March 2002
Intermediate to advanced
176 pages
3h 48m
English
book
Asset and Liability Management: The Banker’s Guide to Value Creation and Risk Control, Second Edition
by Jean Dermine, Youssef F. Bissada
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Appendix C. Glossary
- Advanced approach
under Basel II and the internal ratings-based approach to measure credit risk, banks have two options: the foundation or the advanced approach. In the advanced approach, banks have to estimate four parameters: the probability of default (PD), the maturity of the transaction, the loss-given-default (LGD), and the exposure-at-default (EAD).
- Advanced Measurement Approach (AMA)
under Basel II, banks which qualify can measure operational risk internally. An alternative is to use the standardized approach.
- AFGAP
Association Française de Gestion Actif Passif (French association of ALM specialists).
- ALCO
the Asset & Liability Committee, in charge of asset and liability management, includes the senior management ...
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