Index

A

• aggregate command / Analysis of networks’ structure and detection of topology changes
• anova function / Getting started with credit scoring in R
• applied R functions
  • about /
• apply command /
• APT
  • about /
  • and CAPM, difference between /
• ARCH effects
  • testing for /
• ARIMA
  • about /
  • building /
• arima function /
• Asset pricing
  • references /
• auto.arima function /

B

• Beta estimation
  • data selection /
  • about /
  • from linear regression /
• Black-Scholes model
  • about /
• blackscholes() function /
• break argument /

C

• Capital Market Line
  • about /
• CAPM
  • about /
  • and APT, difference between /
• cointegration
  • about /
  • cross hedging jet fuel /
• Conditional Value-at-Risk (CVaR) / Migration matrices
• convertible bond
  • pricing /
• copula function / Correlated defaults – the portfolio approach
• copulas
  • correlated random variables, using with / Correlated defaults – the portfolio approach
• correlated random variables
  • with copulas / Correlated defaults – the portfolio approach
• Cox-Ingersoll-Ross (CIR) /
• credit default models
  • structural models /
  • intensity models /
• Credit risk modeling
  • references /
• Credit Risk Modeling and Valuation
  • URL /
• credit scoring
  • in R / Getting started with credit scoring in R
• cross hedging jet fuel /
• CRR model
  • about /
• cubic spline regression
  • about /
• cubic splines
  • about /
• cumsum function /

D

• data collection, model testing /
• data selection, Beta estimation /
• day variable /
• dedication /
• Derivatives
  • references /
• durcoupon function /
• durmaturity function /
• duryield function /

E

• ECM
  • about /
• Efficient Frontier /
• emplot function / Tail behavior of claims
• estimation problem
  • about /
• estim_nss function /
• evir package / Application – modeling insurance claims
• expected loss calculation
  • fitted GPD model, using / Calculation of expected loss using the fitted GPD model
• Expected Shortfall (ES) / Calculation of expected loss using the fitted GPD model
• exploratory data analysis / Exploratory data analysis

F

• factorportfolio /
• financial network
  • representing / Representation, simulation, and visualization of financial networks
  • simulating / Representation, simulation, and visualization of financial networks
  • visualization of / Representation, simulation, and visualization of financial networks
• Financial networks
  • references /
• FinTS package /
• fitted GPD model
  • used, for quantile estimation / Quantile estimation using the fitted GPD model
  • used, for calculating expected loss / Calculation of expected loss using the fitted GPD model
• fixed argument /
• fixed income portfolio
  • immunizing /
  • net worth immunization /
  • target date immunization /
  • dedication /
• Fixed income securities
  • references /
• fixed income security
  • market risk, measuring /
• fOptions
  • URL /
• fOptions package /
• forecast
  • plotting /
  • about /
• forecast package /
• FUN argument /

G

• GARCH model
  • specification /
  • estimation /
• GBSGreeks function /
• GBSOption function /
• Generalized Pareto distribution (GPD) / Theoretical overview
• genPortfolio.bond function /
• get.adjacency function / Representation, simulation, and visualization of financial networks
• get.edgelist function / Representation, simulation, and visualization of financial networks
• get.hist.quote function /
• glm command / Getting started with credit scoring in R
• GPD distribution
  • fitting, to tails / Fitting a GPD distribution to the tails
• gpd function / Fitting a GPD distribution to the tails
• Greeks
  • about /
• GUIDE
  • URL /

I

• igraph manual
  • URL / Analysis of networks’ structure and detection of topology changes
• igraph object / Analysis of networks’ structure and detection of topology changes
• implied volatility
  • about /
• index property /
• individual variance
  • explanatory power, testing /
• insurance claims
  • modeling / Application – modeling insurance claims
  • exploratory data analysis / Exploratory data analysis
  • tail behavior claims / Tail behavior of claims
  • threshold, determining / Determining the threshold
  • GPD distribution, fitting to tails / Fitting a GPD distribution to the tails
  • quantile estimation, fitted GPD model used / Quantile estimation using the fitted GPD model
  • expected loss calculation, fitted GPD model used / Calculation of expected loss using the fitted GPD model
• intensity models /
• interest rates
  • term structure, estimating /
• IT variable /

L

• Lagrange Multiplier (LM) /
• Lagrange theorem
  • about /
• lambda parameter /
• linear regression
  • Beta estimation, using from /
  • term structure, estimating by /
• linear time series
  • modeling /
  • forecasting /
• loss given default (lgd) / Migration matrices

M

• market risk
  • measuring, of fixed income security /
• Market Risk Premium (MRP) /
• maximum likelihood (ML) / Fitting a GPD distribution to the tails
• Mean-Variance model
  • about /
• mean excess function / Determining the threshold
• meplot function / Determining the threshold
• migration matrices
  • about / Migration matrices
• min function /
• model
  • identification /
  • estimation /
  • diagnostic checking /
  • forecasting /
• model testing
  • data collection /
  • SCL, modeling /
  • explanatory power, testing of individual variance /
• mod_static variable /

N

• network structure
  • analyzing / Analysis of networks’ structure and detection of topology changes
• net worth immunization /
• noise
  • in covariance matrix /

O

• omit argument / Determining the threshold
• Ordinary Least Squared (OLS) /

P

• PerformanceAnalytics
  • URL /
• plot(gpdfit) command / Fitting a GPD distribution to the tails
• plot command / Getting started with credit scoring in R
• Portfolio Frontier /
• Portfolio Optimization
  • references /
  • with R/Rmetrics, URL /
• prepro_bond function /
• priceyield function /

Q

• qplot function / Tail behavior of claims
• Quandl
  • URL /
• Quandl function /
• quantile estimation
  • fitted GPD model, using / Quantile estimation using the fitted GPD model
• quantile function / Quantile estimation using the fitted GPD model
• quantmod
  • URL /

R

• R
  • implementing in /
  • credit scoring / Getting started with credit scoring in R
• real data
  • working with /
• returns function /
• risk management
  • volatility, forecasting for /
• risk model
  • backtesting /
• riskpremium parameter /
• roc function / Getting started with credit scoring in R
• rugarch library /

S

• SCL
  • modeling /
• Security Market Line (SML) /
• SIFIs
  • identifying / Contribution to systemic risk – identification of SIFIs
• spline functions
  • about /
• str command /
• structural models /
• subset function / Analysis of networks’ structure and detection of topology changes

T

• tail behavior claims / Tail behavior of claims
• tailplot function / Quantile estimation using the fitted GPD model
• tails
  • GPD distribution, fitting to / Fitting a GPD distribution to the tails
• tangency portfolio
  • about /
• target date immunization /
• term structure
  • estimating, of interest rates /
  • estimating, by linear regression /
• term structure estimation
  • references /
• theoretical overview / Theoretical overview
• threshold
  • determining / Determining the threshold
• Time parameter /
• times argument /
• timeSeries
  • URL /
• Time series analysis
  • references /
• time series data
  • working with /
• timeSeries object /
• topology changes
  • detecting / Analysis of networks’ structure and detection of topology changes
• trim argument / Tail behavior of claims
• tseries
  • URL /
• two models
  • connection between /
• type argument /
• TypeFlag parameter /

U

• ugarchforecast function /
• ugarchroll function /
• ugarchroll object /
• ugarchspec function /
• UK house prices
  • modeling /
  • forecasting /
• urca library /

V

• variance
  • drawbacks /
• volatilities variable /
• volatility
  • modeling /
  • forecasting, for risk management /
• volatility parameter /

W

• walktrap.community function / Analysis of networks’ structure and detection of topology changes
• write.csv function /

Z

• zoo package /