The Known, the Unknown, and the Unknowable in Financial Risk Management: Measurement and Theory Advancing Practice

By Francis X. Diebold; Neil A. Doherty et al. | Go to book overview

INDEX
ABX index, 246
Ackoff, Russell, 186
activist investors: Boards of Directors and, 257–58; capital markets intensity and, 258; chief financial officers (CFOs) and, 253–58; fickle debt markets and, 255–57; hedge funds and, 253–55
acuity, 187–88
advantage-versus-selection problem, 342–43
adverse selection, 194, 200–202
aggregate risk, 29; banks and, 105, 109, 112–13, 119–23, 130, 136; capital market intensity and, 249, 264, 268; corporate governance and, 280; crisis management and, 298; decisionmaking and, 43, 49; financial markets and, 76, 80, 91, 98; insurance and, 223; investment and, 306, 309, 338, 341
“Agreeing to Disagree” (Aumann), 325
agribusiness, 252
AIDS, 308
AIG, 75, 79, 257, 279
Airbus, 257
Aliber, R., 75n2
Allais, 31, 38
Allen, E, 180, 188
Allen, L., 110, 113, 120, 133
Allied Irish Bank, 75
Alpert, M., 316
Amaranth Advisors, 75, 253
ambiguity premium, 3, 179–81
American depository receipt (ADR), 315
Amit, R, 186
Andersen, T., 5, 113
Anglo-American School, 168
Anscombe, F. J., 172
Aon Corp., 200, 228, 342
Aristotle, 166n3
Arrow, K. J., 168
Asian crisis, 12, 16, 74, 306, 308, 322
asset allocation, 66–69
asset backed securities (ABSs), 116–17
asymptotic behavior, 47nl, 56–58
AT&T, 321
Atticus Capital, 254
auctions, 332–33
Aumann, Robert, 172, 325
Austrian School, 168
Azimuth Trust, 89–90
B2B architectures, 182
B2C architectures, 182
Babus, A., 180, 188
bailouts, 10–11, 75, 79–80, 227
Baker, M. J., 148
Bali, 133
bank failures, 14–15, 59, 74–75, 283–84
Bank of America, 79
Bank of New York, 74
bank risk: Basel I and, 110, 115; Basel II and, 104, 106–7, 115–16, 119; cash flow characterization and, 117–19; defined, 105; earnings volatility and, 108–10; economic capital and, 108–10; economic value of equity (EVE) and, 118–19; empirical analysis of, 122–39; extreme value theory (EVT) and, 120, 125; granularity and, 105, 112–13, 119–22; Great Depression and, 122–23, 136; internal ratings-based (IRB) approach and, 115–16; known and, 103–7, 112–17, 121–22, 139, 141; measurement of, 105–12, 115, 118–23, 130–34, 140; net interest income (NII) and, 131; policy implications for, 139–41; profit and loss (P&L) and, 130–31; quantification

-359-

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