Credit Risk Measurement In and Out of the Financial Crisis: New Approaches to Value at Risk and Other Paradigms, Third Edition

List of Abbreviations

ABCP	asset-backed commercial paper
ABS	asset-backed security
AE	average exposure
AMA	advanced measurement approach
ARM	adjustable rate mortgage
ARS	adjusted relative spread
ABX	index of mortgage-backed security values
BHC	bank holding company
BIS	Bank for International Settlements
BISTRO	Broad Index Secured Trust Offering
BRW	benchmark risk weight
BSM	Black-Scholes-Merton Model
CAPM	capital asset pricing model
CBOE	Chicago Board Options Exchange
CDO	collateralized debt obligation
CDS	credit default swap
CFTC	Commodity Futures Trading Commission
CIO	collateralized insurance obligation
CLN	credit-linked note
CLO	collateralized loan obligation
CMO	collateralized mortgage obligation
CMR	cumulative mortality rate
CRE	commercial real estate
CS	credit spread
CSFP	Crédit Suisse Financial Products
CVR	contingent value rights
CWI	creditworthiness index
CYC	current yield curve
DD	distance to default
DM	default mode model
EAD	exposure at default
EBITDA	earnings before interest, taxes, depreciation, and amortization
EC	European Community
ECA	Export Credit Agency
EDF	expected default frequency
EDP	estimated default probability
EE	expected exposure
EL	expected losses
EVA	economic value added
EVT	extreme value theory
FA	foundation approach
FAS	Financial Accounting Standard
FASB	Financial Accounting Standards Board
FD	fair disclosure
FDIC	Federal Deposit Insurance Corporation
FNMA	Federal National Mortgage Association
FHFA	Federal Housing Finance Agency
FIs	financial institutions
FSHC	financial service holding company
FSA	Financial Services Authority
FSLIC	Federal Savings ...