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Market Consistency [2012]

1
Introduction
9
When is and when isn't Market Consistency Appropriate?
33
Different Meanings Given to ‘Market Consistent Valuations’
51
Derivative Pricing Theory
103
The Risk‐free Rate
127
Liquidity Theory
145
Risk Measurement Theory
185
Capital Adequacy
205
Calibrating Risk Statistics to Perceived ‘Real World’ Distributions
241
Calibrating Risk Statistics to ‘Market Implied’ Distributions
251
Avoiding Undue Pro‐cyclicality in Regulatory Frameworks
267
Portfolio Construction
283
Calibrating Valuations to the Market
317
The Final Word
325
Bibliography
331
Index
i
Front Matter
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