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| Beaumont P.H. — Financial Engineering Principles : A Unified Theory for Financial Product Analysis and Valuation |
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| Предметный указатель |
Reverse repo 123 124f
Rho risk 127
Risk See Benchmark; Credit risks; Price; Reinvestment risk
Risk / return profiles 172 205
Risk adjustment 218—219
Risk calculations 221
Risk capital, allocation 216f
Risk conceptualization 108f
Risk limits 217
Risk macro context 234—235
Risk management 161 171 222—225
Risk management, appendix 238—240
Risk management, procedures 260
Risk measurement 185
Risk profile 214
Risk profile, conceptual mapping 225f 237f
Risk tolerance 221
Risk variable 197
Risk-adjusted return on capital (RAROC) 218—220
Risk-adjusted return on risk-adjusted capital (RARORAC) 219
Risk-adjusted variables 219—220
Risk-based capital guidelines 259
Risk-free asset 211
Risk-free investment 195
Risk-free product 122
Risk-free rate 194—197
Risk-oriented bondholders 252
Risk-reward trade-offs 226 235
Road shows 83
Roll down, phenomenon 239—240
Roll risk 239
Roll-down risk 239
RORAC See Return on risk-adjusted capital
Sale price 17
Same-day settlement 33
Savings and loan crisis (1990s) 256
Scenario analysis 233—234 237
Secondary markets 212
Securities and Exchange Commission (SEC) 242
Securities face value 211
Securities forward duration value 191
Securities hedging See Market neutral
Securities lending 122—123
Securities market 36
Securities prices 231
Securities purchase 248
Securities risk 79
Securities risk / return profile 159
Securitization See Loan profiles
Security-specific risk 219
Selling short 16
Senior structures 201—202
Separately Traded Registered Interest and Principal Securities (STRIPS) 164—165
Separately Traded Registered Interest and Principal Securities, 30-year See U.S. Treasury STRIPS
Servicer See Asset-backed securities
Settlement agreement 34
Settlement dates 15 33 175
Shareholders 4
Short call option 70
Short call option, price 199
Short selling 125
Short selling, fund types 152
Short-dated liabilities 157
Short-term bonds 76
Short-term borrowings 76
Short-term horizons 192
Short-term interest rates 41
Short-term investment 259
Shorter-dated debt 76
Shorter-maturity bonds 78
sigma 161
Sigma, payoff profiles 126f
Singapore, credit allocation 218
Single-B company 200—201
Single-C company 201
Size restrictions 168
Small caps 162
Special See On special
Special-purpose vehicles (SPVs) 93 106 256
Speed See Prepayments
Split maturity rating 76
Sponsor currency, acceptance 186
Spot cash flow 227—229
Spot credit instrument 202
Spot interrelationships 56f
Spot option, building-block approach 56
Spot position 215
Spot price 15
Spot transactions 77fn
Spot yields 25
Spot yields, convergence See Forward yields
SPREAD See Nominal spread; Swaps
Spread calculation See Nominal yield
Spread difference 44
Spread value 29
SPVs See Special-purpose vehicles
Standard & Poor's 100(S&P100) 162
Standard & Poor's 500 (S&P500) 153
Standard & Poor's 500, change 182
Standard & Poor's 500, equity index 150
Standard & Poor's 500, futures contract 48 126
Standard & Poor's 500, price history 185
Standard & Poor's 500, rally 206
Standard & Poor's 500, returns 161
Standard & Poor's 500, usage 183—184
Standard & Poor's ratings, usage 166
Standard & Poor's statistical data 98
Standard & Poor's survey / report 94—95
Standard deviation, usage 185
Standard deviation, zero value 70—72
Standard error 219
State-supported bailouts 256
Strike price 53 71 197 202.
Strike price, contrast See Forward price
Strike price, objective 211
STRIPS See Separately Traded Registered Interest and Principal Securities
Subsidiaries, triple-A rating 93
Swaps See Constant Maturity Treasury; Currencies; Interest rate; Variance
Swaps dealers 80—81
Swaps markets 80—81
Swapsspread 80
Swapsyields 238—239
Synthetic balance sheet structure, schematic 106f
Synthetic call option 212
Synthetic CDO 105
Synthetic CLOs 254
Synthetic long forward, creation 149f
Synthetic option creation 209—211 214
| Synthetic option creation, delta 211—213
Synthetic option creation, profile 213f
Synthetic option creation, repo financing 211
Systematic risk 219. See also Nonsystematic risk; Unsystematic risk nonsystematic risk
Systematic risk, contrast 219t
T plus 3 16
Tariffs 12
Tax law, industry-specific categories 246
Tax-adjusted total returns, calculations 243
Tax-free funds 155—156
Taylor series expansion, usage 173
TED See Treasury versus Eurodollar
Tennessee Valley Authority (TVA) 242 243
Term structure 22
Theta price sensitivities 198f
Theta usage 197
Third-party insurance, obtaining 91
Timing option 118
Total return-oriented portfolio manager 156
Total returns, analysis 176
Total returns, basis points 163
Total returns, calculation 173t. See also Tax-adjusted total returns
Total returns, components, comparison 233t
Total returns, funds portfolio managers 153
Total returns, investing 153
Total returns, relationship 121f
Trade date 33 76—77 115fn
Trade date, pay-in-full 58
Trading records 214
Trading, rich / cheap 28
Treasury versus Eurodollar (TED) spread 205—206
Triple-B entity 249
True worth 16
Trust preferred securities (TruPs) 262
TVA See Tennessee Valley Authority
Two-none all-one 131
U.S. bond index 182
U.S. Department of Labor (DOL) 262
U.S. dollar-denominated issues 248
U.S. federal agency bonds, taxable status 243t
U.S. Treasury bill, 12-month-maturity 229
U.S. Treasury bill, 3-month 51
U.S. Treasury bill, 3-month, cash flows l7fn
U.S. Treasury bill, 6-month 42 223f
U.S. Treasury bill, 6-month, purchase 236
U.S. Treasury bill, duration, calculation 173
U.S. Treasury bill, finding 195
U.S. Treasury bill, futures 193
U.S. Treasury bill, investment 41
U.S. Treasury bill, spot yield 191
U.S. Treasury bill, total return 224
U.S. Treasury bill, yield 26
U.S. Treasury bonds 84
U.S. Treasury bonds, coupon cash flows 23fn
U.S. Treasury bonds, predisposition 31
U.S. Treasury bonds, rallying markets 102
U.S. Treasury bonds, two-year 42 191
U.S. Treasury bonds, yield curve 27
U.S. Treasury coupon-bearing securities 225
U.S. Treasury note, cash flow profile 31fn
U.S. Treasury note, dirty price 175
U.S. Treasury obligations 84
U.S. Treasury rates 102
U.S. Treasury STRIPS 175—176
U.S. Treasury STRIPS, 30-year 172
U.S. Treasury STRIPS, duration, calculation 173—174
U.S. Treasury STRIPS, yield 178
U.S. Treasury zero-coupon bonds 149
Uncertainty, conceptual mapping 222f
Uncertainty, degree 226
Uncertainty, increase 235
Uncertainty, label See Probability
Uncertainty, layers See Bonds
Uncollateralized loan 90
Unsystematic risk 219
Unwinding See Futures
Value at Risk (VaR) 261
Value funds 153
Value investing 157
Value uncertainty 202
Variance, payoff profiles 126f
Variance, swap 128
Vega, price sensitivities 198f
Vega, usage 197
Volatility 53 66.
Volatility calculations 54fn
Volatility increase 200 215
Volatility outlook 215
Volatility payoff profiles 126f
Volatility price value calculation 54
Volatility reference 128
Volatility relationship See Option-adjusted spread
Volatility rolling series 68fn
Volatility spread See Zero volatility spread
Volatility strategy, creation 125f
Volatility strategy, execution 192
Volatility swap 127—128
Volatility value 125 229
Volatility zero return 193
Volatility zero value 55 188
Weighted average discounted recovery rates 95t
Weightings, linkage 186
What-if scenarios 244
Wilshire 162
Worst-case scenarios 257
Worth See True worth
YB See Yield of benchmark
Yield See Incremental yield; Spot
Yield curve 26. See also U.S. Treasury bonds
Yield differences See Nominal yield
Yield enhancement 156—157
Yield increase 103
Yield of benchmark (YB) 28
Yield of nonbenchmark (YNB) 28
Yield references 25
Yield relationship 143f. See also Price
Yield spread 24 40 79 246fn.
Yield spread calculation See Nominal yield
Yield value See Forwards
Yield, cash flow-weighted average 19fn
Yield, dynamic 163
Yield, inversion 234
Yield-to-maturity 25 37
YNB See Yield of nonbenchmark
Z tranches 141
Zero coupon security, price dynamics 230
Zero volatility (ZV) spread 59
Zero-coupon bonds See U.S. Treasury zero-coupon bonds
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