Above Par
Absolute Pricing Model
Acceptance
Accrual Bond
ALM
Alpha Transport
Alternative Option
American Exercise
Annual Rate of Return
Annualized Return
Annualized Volatility
Antithetic Variates
Arbitrage
Arbitrage Free
Arbitrage CDO
Arbitrage Condition
Arbitrage-free Model
Arbitrage-free Pricing
Arbitrageur
ARCH
Arithmetic Return
Arthur Andersen Conviction
Asian Option
Askins, David
Asset Sensitive
Asset Swap
Asset Value Model
Asset-backed Security
Asset-based Lending
Asset-liability Management
Asset-liability Risk
Asset-or-nothing Binary
At Par
At-the-money
Autocorrelation
Autoregressive Conditional Heteroskedasticity
Average Option
Average Price Option
Average Rate Option
Average Strike Option
AW Jones & Co.
BA
BA Rate
Backfill
Backwardation
Balance Sheet CDO
Bank For International Settlements
Bank Run
Bankers Acceptance
Bankers Acceptance Rate
Banking Act of 1933
Barings Debacle
Barrier Option
Barry, John D.
Base Currency
Basel Accord (1988)
Basel Accord (1996 Amendment)
Basel Committee
Basel II
Basel-IOSCO Initiative
Basis
Basis Point
Basis Risk
Basis Swap
Basket Option
Beacon Hill Asset Management
Bear Spread
Below Investment Grade Bond
Below Par
Berger, Michael
Bermudan Exercise
Beta
Better-of Option
Bid-ask Spread
Bid-offer Spread
Bilateral Netting
Bill of Exchange
Binary Option
BIS
Black '76
Black (1976) Option Pricing Formula
Black's Model
Black-Scholes (1973) Option Pricing Formula
Black-Scholes Theory
Boesky Day
Boesky, Ivan
Book Value
Broker-dealer
Bull Spread
Business Risk
Butterfly Spread
C
CAD
CAD II
CAD III
Calculating the Present Value
Call
Call Spread
Callable Bond
Cap
Capacity to Contract
Capital
Capital Allocation
Capital Charge
Capital Market Line
Capital Ratio
Capital Structure Arbitrage
Caplet
CAPM
Cartwheel
Cash CDO
Cash Flow CDO
Cash Flow Matching
Cash Flow Risk
Cash Instrument
Cash Loan
Cash Matching
Cash Price
Cash Trade
Cash-flow-at-risk
Cash-or-nothing Binary
Cauchy Distribution
CBO
CDO
Central Limit Theorem
CFaR
CFTC
Chi-squared Distribution
Chief Risk Officer
Chooser Option
Citron, Robert
Cliquet Option
CLO
Closed Form Expression
Closed Form VaR
Closed-form Solution
Closeout Netting
CMO
COFI
Collar
Collateral
Collateral
Collateral Arrangement
Collateralized Bond Obligation
Collateralized Debt Obligation
Collateralized Loan Obligation
Collateralized Mortgage Obligation
Commercial Bank
Commodity Futures Modernization Act
Commodity Futures Trading Commission
Commodity Exchange Act
Companion Bond
Compound Interest
Compound Option
Conditional Heteroskedasticity
Conditional Homoskedasticity
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Conditional Prepayment Rate
Contango
Contingent Premium Option
Continuous Compound Interest
Continuous Process
Continuous-time
Contract Formation
Contract Frustration
Control Variates
Convertible Arbitrage
Convexity
Corporate Risk Management
Correlation
Correlation Matrix
Cost of Funds Index
Cost, Insurance, Freight
Costless Collar
Coupon Leverage
Covariance
Covariance Matrix
Covariance Stationarity
CPR
Crack Spread
Crash of 1929
Credit
Credit Rating
Credit Scoring
Credit Analysis
Credit Analyst
Credit Default Swap
Credit Derivative
Credit Enhancement
Credit Exposure
Credit Insurance
Credit Linked Note
Credit Quality
Credit Risk
Credit Spread
Cross Correlation
Cross-currency Derivative
Crude Monte Carlo Estimator
Currency Code
Currency Swap
Curse of Dimensionality
Custodian
Custody
Cylinder
Daiwa Bank Debacle
Deal Risk
Dedicated Long
Dedicated Long Bias
Dedicated Short
Dedicated Short Bias
Default Intensity
Default Mode
Default Model
Default Probability
Delivery Month
Delivery Price
Delta
Delta Approximation
Delta-gamma Approximation
Delta-gamma Remapping
Delta-gamma VaR Measure
Delta-normal VaR
Deposit Insurance
Depository Institutions Deregulation And Monetary Control Act of 1980
Depreciation
Depth, Market
Derivative
Derivative Instrument
Derivatives Pricing Theory
Deterministic Volatility Function Model
Diff Swap
Differential Equations Approach
Differential Swap
Digital Option
Directional Strategy
Discount Curve
Discount Factor
Discrete Process
Discrete-time
Distance to Default
Diversification
Diversity (market)
Draft
Drawee
Drawer
Drexel Burnham Lambert
Dual Remapping
Duration
Duration Matching
Duration-convexity Matching
Earnings Risk
Earnings-at-risk
ECO
Economic Capital
Economic Profit
Economic Value
Economic Value Added
EDS
Efficient Frontier
Eifuku Master Fund
Eligible (bankers Acceptance)
Enron Debacle
Enterprise Risk Management
Equilibrium Pricing Model
Equity Collateralized Obligation
Equity Default Swap
Equity Market Neutral
Equivalent Martingale Measure
Equivalent Measures
Equivalent Probability Measures
ETL
Euribor
Euro Interbank Offered Rate
European Exercise
European Financial Regulation
EVA
Event Driven Strategy
Ex-dock
Ex-warehouse
Exchange For Physicals
Exchange Traded
Exempt Security
Exotic Derivative
Expectation
Expected Default Frequency
Expected Exposure
Expected Loss
Expected Shortfall
Expected Tail Loss
Expected Value
Expiration Date
Expiration Value
Exposure At Default
Exposure Limit
Extendible Option
F-3 Fund
Fallen Angle
Fannie Mae
Fast Fourier Transform
Fastow, Andrew
FDIC
Federal Reserve
Federal Deposit Insurance Corporation
Fence
FFT
Financial Services Modernization Act of 1999
Financial Engineer
Financial Engineering
Financial Risk Management
First Notice Date
Fixed Income Arbitrage
Fixed Income Term Structure
Fixed Strike Lookback Option
Fixed-for-floating Swap
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Floater
Floating Rate CMO
Floating Rate Note
Floating Strike Lookback Option
Floor
Floorlet
Flower Bond
Forward
Forward Loan
Forward Price
Forward Contract
Forward Rate
Forward Rate Agreement
Forward Settlement
Forward Start Option
Forward Trade
Fourier Transform
FRA
Freddie Mac
Free Alongside
Free Onboard
Freeman, Robert
FRM
FRN
Function Remapping
Fund of Funds
Fundamental Theorem of Asset Pricing
Future
Futures Spread
Graph of Forward Prices
Hamanaka, Yasuo
Hammersmith And Fulham Decision
Harmonization
Hazard Rate
Head of Risk Management
Hedge Fund
Hedging
Herstatt Bank
Herstatt Risk
Heteroskedasticity
High Yield Bond
High-water Mark
Historical Transformation
Historical VaR
Historical Volatility
Holder Extendible Option
Holdings
Holdings Remapping
Homoskedasticity
Hurdle Rate
Hybrid Instrument
Hypothecation
Iguchi, Toshihide
Impact Costs
Implementation Shortfall
Implied Tree Model
Implied Volatility
Importance Sampling
In-the-money
In-warehouse
Independence
Inference Procedure
Initial Margin
Intensity Model
Intercommodity Spread
Interest Rate Cap
Interest Rate Floor
Interest Rate Gap
Interest Rate Parity
Interest Rate Risk
Interest Rate Spreads
Interest Rate Swap
International Organization of Securities Commissions
Interpolation Remapping
Intracommodity Spread
Intrinsic Value
Inverse Floater
Inverse Floater CMO
Investment Services Directive
Investment Bank
Investment Company
Investment Company Act of 1940
Investment Grade Bond
IO
IOSCO
Lancer Offshore Fund
Lauer, Michael
Law of One Price
Lay, Kenneth
Least Squares Remapping
Leeson, Nick
Legal Risk
Leptokurtosis
Leverage
Leveraged Inverse Floater
Levine, Dennis
Liability Swap
Liability Sensitive
Libid
Libor
Limean
Limit
Limit Utilization
Limit Violation
Linear Derivative
Linear Remapping
Linear Transformation
Linear VaR
Lipper Convertible Fund
Liquidity
Liquidity Black Hole
Liquidity Gap
Liquidity Risk
Liquidity Spread
Loan Guarantee
Local Volatility Model
Log Return
Lognormal Distribution
London Interbank Bid Rate
London Interbank Offered Rate
Long
Long Position
Long Term Capital Management
Long-short Position
Long/short Strategy
Lookback Option
Loss Given Default
LTCM
Macaulay Duration
Maintenance Margin
Maloney Act of 1938
Managed CDO
Managed Futures
Manhattan Fund
Mapping Procedure
Margin Account
Margin Call
Margrabe Option
Maricopa Funds
Mark, Rebecca
Mark-to-market
Mark-to-market Exposure
Mark-to-market Mode
Mark-to-model
Market Neutral
Market Neutral Strategy
Market Portfolio
Market Price
Market Risk
Market Timing
Market Value
Market Value CDO
Markowitz, Harry
Martingale
Martingale Measure
Maximum Likely Exposure
Maximum Option
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Mean
Mean Reversion
Mean Vector
Measure
Measurement
Merger Arbitrage
Merton (1973) Option Pricing Formula
Merton Model
Metallgesellschaft Debacle
Metric
Mid-offer Price
Milken, Michael
Min-max Option
Minimum Option
Mixed Distribution Model
MM
Mobley, David M.
Model Risk
Modern Portfolio Theory
Modified Duration
Monte Carlo Transformation
Monte Carlo Method
Monte Carlo VaR
Mortality Model
Mortgage Backed Security
Mortgage Pass-through
MPT
Multiasset Option
Multifactor Option
Multilateral Netting
Multinormal Distribution
Multivariate Normal Distribution
OAS
Obligor
OCC
Off-the-run
Office of the Comptroller of the Currency
Offset
On-the-run
Operational Risk
Operations Risk
Opportunity Costs
Option
Option Holder
Option Issuer
Option Pricing Theory
Option Spread
Option Valuation
Option Writer
Option-adjusted Duration
Option-adjusted Spread
Orange County Debacle
Ostrander, Patsy
OTC
Out-of-the-money
Outperformance Option
Over the Counter
Overlay Strategy
Overnight
Own Funds Directive
PAC Bond
PAC II Bond
PAC III Bond
Pairs Trading
Paper Market
Paperwork Crisis
Par Value
Parametric VaR
Path Dependence
Payee
Payer Swaption
Payment Netting
Payoff
Payoff Diagram
Peek-a-Boo
Percentile
Perfected Interest
Perold's Implementation Shortfall
Physical Delivery
Physical Market
Physical Settlement
Planned Amortization Bond
Platykurtosis
PO
Portfolio Credit Risk
Portfolio Credit Risk Model
Portfolio Mapping
Portfolio Mapping Function
Portfolio Remapping
Portfolio Theory
Potential Exposure
Pre-settlement Risk
Preference Option
Premium
Prepayment
Prepayment Protection Band
Prepayment Risk
Primary Capital
Primary Instrument
Primary Mapping
Prime Broker
Principal Component Remapping
Private-label Mortgage-backed Security
Process
PSA
Public Company Accounting Oversight Board
Put
Put Spread
Put-call Parity
Putting On A Spread
Rainbow Option
Range Forward
RAPM
RAROC
RARORAC
Ratchet Cap
Ratchet Floor
Ratchet Option
Rate of Return
Ratings Migration Model
Ratings Transition Matrix
Ratio Call Spread
Ratio Put Spread
Receiver Swaption
Recovery Rate
Reduced Form Model
Reduced Stable Distribution
Regime Switching Model
Regular-way Settlement
Regulation Q
Regulatory Capital
Rehypothecation
Reinvestment Risk
Relative Pricing Model
Relative Value Strategy
Remapping
Replacement Cost
Repo
Repo Rate
Repricing
Repricing Date
Repricing Gap
Repricing Risk
Repurchase Agreement
Reset Date
Reset Option
Resiliency, Market
Return
Return On Investment
Return On Assets
Return On Capital
Return On Equity
Return On Risk-adjusted Capital
Reverse Floater
Reverse Repo
Risk
Risk Committee
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Risk Arbitrage
Risk Averse
Risk Factor
Risk Limit
Risk Loving
Risk Management
Risk Management Department
Risk Manager
Risk Measure
Risk Measurement
Risk Metric
Risk Neutral
Risk Neutral Valuation
Risk Oversight Committee
Risk Seeking
Risk Vector
Risk-adjusted Capital Ratio
Risk-adjusted Performance Metric
Risk-adjusted Return On Capital
Risk-adjusted Return On Risk-adjusted Capital
Risk-based Capital
RiskMetrics
ROA
ROC
Rocket Scientist
ROE
RORAC
Sarbanes-Oxley Act of 2002
Scenario Analysis
SEC
Second Banking Coordination Directive
Secondary Capital
Secured Lending
Securities Lending
Securities Act of 1933
Securities And Exchange Commission
Securities Exchange Act of 1934
Securities Investor Protection Corporation
Securities Firm
Separation Theorem
Sequential Pay CMO Bond
Servicing Agent
Servicing Fee
Servicing Rights
Settlement
Settlement
Settlement Date
Settlement Price
Settlement Risk
Sharpe, William
Short
Short Position
Short Sale
Short Seller
Short Squeeze
Siegel, Martin
Sight Draft
Simple Interest
Simple Return
Simulation Analysis
SIPC
Skewness
Skewness
Skilling, Jeffrey
Solvency Ratio Directive
Sox
Special Security
Specific Risk
Speculative Grade Bond
Spot Settlement
Spot Curve
Spot Loan
Spot Price
Spot Rate
Spot Trade
Spot-next
Spread Option
Spread Risk
Spread Trading
Spreads
Spreads
Square Root of Time Rule
SRO
SSM
Stable Distribution
Stable Paretian Distribution
Standard Cauchy Distribution
Standard Deviation
Standard Normal Distribution
Standardized Stable Distribution
Stat Arb
Stated Value
Static CDO
Stationarity
Statistical Arbitrage
Sticky Delta
Sticky Strike
Stochastic
Stochastic Calculus Approach
Stochastic Process
Stochastic Volatility Model
Stop-loss Limit
Straddle
Strafaci Edward
Strangle
Stratified Sampling
Stress Testing
Strict Stationarity
Strike Price
Structural Credit Risk Model
Subcustodian
Submartingale
Subordinate PAC Bond
Sumitomo Corp. Debacle
Super PAC Bond
Super-efficient Portfolio
Supermartingale
Support Bond
Survival Function
Swap
Swap Curve
Swap Rate
Swaption
Synthetic CDO
Systematic Risk
Value Date
Value-at-risk
Vanilla Currency Swap
Vanilla Derivative
Vanilla Interest Rate Swap
Vanilla Option
Vanilla Swap
VaR
VaR Horizon
VaR Measurement
VaR Metric
VaR Implementation
VaR Limit
VaR Measure
VaR Model
Variables Remapping
Variance
Variance-covariance VaR
Variation Margin
Vcv VaR
Vega
Volatility
Volatility Skew
Volatility Smile
Volatility Surface
Volatility Term Structure
Volume-weighted Average Price
VWAP
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