Cyber*School

stress testing methods are used in order to check the reliability of value at risk calculation methods (e.g. variance/covariance method, monte carlo simulation, historical simulition) in extreme market conditions stress testing methods as well as back testing methods are essential supplements to value at risk models

A simulation technique used on asset and liability portfolios to determine their reactions to different financial situations. Stress tests are also used to gauge how certain stressors will affect a company or industry. They are usually computer-generated simulation models that test hypothetical scenarios. Stress testing is a useful method for determining how a portfolio will fare during a period of financial crisis. The Monte Carlo simulation is one of the most widely used methods of stress testing.

(Exercise price, exercise price, strike price) the price at which the underlying may be bought or sold upon exercise of the option.

Strong BUY recommendation of an analyst who expects a significantly better price development for a share than for an (industry)index .

Strong SELL recommendation of an analyst who expects a significantly worse price development for a share than for an (industry)index .

Part of the result from the market interest rate method, which represents the profit / loss of a bank from the structure of the fixed interest rates of all transactions entered (balance sheet items). Mathematically, the structural contribution shall be determined by the respective asset and liability volumes are measured at the corresponding reference rates from the interbank market.

Period in which securities may be acquired under the terms of issue of the primary market.

It defines a right to purchase shares. They are offered to the shareholders, if the corporation intends to increase its capital stock and therefore it places new shares on the stock exchange.

agreement in a repo that allows the seller to replace the bond during the maturity by another bond with similar quality (only in repos with general collateral.

Corporate body of the corporation, which appoints, dismisses and monitores the Executive Board. The Supervisory Board is elected at the Annual General Meeting and represents the interests of the owners (shareholders).

JPY-bond of Japanese companies in the Euro-market,The number of permitted company is limited by the Japanese ministry of finance.

English term for exchange. Three basic types can be distinguished: interest rate swaps, currency swaps and combined interest rate and currency swaps. The partners will exchange payment obligations, in which fixed interest payments are swapped for floating ones or loans in different currencies are exchanged.

futures contract at the LIFFE, where the underlying instrument is an interest rate swap introduced in 2001 with terms of 2, 5, and 10 years denominated in EUR similar contracts in USD are available at CBOT and CME

Option on an interest rate swap. Types:payer swaption: corresponds to a call option on an interest rate swap,The purchaser of the payer swaption has got the right but not the obligation to purchase a specified interest rate swap at the strike price, i.e. he concludes a swap in which he pays a fixed interest rate in exchange of a variable one (e.g. EURIBOR).Receiver swaption corresponds to a put option on a interest rate swap, The purchaser of the receiver swaption has got the right but not the obligation to sell a specified interest rate swap at the strike price on expiry date, i.e. he concludes a swap in which he receives a fixed interest rate in exchange of a variable one.

see underwriting syndicate

Banks that form an emission syndicate together.

v. SAFE

combination of a fixed rate bond and an interest-rate swap, which changes the fixed coupons into variable interest income

A simulated position by combining underlying, futures and / or options positions. Long Call combined with short put synthesized Long Underlying. + C = P + S

Part of the overall risk in equities, which is induced by fluctuations in the overall market.