Frm Part 2 Glossary — Key Terms & Definitions
- Accuracy ratio (AR)
- Annualized loss expectancy (ALE)
- ASF / RSF
- AT1 (Additional Tier 1)
- Backfill bias
- Basel traffic-light test
- Basis risk (IRRBB)
- BCBS 239
- Bow-tie analysis
- Breadth (BR)
- BTFP
- Business Indicator Component (BIC)
- CCF
- CET1
- Christoffersen test
- CIR model
- Collective action clause (CAC)
- Commitment pacing
- Component VaR
- Contingency funding plan (CFP)
- Copula
- Counterbalancing capacity
- Country risk premium (CRP)
- Cover 2
- Credit conversion factor (CCF)
- Cross-currency basis
- CVA / DVA
- Default waterfall
- Denominator effect
- Deposit beta
- Dispersion trade
- Distance to default (DD)
- Doom loop
- DORA
- Duration gap
- Economic capital
- Encumbrance
- EVE / NII
- Excess spread
- Expected Loss (EL)
- Expected Positive Exposure (EPE)
- Expected shortfall (ES)
- Exposure at default (EAD)
- Fails charge
- FTP
- Fundamental law
- Funding rate (perpetuals)
- Gates / side pockets
- General collateral (GC) / special
- Generalized Extreme Value (GEV)
- Generalized Pareto Distribution (GPD)
- G-SIB surcharge
- Haircut
- Hazard rate
- High-water mark
- Hill estimator
- HQLA
- ICAAP / ILAAP
- ILM / BIC
- Impact tolerance
- Impermanent loss
- Incremental VaR
- Information coefficient (IC)
- Information ratio (IR)
- IRRBB
- Key risk indicator (KRI)
- Kupiec test
- LCR / NSFR
- LDA
- Liquidity-adjusted VaR (L-VaR)
- Liquidity spiral
- Loss given default (LGD)
- LVaR
- Malus / clawback
- Marginal VaR
- Margin period of risk (MPoR)
- MDA
- Merton model
- Model tiering
- MPoR
- NAV facility
- NMD
- Novation
- Operational resilience
- Original sin
- Output floor
- Peaks-Over-Threshold (POT)
- PIK
- Population stability index (PSI)
- Portability
- Potential Future Exposure (PFE)
- PPNR
- Probability of default (PD)
- Prudent valuation reserve
- RCSA
- Recovery rate
- Rehypothecation
- Reverse stress test
- Right-way / wrong-way risk
- Risk appetite framework
- Risk appetite statement
- Risk parity
- Risk-stabilizing primary balance
- ROSI
- RTO / RPO
- SCB
- SCO60
- Securitization tranche
- SHAP / LIME
- Side letter
- SMA
- Smart contract risk
- Smoothing
- Sovereign debt dynamics
- Specialness
- SR 11-7
- Stablecoin
- Stack-and-roll hedge
- Standardized Measurement Approach (SMA)
- Surplus at risk
- Surplus at risk (SaR)
- Survival horizon
- Survivorship bias
- Three lines model
- Throughput (intraday)
- TLAC / MREL
- Tokenization
- Tracking error
- Transfer and convertibility risk
- Transfer coefficient (TC)
- Unexpected Loss (UL)
- Unitranche
- Unsmoothing
- Usability paradox
- Value at Risk (VaR)
- Variation margin gains haircutting (VMGH)
- Vasicek model
- Viability event
- Vintage
- Volatility laundering
- Wrong-way collateral
- Wrong-way risk
- xVA