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The FRTB revisions address deficiencies relating to the existing [8] Standardised approach and Internal models approach [9] and particularly revisit the following: . The boundary between the "trading book" and the "banking book": [10] i.e. assets intended for active trading; as opposed to assets expected to be held to maturity, usually customer loans, and deposits from retail and corporate ...
PFE is the "Potential Future Exposure" to the counterparty: per asset class, trade-"add-ons" are aggregated to "hedging sets", with positions allowed to offset based on specified correlation assumptions, thereby reducing net exposure; these are in turn aggregated to counterparty "netting sets"; this aggregated amount is then offset by the ...
These cases belong to (are a subset of) row 1 in the profit table, which have a profit of −100 (total loss of the 100 invested). The expected profit for these cases is −100. Now consider the calculation of , the expectation in the worst 20 out of 100 cases. These cases are as follows: 10 cases from row one, and 10 cases from row two (note ...
The NIST Dictionary of Algorithms and Data Structures [1] is a reference work maintained by the U.S. National Institute of Standards and Technology. It defines a large number of terms relating to algorithms and data structures. For algorithms and data structures not necessarily mentioned here, see list of algorithms and list of data structures.
In mathematical finance, the SABR model is a stochastic volatility model, which attempts to capture the volatility smile in derivatives markets. The name stands for "stochastic alpha, beta, rho", referring to the parameters of the model.
A data structure known as a hash table.. In computer science, a data structure is a data organization and storage format that is usually chosen for efficient access to data. [1] [2] [3] More precisely, a data structure is a collection of data values, the relationships among them, and the functions or operations that can be applied to the data, [4] i.e., it is an algebraic structure about data.
For a more comprehensive listing of data structures, see List of data structures. The comparisons in this article are organized by abstract data type . As a single concrete data structure may be used to implement many abstract data types, some data structures may appear in multiple comparisons (for example, a hash map can be used to implement ...
Data structure diagram and a data dictionary. A data structure diagram is a diagram type that is used to depict the structure of data elements in the data dictionary. The data structure diagram is a graphical alternative to the composition specifications within such data dictionary entries. [1] The data structure diagrams is a predecessor of ...