Advances in Risk Management

INDEX 375

Theodossiou, P.T. 242
three-stage least-squares (3SLS) method
98
time-varying return correlations
265–77
Tistaert, J. 359
Torra, S. 304
Torró, H. 311, 317
total risk 279
and the real economy 282–5
trading hours, non-synchronous
304–5
trading/reallocation strategies 56–66
transaction costs 35–7
transparent economy 282–3
Trautmann, S. 170, 173, 174, 176–7
truncation 9–11
two-factor model for interest rates
69–85
basic model 70–2
generalized duration and convexity
72–4
hedging ratios 74–5
proposed solution for limitations of
the conventional duration 75–83
Tzotchev, D. 242

unconditional correlations 268–76
unconditional coverage property 215
uniform probability distribution 288,
290–1, 294
uniform weight changes 52–3, 55,
58–63, 65–6
United States (USA) 328
correlation jumps with Euro area and
Japan 226–36
volatility transmission patterns
between Spain and 303–26

value-at-risk (VaR) 22, 48, 213–25
asymmetric VaR-BEKK model
309–11, 312–17, 322
cross-section approach 217–24;
comparative Bayesian analysis of
performance 221–2, 223; failures
analysis 222–24; intuitive
example 219–21
review of existing methods for
backtesting 214–17; tests based
on hit function 214–15; tests
based on multiple VaR levels or
entire probability density function
216–17
weather derivatives portfolio risk
167–8

Vanna 359, 362–3

variance

large and small capitalization stocks

342–4, 348, 351

mean–variance optimization models

265–6, 276

Vasicek, O.A. 87

Vecchiato, W. 48

VECH model 330

vector valued CUSUM 249

Vega 359

Venkataraman, S. 285

verification of data 208

volatility

asymmetric 328–9, 348, 349–50, 351

conditional 86–7, 88–92

correlation jumps and 228–36,

237–9; portfolio optimization 237,

238, 239

GARCH models compared with

rolling estimates for time-varying

return correlations 271–2

implied 109, 195–7, 354

sensitivity analysis of portfolio

volatility 47–68

spillovers between large and small

firms 345–8, 349–50

stochastic seestochastic volatility

transmission between large and

small firms in Europe 327–52

transmission patterns between USA

and Spain 303–26

volatility feedback hypothesis 328–9,

337, 348

volatility impulse response function

(VIRF) 311

volatility smile 109, 196, 354

volatility surface 196–7

Volga 359, 362–3

Wagle, B. 278, 286

Wald, A. 248

Wang, S. 163

weather derivative portfolios 156–69

accurate estimation of correlation

matrix 162–3

consistency between valuation of

single contracts and portfolios

166–7

dealing with non-normality 163–4

defining risk for 159–60

estimating model error 164

estimating sampling error 167

estimating VaR 167–8