Hull J.C. Risk management and Financial institutions
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Index
499
Treasury rate, 85
Tree, 417-19, 476
Turnbull, S.M., 421
Two-sided default risk, 282
Unconditional default probability,
259
Unconditional distribution, 152
Underlying variable, 476
Unilever, 372
Unsystematic risk, 12, 477
Valuation,
American options, 417-19
basket credit default swaps, 314-16
bonds, 84
collateralized debt obligations,
314-16
credit default swaps, 303-7
European options, 413-15
forward contracts, 407-8
futures contracts, 407-8
swaps, 409-11
Value at risk, 176, 195-214, 477
backtesting, 208-12
component, 207
confidence level, 205-6
credit, 287-93, 369-70
definition, 196-98
historical simulation approach,
217-30, 250-51
incremental, 206-7
marginal, 206
model building approach, 233-51
time horizon, 203
vs. expected shortfall, 198-202
Valuing American options, 417-419
Valuing European options, 413-415
Valuing forward contracts, 407-8
Valuing futures contracts, 407-8
Valuing swaps, 409-11
Van Den Brink, G.J., 340
VaR, see Value at risk
Variance-covariance approach, 233,
477
Variance-covariance matrix, 148
Variance rate, 112, 477
Variance targeting, 130
Varma, P., 261
Vasicek, O., 160, 162, 192
Vasicek's model, 287, 477
Vecchiato, W., 161
Vega, 65, 66, 104, 414, 419, 477
Vega neutral, 66, 477
Vetterling, W.T., 130
Vetting, 352
Volatility, 477
definition, 112
historic, 115-17
implied, 114-15
monitoring, 121-33
per day, 234
per year, 234
skew, 348
smile, 347
surface, 349
term structure, 135
Volatility models, 121-38
ARCH(m), 122
Exponentially weighted moving
average, 123, 147, 222-23
GARCH(1,1), 125-37, 222-23
GARCH(p,q), 125
Volatility per day, 234
Volatility per year, 234
Volatility skew, 348, 477
Volatility smile, 347, 477
Volatility surface, 349, 477
Volatility term structure, 135, 477
Warwick, B., 50
WCDR, see Worst-case default rate
Weather derivatives, 385-87, 477
Wei, J., 392
Wells Fargo Bank, 322
White, A., 89, 117, 222, 230, 250, 252,
263,265,272,273,308,317
500
Whitelaw, R., 221, 230
Wilmott, P., 214
Within-model hedging, 351
Worst-case default rate, 183-87
Writing an option, 42, 477
Yield on bond, 84, 477
Yield curve, 79, 477
Yield curve play, 85
Index
Young, Peter, 373
Zero, 83,
Zero-coupon bond, 477
Zero curve, 83, 478
Zero rate, 83, 478
Zhang, P. G., 406
Zhu, Y., 249, 252
Z-score, 257-58, 478