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GeezerVison is showing www.risk.net — Glossary of financial risk management terms - Risk.net

Risk glossary

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  • A
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  • D
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  • F
  • G
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  • L
  • M
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  • R
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Show "A" list  

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  • Adjoint algorithmic differentiation (AAD)
  • Advanced internal ratings-based approach (A-IRB)
  • Algorithmic hedging
  • Algorithmic pricing
  • Alternative data
  • American-style option
  • Arbitrage-free model
  • Autocallable

Show "B" list  

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  • Backtesting
  • Bail-in
  • Bank Recovery and Resolution Directive (BRRD)
  • Banking book
  • Basel III
  • Basis risk
  • Bayesian statistics
  • BCBS 239
  • Bermudan option
  • Bitcoin
View all "B"

Show "C" list  

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  • Calibration
  • Call option
  • Capital floor
  • Capital Requirements Directive (CRD)
  • Capital valuation adjustment (KVA)
  • CCP basis
  • Central limit order book (Clob)
  • Clearing member
  • Close-out netting
  • Commodity trading adviser (CTA)
View all "C"

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  • Debit valuation adjustment (DVA)
  • Delta
  • DFAST
  • Distributed ledger technology (DLT)
  • Dodd-Frank Act

Show "E" list  

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  • Elicitability
  • Endogenous risk
  • Eonia
  • Equity derivatives
  • Equity option
  • EU Benchmarks Regulation (BMR)
  • Euribor
  • European Market Infrastructure Regulation (Emir)
  • European-style option
  • Exchange-traded fund (ETF)
View all "E"

Show "F" list  

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  • Factor investing
  • Fat tails
  • Flylets
  • Fundamental Review of the Trading Book (FRTB)
  • Funding valuation adjustment (FVA)
  • Futures commission merchant (FCM)

Show "G" list  

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  • Gamma
  • Global systemically important bank (G-Sib)
  • Greeks

Show "H" list  

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  • Haircut
  • Heavy tails
  • Hedge accounting
  • Historical simulation

Show "I" list  

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  • IFRS 9
  • Implied volatility
  • Indifference pricing
  • Inflation swap
  • Initial margin (IM)
  • Interest rate option
  • Interest rate risk in the banking book (IRRBB)
  • Interest rate swap
  • Internal models approach (IMA)
  • Internal ratings-based (IRB) approach
View all "I"

No definitions

Show "K" list  

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  • Key risk indicators (KRIs)

Show "L" list  

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  • Legal and regulatory compliance risk
  • Legal risk
  • Leverage ratio
  • Libor
  • Libor-OIS spread
  • Liquidity coverage ratio (LCR)
  • Liquidity risk
  • Local correlation
  • Local volatility
  • London interbank offered rate (Libor)
View all "L"

Show "M" list  

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  • Machine learning
  • Margin valuation adjustment (MVA)
  • Market impact
  • Market risk
  • Market risk modelling
  • Markets in Financial Instruments Directive (Mifid)
  • Markets in Financial Instruments Regulation (Mifir)
  • Matching adjustment
  • Mifid
  • Mifid II
View all "M"

Show "N" list  

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  • Natural hedge
  • Net stable funding ratio (NSFR)
  • Netting
  • Network theory
  • No-arbitrage pricing
  • Non-deliverable forward (NDF)
  • Non-modellable risk factors (NMRFs)

Show "O" list  

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  • OIS discounting
  • Omega ratio
  • Operational risk
  • Operational risk modelling
  • Organised trading facility (OTF)
  • Overnight index swap (OIS)

Show "P" list  

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  • P&L attribution test
  • P-measure
  • Packaged Retail and Insurance-based Investment Products (Priips) regulation
  • Partial differential equation (PDE)
  • Portfolio compression
  • Position limits
  • Post-trade settlement
  • Post-trade transparency
  • Potential future exposure (PFE)
  • Pre-trade transparency
View all "P"

Show "Q" list  

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  • Q-measure
  • Quality factor
  • Quantitative investing
  • Quantization

Show "R" list  

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  • Real-time gross settlement (RTGS)
  • Recovery and resolution
  • Regulation on Wholesale Energy Market Integrity and Transparency (Remit)
  • Remit
  • Repurchase agreement (repo)
  • Rho
  • Risk data aggregation
  • Risk factors
  • Risk margin
  • Risk parity
View all "R"

Show "S" list  

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  • Secured overnight financing rate (SOFR)
  • Securities Financing Transactions Regulation (SFTR)
  • Securities lending
  • Sensitivities-based approach (SBA)
  • Settlement
  • Settlement risk
  • Sharpe ratio
  • Single point of entry resolution (SPE)
  • Size factor
  • Smart beta
View all "S"

Show "T" list  

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  • T+1 settlement
  • T+2 settlement
  • Target redemption forward (Tarf)
  • Theta
  • Three lines of defence (3LOD)
  • Total loss-absorbing capacity (TLAC)
  • Total return swap (TRS)
  • Trade reporting
  • Trade repository
  • Trade repository (under Emir)
View all "T"

Show "U" list  

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  • Upside/downside risk

Show "V" list  

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  • Valuation adjustments (XVAs)
  • Value factor
  • Value-at-risk (VAR)
  • Vanilla option
  • VAR
  • Variance swap
  • Variation margin (VM)
  • Vega
  • Volatility skew
  • Volatility smile
View all "V"

Show "W" list  

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  • Wrong-way risk (WWR)

No definitions

No definitions

No definitions

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