Quantitative Financial Risk Management: Theory and Practice

Glossary

Accounting-based credit models Models that measure credit risk based on an analysis of financial ratios.

Additive value function A type of multicriteria evaluation model where the overall performance of an available option is obtained as a weighted sum of partial performance assessments. It is a compensatory model, in which the weak performance on one dimension can be compensated by strong performance on others.

Akaike Information Criterion (AIC) A measure of the quality of a statistical model for a given dataset allowing for selection of the best model.

Asset/liability management A risk-management process used by financial institutions to manage their assets and cash flows in accordance with their obligations (liabilities).

Banking stability index An index that describes the degree to which a banking system as a whole can withstand the financial distress of some financial agents.

Basel accords A set of international standards issued by the Basel Committee on Banking Supervision, with a strong focus on the capital adequacy of banks.

Beta The relative risk of an asset in comparison to the market or other defined benchmark.

Budget constraint Restriction that the sum of a set of investment weights equals the investor's budget, which is usually normalized to one.

Bulk volume classification A common method used to classify a trade as either buyer-initiated or seller-initiated.

CEO Chief executive officer, usually the most senior corporate officer managing a corporation.

CFO ...