Abbreviations and acronyms

ABCP Asset Backed Commercial Paper
ABS Asset Backed Security
AFS Available For Sale
AIG American International Group
ALM Asset Liability Management
ASF Available Stable Funding
bAJD basic Affine Jump Diffusion
BBA British Bankers' Association
BCBS Basel Committee on Banking Supervision
BSL Balance Sheet Liquidity
c.l. confidence level
CBC CounterBalancing Capacity
CC Central Clearing
CCS Cross Currency Swap
CD Certificate of Deposit
CDO Collateralized Debt Obligation
CDS Credit Default Swap
CEBS Committee of European Banking Supervisors
cfAR cash Flow At Risk
CFP Contingency Funding Plan
CIR Cox, Ingersoll and Ross (model)
CM Clearing Membership
CMBS Commercial Mortgage Backed Security
CME Chicago Mercantile Exchange
CP Commercial Paper
CPR Constant Prepayment Rate
CRT Credit Risk Transfer
CSA Credit Support Annex
CVA Credit Value Adjustment
DF Discount Factor
DVA Debit Value Adjustment
EAD Exposure At Default
EBF European Banking Federation
EC Economic Capital
EEA European Economic Area
EFC Expected Funding Cost
EL Expected Loss
ELoP Expected Loss on Prepayment
EM Empirical Model
ENE Expected Negative Exposure
Eonia Euro overnight index average
FAS Financial Accounting Standards
FASB Financial Accounting Standards Board
FC Funding Cost
FCAVL Forward Cumulated A Vailable Liquidity
FFT Fast Fourier Transform
FO Financial Option
forex, FX Foreign eXchange ...

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