Advances in Risk Management

374 INDEX

behavior in the out-of-control state
255–8;
sequential control procedures, behavior
continued
structure of Monte Carlo study
253–5
covariance structure of asset returns
and optimal portfolio weights
243–6
multivariate statistical surveillance
246–51
simultaneous statistical surveillance
251–3
Servigny, A. de 143
severity distribution 5–7, 12, 13,
16, 17
Shanken, J. 258
Sharma, J. 328
Sharpe, W.F. 107, 194, 278
Shaw, S. 284
Shephard, N. 54
short selling constraints 267
shortest path 28
shorthand, models as 197–8
Shreve, S. 357
shrinkage 162–3
shrinking method 249
Simon, C.P. 48
Simons, E. 359
simplicity 207–8
simultaneous MEWMA control statistic
253, 254–8, 259
simultaneous statistical surveillance
251–3
comparison of multivariate and
statistical control charts 253–8
single contracts 166–7
skewness 270, 271, 274
skewness parameter 146–7
SMALL CAP index 331–51
small capitalization stocks 327–52
smile 109, 196, 354
Solnik, B. 305
Spahr, R.W. 108
Spain–USA volatility transmission
patterns 303–26
spreadsheet syndrome 205
Sprecher, C.R. 283
stability, index of 146–7
standard portfolio analysis of risk
(SPAN) risk management system
25, 27
standardized approach (SA) 2
state–space representation 95–7

statistical surveillance 242

comparison of multivariate and

simultaneous 253–8

multivariate 246–51

simultaneous 251–3

steepening in yield curve 81–2, 83

Stein, E.M. 354, 356

Stein, J.C. 354, 356

Stein, R.M. 109

Steinand, D. 242

stochastic volatility 48, 86–106, 354

and conditional volatility 86–7,

88–92

idiosyncratic risk, systematic risk

and 107–31; simulation study

118–26; stochastic volatility and

Merton’s pricing 112–14;

stochastic volatility model 114–17

and interest rate term structure

forecasting 87, 92–103

stocks

hedging with inflation-linked

products 182–9

large and small capitalization stocks

in Europe 327–52

optimal portfolio and

inflation-linked bonds 181–2

Strauss, J. 304, 323

stress testing for models 209

Stuck, B.W. 148

Stulz, R.M. 283, 284, 285

subadditivity 28

Summers, L.H. 281

Sunderman, M.A. 108

super-hedging strategies 203

Susmel, R. 305

swaps 26, 34, 158

systematic risk 279

idiosyncratic risk, stochastic

volatility and 107–31

and the perfect economy 280–2

T^2 control charts 248, 252, 254–8

Taksler, G.B. 108

Talay, D. 192

Tay, A.S. 216

Taylor, S.J. 89

telecommunication 57, 63, 64

term structure of interest rates

forecasting seeinterest rate term

structure forecasting

terminal portfolio values 24–5

terrorism seeSeptember 11 2001

terrorist attacks

Thakor, A.V. 284