–63, 65–6
purpose, model’s 209
put options 158

QQ plots 12, 13
quantile regression 217
quasi-debt leverage ratio 124–5

Ramchand, L. 305
ratchet options 210
real economy 282–5
real option theory 279
rebalancing 23, 27, 30, 31–2, 33–4
portfolio insurance with 39–42
record keeping 204–5
reinvestment risk 77
relative weight changes 51–3
relevance 28
Renault, O. 127, 143
Revised Framework of the
International Convergence of
Capital Measurement and Capital
Standards (Basel II) 1–2, 8
revision of models 206
risk measurement see
diversification-based risk
measurement
riskfree capital monotonicity 28
RiskMetrics 226–8
Robbins, H. 286
robust conditional moment test 344–7
Rockafellar, R.T. 23
Roll, R. 281
rolling estimator 267–76

Roncalli, T. 3, 8, 9

root mean square error (RMSE) 100–2,

103

Ross, S.A. 258, 328

Rubinstein, M. 196

Runger, G.C. 248

Runkel, D.E. 330

S&P500 index 305–8, 312–23

SABR model 360

Saltelli, A. 48, 49, 59

sampling error 162, 167

Santa-Clara, P.P. 108–9

Sarnat, M. 280–1

savage score correlation coefficients

(SSCC) 49, 59–65

Savickas, R. 119

Scaillet, O. 48

scale parameter 146–7

scenario tests 164

Schied, A. 23, 88

Schipper, S. 242, 247

Schmid, W. 242, 244, 247, 258

Scholes, M. 109, 110, 117, 194, 280

see alsoBlack–Scholes option pricing

model

Schönbucher, P.J. 139–40

Schoutens, W. 359

Schwebach, R.G. 108

Schweizer, M. 112

Schwert, G.W. 246, 254, 329

SDAX index 331–51

second-order autoregressive process

289, 293

sensitivity analysis (SA)

background 50–1

impact of collection threshold on

capital charge for operational risk

16, 17, 18, 19

portfolio volatility 47–68; effect of

relative weight changes 51–3;

importance of portfolio weights in

GARCH volatility estimation

models 53–6; trading strategies

through SA 56–65

September 11 2001 terrorist attacks

272, 273, 303

impact on volatility transmission

patterns between USA and Spain

303–26

sequential control procedures 241–64

comparison of multivariate and

simultaneous control charts

253–8;