ABBREVIATIONS
| BIS | Bank for International Settlements |
| BoE | Bank of England |
| bp, bps | Basis point(s) |
| B-S model | Black–Scholes option pricing model |
| CAD | Capital Adequacy Directive |
| CDS | Credit Default Swap |
| Charisma | Chase Risk Management Analyser |
| c.i. | Confidence interval |
| CP | Commercial Paper |
| CSFB | Credit Suisse First Boston |
| DEaR | Daily Earnings at Risk |
| EMU | European Monetary Union |
| EU | European Union |
| FRA | Forward Rate Agreement |
| FRR | Financial Resources Requirement |
| FSA | Financial Services Authority |
| FX | Foreign eXchange |
| GARCH | Generalised AutoRegressive Conditional Heteroscedasticity (model) |
| LIBOR, Libor | London Interbank Offered Rate |
| LIFFE | London International Financial Futures and Options Exchange |
| OTC | Over The Counter |
| p&l | Profit and loss |
| PVBP | Present Value of a Basis Point |
| RAROC | Risk Adjusted Return On Capital |
| SFA | Securities and Futures Authority |
| VaR | Value at Risk |
| YTM | Yield To Maturity |
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