Index 377
long position, 19, 29, 39, 54, 74, 198
Long Term Capital Management, 326
loss given default, 345
losses, expected, 294, 301, 326, 338,
345, 347, 353
losses, unexpected, 294, 301, 327, 328,
337, 345, 347, 353
Mandelbrot, Benoˆıt, 40, 65, 111, 113
market model, 225, 226
market risk, 308, 338, 342, 362
market risk amendment, 338, 342, 362
Markov process, 35, 60, 180
martingale, 32–34, 41, 60, 80, 81, 201,
278
maturity, 81, 345, 348
maturity of option, 17, 29, 72, 102, 198
Merton, Robert, 52, 73
micelles, 133, 146
minority game, 247, 361
Monte Carlo simulations, 82, 196, 204,
215, 216, 218, 242
Moody’s, 310, 326, 343
MSCI World index, 322
multifractal, 192
Nasdaq, 170, 275, 277, 283
Nash equilibrium, 247
Navier–Stokes equation, 174
new economy bubble, 283
Nikkei 225, 11, 149, 280, 281
noise dressing of correlations, 162, 168
nonextensive statistical mechanics, 142,
143, 181
normal distribution, 6, 35, 44, 62, 66,
108, 113, 114, 116, 119, 123, 129, 138,
143, 235, 240, 290, 296, 299, 300, 346
one-factor model, 153, 165
operational loss data base, 312
operational risk, 294, 311, 341, 349, 362
optimal portfolio, 320, 322
option, 15, 17, 28, 38, 52, 56, 72, 102,
119, 187, 197, 200, 204, 263, 310,
311, 339
option pricing, 197
option theory of credit pricing, 310
order book, 22, 226
osmotic pressure, 41
over-the-counter trading, 15
path integrals, 11, 79, 197, 210, 212,
216
percolation, 132, 236, 241
performance measure, 331
Perrin, Jean, 46
pillar 1, 342, 349, 355
pillar 2, 355
pillar 3, 358
Poisson distribution, 312
portfolio insurance, 226, 246
portfolio value at risk, 300, 319
power mapping of correlation matrix,
167
prediction of crashes, 260, 263, 268,
270, 272, 273, 282
price formation at exchange, 21
put option, 15, 17, 19, 56, 77, 311
put–call parity, 58
quantile, 297, 346
random matrix theory, 162
random walk, 4, 5, 7, 27, 37, 47, 58, 67,
106, 119, 134, 140, 232
rating, 310, 326, 342, 358
rating, external, 343
rating, internal, 342
regulatory capital, 325, 333, 358
replication of options, 87
Rho, 83
Richter scale, 259, 285
risk capital, 302, 305, 325, 326, 334, 358
risk contribution, 331
risk control, 28, 119, 291, 318
risk management, 289
risk measure, 291, 328, 352
risk premium, 52, 73, 79, 201
risk weight, 336
risk, definition, 13, 290, 291
risk-neutral world, 78, 80, 201, 278
riskless portfolio, 73, 75
RORAC, 331
Russell 1000 index, 322
Russian debt crisis, 2, 153, 260, 309
S&P500, 1, 96, 106, 116, 149, 154, 170,
236, 260, 271, 282, 322
scale of market shocks, 286–288
scaling, 11, 65, 101, 113, 114, 145, 151,
160, 176, 183, 187, 192, 193, 196,
231, 240, 246, 267
scenario analysis, 290
scenario, generalized, 306
Scholes, Myron, 8, 52, 73
semiconductors, amorphous, 138
semivariance, lower, 294
September 11, 2001, 3, 120, 276