Financial Risk Management: Models, History, and Institutions

APPENDIX B

Abbreviations

ABCP	Asset-backed commercial paper
ABS	Asset-backed securities
ALM	Asset-liability management
AMLF	Asset-Backed Commercial Paper Money Market Mutual Fund Liquidity Facility
APT	Arbitrage pricing theory
ARM	Adjustable rate mortgage
ATM	At-the-money
ATMF	At-the-money forward
BBA	British Bankers’ Association
BHC	Bank holding company
BIS	Bank for International Settlements
BISTRO	Broad Index Secured Trust Offering
bps	basis points
CAPM	Capital asset pricing model
CD	Certificate of deposit
CDF	Cumulative probability distribution function
CDO	Collateralized debt obligation
CDS	Credit default swap
CEBS	Committee of European Banking Supervisors
CFPB	Consumer Financial Protection Bureau
CFTC	Commodities Futures Trading Commission
CLO	Collateralized loan obligation
CMBS	Commercial mortgage-backed security
CME	Chicago Mercantile Exchange
CPFF	Commercial Paper Funding Facility
CVA	Counterparty valuation adjustment
CVaR	Conditional value-at-risk
EL	Expected Loss
EMS	European monetary system
ERM	Exchange Rate Mechanism
ES	Expected shortfall (conditional value-at-risk)
ETF	Exchange-traded fund
EVT	Extreme value theory
EWMA	Exponentially weighted moving average
FDIC	Federal Deposit Insurance Corporation
FHC	Financial holding company
FMV	Fair market value
FRN	Floating-rate note
FSA	Financial Services Authority
FSOC	Financial Stability Oversight Council
GDP	Gross domestic product
GNMA