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Corporate Risk Management Page 459 (469 of 480)
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Index
abnormal returns, 176 assets, 133–134, 147, 267; capital/CAPM model
accounting: balance sheets, risk capital of, 251; pension, equities as, 188, 191
examples of, 136, 137, 141, 142, 148; ATA (formerly known as Amtran), 312
economic value v. performance in, audit, risk-taking, 105
337–339; pension plan, 184, 185, 187,
190–194, 196–197; risk capital, profi backwardation, 97–98 t
calculation in, 147–152; value mismatch, balance sheets: accounting, risk capital
190–194. See also generally accepted examples of, 136, 137, 141, 142, 148;
accounting principles (GAAP) expanded, 196, 197; off -balance sheet
adverse development covers (ADCs), 219, derivatives, 243n11; pension plan, 185; risk
221, 222–223 capital, 137, 143, 145
adverse selection, 150, 232, 290 Bang for the Buck, Hydro One strategy as,
agency costs/risk, 150 370–371
aggregation, risk, 339–341 bankruptcy costs (BC), 100–102
AGL Energy, 404–405 banks, 22; Basel capital accord for, 49;
Airgas, 425, 426, 427–429 derivatives use by, 247; ERM for, 395, 396;
airlines: 1992–2003 stock price study of, 248, instruments not provided by, 29; interest
250; background on sample, 301–304; rate risk for, 394–397; internal, 47; LIBOR
fuel-price hedging of, 248, 250, 258, and, 37, 52, 396–397; risk categories used
299–322 by, 336
alternative risk transfer (ART), 33, 56, 208, Basel capital accord, 49
213; blending in, 228–229; distinguishing bid-off er spread, 124–125
features of, 56–59 binary options, 117n20
American International Group (AIG), 205, blending, 228–229
225 bond(s): CAT, 3, 81; consol, 31; cotton-
annual VaR, 115 indexed dual currency, 30; pension in,
anti-derivatives policies, 51 199; treasury, 10
Arthur Andersen, ERM defi bond market, 448 ned by, 42
asbestos liability, ADC for, 222 Bretton Woods fi xed-exchange rate regime,
asset insurance: economic equivalence with, 6; breakdown of, 19–20
138–139, 140; risk capital and, 134–147 bridge loan, risk capital examples using,
asset management fi 133–147 rms, 369
asset return swap, 188–189 British Petroleum (BP), 257–258, 422–426;
asset-related principal activities, 131 insurance strategy for, 279–298; loss
