Measuring and Managing Liquidity Risk

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 ...