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financial.math.ncsu.edu
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Definitions (349)
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Internal Fraud
Internal Fraud under the Basel II Accord include operational risk events such the misappropriation of assets, tax evasion, intentional mismarking of positions, and bribery.
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banking book
The banking book of a bank is the portfolio of assets, primarily loans, a bank expects to hold until maturity when the loan is repaid fully; typically refers to the loans the bank underwrites.
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Yield curve
A yield curve illustrates the relationship between prevailing interest rates based on the time remaining to maturity.
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zero-coupon bonds
A zero-coupon bond is a type of fixed income instrument that makes only one payment at maturity, which includes both interest accrued and the repayment of principal; it is traded at a deep discount fr [..]
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Vendors
Vendors, sellers of goods or services, in operational risk management typically refer to external entities providing various operational risk management related services.
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Volatility
Volatility, or conditional standard deviation, quantifies the risk of a financial instrument over a specified time horizon.
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value-at-risk
Value-at-Risk, a measure of risk, estimates the potential loss of at a specified confidence level using statistical analysis.
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Vega
Vega, a measure of sensitivity to volatility, is the first derivative of the option value with respect to the volatility of the asset or instrument underlying the option.
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Underwriting
Underwriting assesses the borrower's eligibility to receive a credit, a loan or a bond, by analyzing financial and other information furnished by the potential borrower or obtained elsewhere.
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Treasury
The treasury manages the financial aspects of an organization and in banking it typically manages the bank's asset and liability structure, liquidity, and capital exposure.
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