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Asset and Liability Management: The Banker’s Guide to Value Creation and Risk Control, Second Edition by Youssef F. Bissada, Jean Dermine

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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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