Abbreviations

Jorge A Chan-Lau

ABM – Agent-based model
AIG – American International Group
ASW – Asset swap
BIS – Bank for International Settlements
BVAR – Bayesian vector autoregression
CAP – Cumulative accuracy profile
CAPM – Capital asset pricing model
CAR – Capital adequacy ratio
CBOE – Chicago Board Options Exchange
CCAR – Comprehensive Capital Analysis Review
CCB – Countercyclical capital buffer
CCP – Central counterparty
CCR – Counterparty capital requirement
CDO – Collateralised debt obligation
CDS – Credit default swap
CDSF – Central de Deudores del Sistema Financiero
CFM – Capital flow management measures
CFTC – Commodities and Futures Trading Commission
CLNDY – Corrected Lanne-Nyberg Diebold-Yilmaz
CRE – Commercial real estate
CRISIS – Complexity Research Initiative for Systemic Instabilities
CVA – Credit valuation adjustment
D-SII – Domestic systemically important institution
DCC – Dynamic conditional correlation
DIP – Distressed insurance premium
DP – Dynamic provision
DSTI – Debt-service-to-income
DTI – Debt-to-income
DY – Diebold-Yilmaz
EBIT – Earnings before income and taxes
ECB – European Central Bank
EDF – Expected default frequency
ELA – Emergency liquidity assistance
ES – Expected shortfall
ESRB – European Systemic Risk Board

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: