1.
Operational Risk
Model error and operational risk management. Operational Risk Management 20 Feb 2004. Challenges of quantifying operational risk. ...
2.
Quanto
Quanto options have both the strike price and underlier denominated in the foreign currency. At exercise, the value of the option is calculated as the ...
3.
Delta and Gamma
If the stock declined USD 0.5, the portfolio would gain about USD 1.25MM. Now let's consider gamma. If delta summarizes the most significant piece of ...
4.
Monte Carlo Value-at-Risk
This article discusses Monte Carlo and historical VaR measures. Exhibit 1 is reproduced from the overview article measuring value-at-risk.
5.
Eurodollar Deposit
Eurodollar future A cash-settled future on a 3-month Eurodollar deposit. ... curve that describes the time value of money at a particulate point in time. ...
6.
Zero-Coupon Bond
They mature for their par value plus the final coupon. The instruments generally have terms of ten years or more. If they are issued with shorter terms, ...
7.
Random Walk
Explained:. arithmetic random walk. arithmetic random walk with drift. geometric random walk. random walk. simple random walk ...
8.
Options (Puts and Calls)
Bermudan exercise. call. European exercise. expiration date. option. option holder. option issuer. option writer. put. strike price. vanilla option ...
9.
Municipal Security
tax-backed bond. tax-equivalent yield. tax-exempt bond. variable rate demand obligation ... A third category of municipal bond is refunded bonds. ...
10.
Off-Balance Sheet Financing
Off-balance sheet financing, by comparison, is any form of funding that avoids placing owners' equity, liabilities or assets on a firm's balance sheet. ...
