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| Авторизация |
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| Поиск по указателям |
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| Alexander C. — Market Models: A Guide to Financial Data Analysis |
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| Предметный указатель |
VaR (value-at-risk) models, normality assumption 185
VaR (value-at-risk) models, not sub-additive 259
VaR (value-at-risk) models, P&L 180 253 254 262—263
VaR (value-at-risk) models, portfolio volatility 185
VaR (value-at-risk) models, process volatility 139
VaR (value-at-risk) models, risk evaluation 249—283
VaR (value-at-risk) models, risk management 236 259
VaR (value-at-risk) models, RiskMetrics data 102 203—204
VaR (value-at-risk) models, scenario analysis 278—281
VaR (value-at-risk) models, sensitivity analysis 277—278
VaR (value-at-risk) models, short risk horizons 186
VaR (value-at-risk) models, simulation 267—274
VaR (value-at-risk) models, stress testing 278 281—283
VaR (value-at-risk) models, tails prediction 125
VaR (value-at-risk) models, trading limits 257
VaR (value-at-risk) models, traditional measures compared 256—257
Variance estimation and forecasting, exponentially weighted moving average (EWMA) 127 163
Variance estimation and forecasting, h-period 100
Variance estimation and forecasting, one-step ahead 99
Variance estimation and forecasting, parameters 50
Variance estimation and forecasting, regression 123 124
Variance estimation and forecasting, squared returns 123 124
Variance estimation and forecasting, standard error 127
Variance estimation and forecasting, weighted average 126
Variance, analysis of variance (ANOVA) 427—428
Variance, conditional heteroscedasticity 14
Variance, confidence intervals 126
Variance, linear portfolios 180—182 183
Variance, minimum see "Minimum variance portfolios"
Variance, P&L 181—182
Variance, quadratic 181
Vech models, bivariate GARCH 16 108 109 110
Vech models, diagonal 108 109 110 114 217 218 219
Vech models, parameter estimates 219
Vech models, parameterization 114
Vega, ATM options 44
Vega, Black — Scholes model 32 44
Vega, volatility sensitivity 24
Volatility see also "Implied volatility" "Process "Statistical "Realized
Volatility clustering, asymmetry 68 79
Volatility clustering, autoregressive conditional heteroscedasticity (ARCH) 63 65—67 97 386
Volatility clustering, commodity markets 65
Volatility clustering, currency markets 65 97
Volatility clustering, equity markets 65
Volatility clustering, excess kurtosis 66 67
Volatility clustering, mean-reversion 31
Volatility clustering, news announcements 65—66
Volatility clustering, skews 66 67
Volatility clustering, square root of time rule 97
Volatility cones 29
Volatility estimates and forecasts, A-GARCH 80—81 99
Volatility estimates and forecasts, academic research 120
Volatility estimates and forecasts, benchmark forecast 118
Volatility estimates and forecasts, central values 119
Volatility estimates and forecasts, combined forecasts 118 129—134
Volatility estimates and forecasts, confidence intervals 118 119 126—134
Volatility estimates and forecasts, different horizons 29 98
Volatility estimates and forecasts, evaluation 117
Volatility estimates and forecasts, exponential GARCH (E-GARCH) 80
Volatility estimates and forecasts, exponentially weighted moving average (EWMA) 57—58 60 119
Volatility estimates and forecasts, extreme values 119
Volatility estimates and forecasts, GARCH 73—75 81 93 98 99—100
Volatility estimates and forecasts, historic volatility 50—52 57 128
Volatility estimates and forecasts, I-GARCH 76 77
Volatility estimates and forecasts, implied volatility 117—118 124—125
Volatility estimates and forecasts, long-term 85—91 92 98 99
Volatility estimates and forecasts, look-back periods 57
Volatility estimates and forecasts, mark-to-model values 135
Volatility estimates and forecasts, mean-reversion 75 79
Volatility estimates and forecasts, moving averages 126—128
Volatility estimates and forecasts, out-of-sample likelihood 121
Volatility estimates and forecasts, point forecasts 118 126
| Volatility estimates and forecasts, process volatility 117 118 129
Volatility estimates and forecasts, risk horizons 11 43 57 60 117
Volatility estimates and forecasts, root mean square error (RMSE) 122—123
Volatility estimates and forecasts, standard deviation 121
Volatility estimates and forecasts, standard error 118—119 126 127
Volatility estimates and forecasts, straddles 124
Volatility estimates and forecasts, uncertainty 119
Volatility estimates and forecasts, underlying volatility 117
Volatility estimates and forecasts, variance 50
Volatility sensitivity, ATM volatility 167 168 169
Volatility sensitivity, option vega 24
Volatility sensitivity, prices 34 43 44
Volatility smile surface, implied volatility 106 154
Volatility smile surface, N-GARCH 81 106 107
Volatility smile surface, volatility surface distinguished 33
Volatility surfaces, implied volatility 32—34
Volatility surfaces, parameterization 167—170
Volatility surfaces, quadratic 38 45 144 168
Volatility surfaces, Taylor approximations 169
Volatility surfaces, volatility process 11
Volatility surfaces, volatility smile surface distinguished 33
Volatility term structures, call options 31 32
Volatility term structures, constant volatility 61 99
Volatility term structures, convergence 12 75 76 97—98 102—103
Volatility term structures, currency markets 102
Volatility term structures, equity markets 101—103
Volatility term structures, GARCH models 32 50 61 64 80 85 98—103 212
Volatility term structures, implied volatility 31—32 78
Volatility term structures, mean-reversion 61 98 109 111
Volatility term structures, put options 31 32
Volatility term structures, returns of different frequencies 5
Volatility term structures, scenario analysis 92
Volatility, basic concept 3—4
Volatility, basket options 56—57
Volatility, bursts, clusters see "Volatility clustering"
Volatility, common volatility 386—387
Volatility, conditional 12 14
Volatility, dispersion, measure 4 119
Volatility, financial markets 9—12 119 250 297
Volatility, hedging 139—140
Volatility, irreducible risk 9
Volatility, long-term 57 85
Volatility, parallel shifts 38
Volatility, persistence see "Persistence"
Volatility, reaction 59 73 86 90
Volatility, smile see "Smile effect" "Volatility
Volatility, spiky 73 78 85 86 91
Volatility, surfaces see "Volatility smile surface" "Volatility
Volatility, time horizon 18
Volatility, time-varying volatility models 12—14
Volatility, uncertainty 18
Weibull distribution 293 294
Weighted average see also "Historic correlation" "Historic
Weighted average, beta 109
Weighted average, EWMA see "Exponentially weighted moving average"
Weighted average, ghost features 53 60 125
Weighted average, historic volatility 49 50 52—53
Weighted average, RiskMetrics data 179 201
Weighted average, sampling error 49
Weighted average, short-term 53
Weighted average, unconditional correlation 49
Weighted average, unconditional variance 50
Weighted average, unconditional volatility 49
Weighted average, variance forecasts 126
White's test 432
Wiener process 21 104
WTI (West Texas Intermediate) 55 78 111
Yield curves, modelling multiple yield curves 149—153
Yield curves, principal component analysis (PCA) 147—153
Yield curves, scenario analysis 143
Yield curves, trend/tilt/convexity 147—149
Zero-coupon bonds 147—148 182 216
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