SPREADSHEETS FOR EXERCISES FROM THE BOOK (FIRST EDITION, 2011)

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Chapter 2 Keywords Click to download
2.1 Law of large numbers
2.2 Central limit theorem
2.3 Rank correlation
2.4 Autocorrelation function (ACF)
2.5 Models of volatility
2.6 Markowitz modern portfolio theory
2.7 Maximum likelihood method (MLE)
2.8 Cointegration, Engle-Granger regression
2.9 Deterministic trend, stochastic trend
2.10 Monte Carlo stimulation, correlated random numbers,
Cholesky decomposition
2.11 Classical decomposition, time series decomposition
2.12 Quantile regression model
 
 
Chapter 4 Keywords Click to download
4.1 Historical simulation, Monte Carlo and parametric VaR
4.2 Bond convexity risk
4.3 Option non-linearity risk
4.4 Fat tail effects in VaR
4.5 VaR of implied correlations
4.6 Beta approach and VaR
 
 
Chapter 5 Keywords Click to download
5.1 Hybrid historical simulation VaR
5.2 Hull-White, stochastic volatility hsVaR
5.3 CAViaR
5.4 CDF of maximas - degenerate function
5.5 Generalized Pareto distribution (GPD), EVT VaR
 
 
Chapter 6 Keywords Click to download
6.1 VaR aggregation
6.2 Diversification effects, correlation
6.3 Component VaR
6.4 Incremental VaR
6.5 10-day VaR by rolling window
 
 
Chapter 7 Keywords Click to download
7.1 Skew in return distributions
7.2 Fat tails, stochastic volatility
7.3 VaR timeliness, regime shifts
 
 
Chapter 8 Keywords Click to download
8.1 Statistical bootstrap, VaR confidence interval
8.2 VaR backtesting
8.3 Ljung-Box statistic, bunching test
 
 
Chapter 10 Keywords Click to download
10.1 Creditmetrics
10.2 Operational risks VaR (OpVaR)
 
 
Chapter 12 Keywords Click to download
12.1 Switching strategy, systematic contagion,
bimodal distribution
12.2 CoVaR (contagion VaR)
12.3 The Austrian model, network model,
systematic risk
 
 
Chapter 13 Keywords Click to download
13.1 new interpretation, classical time series
decomposition
13.2 buVaR response function
13.3 Comparison of tail measures - expected
shortfall, hsVaR and pVaR
13.4 Market buVaR prototype
 
 
Chapter 14 Keywords Click to download
14.1 Credit buVaR prototype
 
 
Chapter 16 Keywords Click to download
16.1 Basis risk, kurtosis in buVaR