ABBREVIATIONS
BIS | Bank for International Settlements |
BoE | Bank of England |
bp, bps | Basis point(s) |
B-S model | Black–Scholes option pricing model |
CAD | Capital Adequacy Directive |
CDS | Credit Default Swap |
Charisma | Chase Risk Management Analyser |
c.i. | Confidence interval |
CP | Commercial Paper |
CSFB | Credit Suisse First Boston |
DEaR | Daily Earnings at Risk |
EMU | European Monetary Union |
EU | European Union |
FRA | Forward Rate Agreement |
FRR | Financial Resources Requirement |
FSA | Financial Services Authority |
FX | Foreign eXchange |
GARCH | Generalised AutoRegressive Conditional Heteroscedasticity (model) |
LIBOR, Libor | London Interbank Offered Rate |
LIFFE | London International Financial Futures and Options Exchange |
OTC | Over The Counter |
p&l | Profit and loss |
PVBP | Present Value of a Basis Point |
RAROC | Risk Adjusted Return On Capital |
SFA | Securities and Futures Authority |
VaR | Value at Risk |
YTM | Yield To Maturity |
Get An Introduction to Value-At-Risk, Fourth Edition now with the O’Reilly learning platform.
O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.