An edition of RISK COMPANION
(2010)
RISK COMPANION
Risk Management Dictionary
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Publish Date
2010
Publisher
LAMBERT
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Book Details
Table of Contents
TABLE OF CONTENTS
CHAPTER 1
Act-of-God Bond 21
Adjusted Indemnity Limit 21
Admitted Reinsurance 21
Alternative Risk Transfer 21
ART 22
Autocorrelation 22
Bank for International Settlements 22
Bankruptcy 22
Futures 22
Basel Accord 23
Basel Committee on Banking Supervision 23
Baseload 23
Basis 23
Basis Point 24
Basis Risk 24
Basis Swap 24
BBL 24
Bilateral Netting 24
BIS 25
Bullet Bond 25
Bundle 25
California Oregon Border 25
Capacity 25
Catarstophe (CAT) Bonds 26
Catastrophe Options 27
Catastophe Swaps 27
CatEPuts 27
CDD 27
Cede 27
Cedent 28
Claim Ratio (Loss Ratio) 28
Closeout Netting 28
Collateralized Bond Obligation (CBO) 28
Collateralized Loan Obligation 28
Collateralized Mortgage Obligation 28
Combined Ratio 29
Contingent Capital 29
Contingent Surplus Note 29
Convexity 29
Cooling Degree Days 30
Correlation 30
Counterparty Risk 30
Covariance 30
Credit Default Swap 31
Credit Derivative 31
Credit Event 31
Credit Option 31
Credit Reinsurance 32
Credit Risk 32
Credit Risk Equivalent 32
Credit Risk Option 32
Credit Spread 32
Credit Spread Swap 33
CSN 33
Cumulative Risk 33
Default Probability 33
Degree-Day 33
Delta 34
Derivative 34
Direct Credit Substitute 34
Direct Insurance 34
Duration 35
DV01 35
DVBP 35
Dynamic Financial Analysis 35
Economic Capital 36
Embedded Value Securitization 36
Enterprise Risk Management 36
ERM 36
EWMA 36
Exchange Option 37
Expected loss 37
Expense Ratio 37
Exponentially-Weighted Moving Average 37
Extreme Value Theory 37
Financial Reinsurance 37
Financial Risk Management 38
Finite Risk Insurance 38
Fronting 38
Gamma 38
GARCH 39
Gross Negative Fair Value 39
Gross Positive Fair Value 39
Group of Thirty 39
Haircut 40
Heat Rate 40
Heating Degree Days 40
Hedge 40
Hedge Accounting 41
Henry Hubb 41
Herstatt risk 41
Heteroscedasticity 41
Historical VaR 42
Historical Volatility 42
Implied Volatility 42
Initial Indemnity Limit 42
Issuer Risk 43
Jump Diffusion 43
Kurtosis 43
Layer 43
Legal Risk 44
Leptokurtosis 44
LEQ 44
Leverage 44
Liquidity Risk 44
Loan Equivalency Factor 45
Loss Avoidance 45
M-squared 45
Macaulay Duration 45
Mark-to-Market 46
Mark-to-Model 46
Market Risk 46
Master Agreement 46
Maximum Temperature Binary Cover 46
Mean Reversion 47
Minimum Temperature Binary Cover 47
Modified Duration 47
Monte Carlo Simulation 47
Monte Carlo VaR 47
Multilateral Netting 48
On-the-run Treasury 48
Operational Risk 48
Parametric VaR 48
Platykurtosis 48
Pre-Settlement Risk 49
Precipitation Cover 49
Precipitation Cover 49
Proportional Reinsurance 49
Provision 49
PV01 50
PVBP 50
RAROC: Risk-Adjusted Return on (Economic) Capital 50
Regulatory Capital 50
Reinsurance 50
Rent-a-Captive 51
Residual Tranche 51
Retention 51
Retrocedent 51
Retrocession 51
Risk Factor 51
Risk Limit 52
Risk Transfer 52
Run-Off Management 52
Securitization 52
Self-Insurance 52
Sell Short 53
Settlement Date 53
Settlement Risk 53
Severity 53
Sigma 53
Simulation 54
Snowfall Cover 54
Special Purpose Vehicle (SPV) 54
Stress Testing 55
Strike Price 55
Surety Reinsurance 55
Total Return Swap 55
Tranche 55
Treaty Reinsurance 56
Underwriting Capacity 56
Unexpected Loss 56
Value-at-Risk 56
VAR 56
Vega 56
Volatility 57
Vulnerable Option 57
Weather Derivative 57
CHAPTER 2
GLOSSARY OF ACCOUNTING ECONOMICS, BANKING AND MANAGEMENT TERMS
A forfeit 58
Above the line 58
Absorption costing 59
Acceptance 59
Accounting 59
Accruals convention 59
Acid test 59
Actuary 60
Amortization American for depreciation 60
Arbitrage 60
Asset 60
Asset management 61
Asset redeployment 61
Asset sharing 61
Aval 61
Back to basics 61
Bad debt 62
Balance sheet 62
Balloon 63
Banker’s draft 63
Bankruptcy 63
Barter 63
Base rate 64
Bear 64
Bearer bond 64
Below the line 65
Bill (of exchange) 65
Bill of landing 65
Blue chip 65
Bringing loan 66
Broker 66
Budget 66
Bull 67
Bullet 67
Buyer credit 67
Call money 68
Call option 68
Camel 68
Capital 69
Capital employed 69
Capital market 69
Capital reserve 69
Capitalized value 70
Capping 70
Cartel 70
Cash 71
Cash flow 71
Cash management 71
Cash management account 72
Cayman Islands 72
Central bank 72
Cheque 72
Cif 73
City 73
Clearing system 73
Close corporation 73
Coface 74
Coin 74
Collateral 74
Commercial bank 74
Commercial paper 74
Commission 75
Commitment fee 75
Compensating balance 75
Concordat 75
Confidence 76
Consensus 76
Contingent liability 76
Corporate culture 77
Correspondent bank 77
Cost 77
Cost accounting 78
Cost of sales 79
Country risk 79
Creative accounting 80
Crash 80
Credit card 80
Credit guarantee insurance company (CGIC) 81
Crossed cheque 81
Cum div 81
Current cost accounting 81
Current ratio 82
Current replacement cost 82
Debit 82
Debt servicing 83
Default 83
Defeasance 83
Deferred tax 84
Demassing 84
Deposit account 85
Devaluation 85
Direct costs 85
Discount 85
Discount house 86
Discount rate 86
Discounted cash flow 86
Disintermediation 86
Diversification 87
Dutch auction 87
Eftpos 87
Egibi 88
Endorsement 88
Equity 88
Equity accounting method 88
Entity 89
Escrow account 89
Eurodollar 89
Euromarket 90
Ex div 90
Extraordinary items 90
Export credit 90
Export credit guarantee department (ECGD) 91
Face value 91
Factoring 91
Fed funds rate 92
Federal reserve board 92
Fiduciary deposits 92
First in, first out (fifo) 93
Financial accounting 93
Financial futures 93
Financial supermarket 93
Fiscal drag 94
Fix 94
Fixed costs 94
Fixed rate 95
Float 95
Floating rate 95
Floating rate note (frn) 96
Foreign currency translation 96
Forward cover 96
Funding 97
Fungible 97
Futures 97
Garnishee order 98
Gearing 98
General reserve 99
Gentleman’s agreement 99
Guilt-edged 99
Giro 99
Going concern 100
Gold 100
Gold card 100
Goodwill 101
Grace period 102
Gross 102
Guarantee 102
Hard currency 102
Hedge 103
Hermes 103
Hidden reserves 103
High net worth individual 104
Historic cost accounting 104
Home banking 104
Hong Kong 105
Hot money 105
Indirect costs 106
Inflation accounting 106
Insolvency 106
Intangible assets 107
Inter-bank market 107
Interest 108
Internal rate of return (IRR) 108
Intrapreneurship 108
Jersey 108
Joint venture 109
Joint finance companies 109
Kaffirs 109
Krugerrand 109
Laundering 110
Lead manager 110
Leasing 110
Legal tender 111
Lender of last resort 111
Less developed country (LDC) 111
Leverage 111
Leveraged buy-out 112
Liability 112
Liability management 112
Libor 113
Lien 113
Last in, first out (lifo) 113
Limited liability 114
Liquidation 114
Liquidity: two meanings 114
Limitations of accounting 114
Listing 115
Loan stock 115
Lombard street 115
London international financial futures exchange (liffe) 115
Long-term 116
Loro 116
Mag stripe 116
Mail transfer 116
Management accounting 116
Management buy-out 117
Margin 117
Marginal cost 117
Market capitalization 118
Market value 118
Master card 119
Matching 119
Maturity 120
Mean 120
Median 120
Medium-term 120
Merchant bank 121
Minority interest 121
Miti 121
Mode 122
Monetary base 122
Money 122
Money market 123
Monte dei paschi di siena 123
Moratorium 123
Mortgage 123
Nationalisation 124
Negotiable instrument 124
Net 124
Net current assets 125
Net present value (NPV) 125
Net profit 125
Net worth 126
Niches 126
Non-performing loan 126
Nostro 126
Numbered account 127
Off-balance-sheet finance 127
Open account 128
Open cheque 128
Open-market operations 128
Operating income/profit 128
Opportunity cost 129
Option 129
Out-sourcing 130
Overdraft 130
Overheads 130
Overnight money 131
Paid-up capital 131
Par 131
Pawnbroker 131
Pay-back method 132
Performance bond 133
Personal identification number (pin) 133
Preference shares 133
Preferential creditor 134
Premium 134
Price/earnings (p/e) ratio 134
Prime rate 134
Principal 135
Private placing 135
Profit 135
Profitability 136
Project finance 137
Provisions/reserves 137
Public company 138
Put option 138
Qualified audit report 139
Quoted company 139
Rate of return 139
Ratios 140
Real time 141
Receivables 141
Red clause 141
Redemption yield 141
Refinancing 142
Recognition of profit 142
Rescheduling 142
Revolving credit 143
Rights issue 143
Risk-averse 143
Roll-over 144
Roundtripping 144
Sales and leaseback 144
Secondary market 145
Secrecy 145
Secret (hidden) reserves 145
Secured loan 146
Securities 147
Securitisation 147
Short-term 147
Soft loan 147
Solvency (banks) 148
Solvency ratio 148
Spot price 148
Spread 149
Stag 149
Stagflation 149
Source and application of funds:strike price 149
Suspense account 150
Swap 150
Swift 150
Syndicated loan 151
Ten k (10-k) 151
Term loan 151
Times covered / times interest earned 152
Tombstone 152
Touchy-feely managers 153
Tranche 153
Transfer pricing 153
Travel and entertainment (t and e) cards 153
Traveller’s cheque 154
Trigger 154
True and fair 155
Turn 155
Uncertainty 155
Underwrite 155
Value added statements 156
Value date 156
Variable costs 156
Variable rate 157
Variances 157
Venture capital 158
Vostro account 158
Waiver 158
White knight 158
Winding-up 158
Window gressing 159
Withholding tax 159
Working capital 159
Work-in-progress 160
Write-off 160
Zero-base budgeting 160
Z-score 160
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| November 28, 2010 | Edited by 94.57.173.185 | Edited without comment. |
| November 28, 2010 | Created by 94.57.173.185 | Added new book. |