Cyber*School

french designation for bearish

frensh designation for bullish

see also advanced internal ratings-based approach

see also asset-backed security

that share of a coupon of a bond which is entitled to seller,The payment of interest (the coupon) is effected to the bearer of bond. If the bearer has not held the bond for the entire interest-rate-period, a share of the payment of interest is entitled to the previous owner. This share is called accrued interest.

abbr. Association Cambiste Internationale

method of interest calculationthe number of days of the interest rate period are calculated as real calendar daysthe number of days of a year is assumed to be 360also known as: money market method and french method

method of interest calculationthe number of days of the interest rate period is calculated as real calendar daysthe number of days of a year is assumed to be 365

method of interest calculationboth the number of days of the interest period and the number of days of a year correspond to the real calendar days

The fund manager seeks to achieve a higher performance by deviations from the established benchmark than the benchmark.

Risk difference between the portfolio and the fixed benchmark.

A 30/360 day-count convention assumes there are 30 days in a month and 360 days in a year. This method is usually used in the money market and among the money market operations of the ESCB. It is also called euro interest rate method, French interest method or money market method.

(ACT / 365) Interest calculation method in which the number of days for the interest period are calculated as true (determined by the calendar) days (ACT). The number of days in a year is assumed to be 365. Also called English interest calculation method.

An actual/actual day-count convention uses the actual number of days in the month and year for a given interest period. This method is commonly used in the bond market in the euro zone and the US. Also called American interest calculation method.

Price-sensitive company announcements are published by companies in the context of ad hoc reports (i.e. pursuant to § 48d of the Exchange Act (Stock Exchange Act) and § 82 (7) and (8) Stock Exchange Act). The issuers of financial instruments have to immediately disclose inside information that directly relates to themself to the public. Ad-hoc reports to ensure a consistent information to all market participants.

(Added value on equity, AVE) It includes the absolute contribution of the bank, the divisions or subordinate levels to which the cost of capital (cost of capital employed) are exceeded or undercut. The operating surplus profit is the main control parameter of a bank.

One of two types of internal ratings-based approaches. With A-IRB, financial institutions are able to provide internal data to determine the risk-parameters probability of default, exposure-at-default and loss-given default. (See also: Internal ratings-based approach, foundation internal ratings-based approach)

Under the AMA the regulatory capital requirement for the operational risk charge will equal the risk measure generated by the bank's internal operational risk measurement modelling system.Financial institutions must collect data on their operational risk losses, and combine this with external data, as well as use key risk indicators and self-assessments of operational risk to calculate the operational risk capital charge. To perform the calculation, firms may use their own modelling technique, but it must be pre-approved by supervisors (See also operational risk).

(Premium) The commission of securities is the difference between the face value of a security and the price actually payable higher market price or in particular a higher issue price. In most cases, the premium is expressed in%. The premium, which is payable on the purchase of most fund is called the initial charge. Contrary discount.

Association of International Bond Dealers, forerunner of ISMA (International Securities Market Association)

Restricted acceptance / allotment of securities

abbr. Asset-Liability management

The multiplier for the operational risk regulatory capital charge calculation under the basic indicator approach (see also basic indicator approach, operational risk)

a type of foreign bondindicates a bond which is issued from a foreign entity in Switzerland denominated in CHF

An approach to risk management combining capital markets, reinsurance and investment banking techniques that allows a party to either free itself from risks not easily transferred via traditional insurance, or cover such risks in a non-traditional way by using the capital markets, for example.

Designed to help prevent double counting of operational risk in emerging market countries. The operational risk capital charge is the same as for the standardised operational risk capital charge, except for two business lines: retail banking and commercial banking. For these business lines, loans and advances multiplied by a fixed factor m replaces gross income as the exposure indicator (see also beta, operational risk, standardised approach operational risk)

see also advanced measurement approach

A negotiable certificate issued by a U.S. bank representing a specified number of shares (or one share) in a foreign stock that is traded on a U.S. exchange. ADRs are denominated in U.S. dollars, with the underlying security held by a U.S. financial institution overseas. ADRs help to reduce administration and duty costs that would otherwise be levied on each transaction.

see interest calculation method actual/actual

see american style option

(American style option) An option that can be exercised at any time between purchase and expiration date.

Method of allocation at interest tenders, where the lowest accepted bids are allocated at the particular bid rates opposite: dutch-style tender

bond which is repaid by instalments,Thus the bond has got an amortizing nominal structure.

An option that can be exercised at any time between purchase and expiration date.

The effective annual rate of return taking into account the effect of compounding interest. The resultant percentage number assumes that funds will remain in the investment vehicle for a full 365 days.

abbr. Annual percentage rate

abbr. Annual percentage yield

widely riskless profiting of differences in price, when the same instrument (security, currency, commodity etc.) is traded at different markets, the remaining risk is called basis risk

Auto-Regressive Conditional Heteroskedasticity a mathematical model to forecast future variances on the basis of past variances; widely used in risk management

Organizational form of the settlement on the Vienna Stock Exchange. All completed transactions are netted and settled on each trading day and met three business days later (T + 3).

see also alternative standardised approach

see Ask rate

Limit on the ask side, the ask price

see ask rate

The price a seller is willing to accept for a security, also known as the offer price. Along with the price, the ask quote will generally also stipulate the amount of the security willing to be sold at that price. Opposite of the bid price.

Purchase price, including commissions and other costs used to calculate the capital gains and losses for tax purposes.

An investment strategy that aims to balance risk and reward by apportioning a portfolio's assets according to an individual's goals, risk tolerance and investment horizon. The three main asset classes - equities, fixed-income, and cash and equivalents - have different levels of risk and return, so each will behave differently over time.

An ABS is an asset backed security fixed interest security, which has payment claims against a special purpose entity (also called Special Purpose Vehicle) as its object. The payment claims are covered (backed) by a pool of receivables (assets) that are transferred to the SPV and are available for the holders of the asset-backed securities (investors) as the basis of liability. Sellers of the receivables in such a transaction are usually banks, thus making their loans tradable.

(Asset Correlation) The correlation of returns on two risky assets.

A risk-management committee in a bank that generally comprises the senior-management levels of the institution. The ALCO's primary goal is to evaluate, monitor and approve practices relating to interest and liquidity risk due to imbalances in the capital structure.

Optimized balancing of the assets, liabilities and off-balance sheet transactions among the objectives of profitability, liquidity and security within the scope of the regulatory framework

the packing of mortgages, loans and other receivables into interest-bearing securities (see also asset-backed security, securitisation)

Interest Rate Swap or currency swap which is related to an asset,by means of an asset swap the type of the interest income is changed from fixed into variable or vice versa

a financial instrument that is collateralised by bundled assets such as mortgages, real estate, credit card payments or other receivables

The practice of matching the term structure and cash flows of the asset and liability portfolios of an organisation to maximise returns and minimise interest rate risk.

Assets include all assets of a company and are compared with the liabilities. Their composition provides information, in which values the company's capital has been invested. A surplus on the asset side of the balance sheet is equivalent to the profit of a company.

A notice received by an option writer stating that the sold option has been exercised by the purchaser of the option. When assigned, the option writer has an obligation to fulfil the requirements of the option contract. If the option was a call (put) option, then the writer would have to sell (buy) the underlying security at the stated strike price.

The Association of Austrian Investment Companies is the umbrella organization of all Austrian investment companies and all Austrian real estate investment companies. The Association represents 100% of the fund's assets managed by Austrian investment companies and Austrian real estate investment companies. Purpose and object of the legally organized association is to promote the domestic investment system as well as the comprehensive care of its members. www.voeig.at

A professional association of bond dealers. The members consist of over 350 various financial conglomerates and institutions that actively trade bonds. The association makes recommendations pertaining to bond dealing rules to the regulators of various European countries.

Call as well as Puts lie at the money if the strike price and the exchange rate of the underlying are equal.

An option is at-the-money if the spot price of the underlying is approximately equal to the strike price.

abbr. Austrian Traded Index

A trading model of the market model of a exchange in which the orders are collected and there is a concentration of liquidity. The price will be determined according to the principle of executing.

The new version of the act regulating banking and credit business, which entered into force on 1 January 1994. The Banking Act is the central legal norm on banks in Austria.

The Austrian Control Bank public limited company is Austria's main financial and information service provider for export economy and capital markets. Owners of the specialist company founded in 1946, are domestic commercial banks. The wide range of services are available to companies, financial institutions and organizations of the Republic of Austria.

The Austrian National Bank is the central bank of the Republic of Austria and as an integral part of the European System of Central Banks (ESCB) or the Eurosystem. It helps to form the economic development in Austria and in the euro area in the public interest. It is a stock company in accordance with the National Bank Act from 1984 and subject to (compared to other corporations) a number of specific arrangements arising from their special status as a central bank. The registered capital of 12 million euros belongs 70% to the state and 30% to the interest groups as well as banks and insurance companies.

The Vienna Stock Exchange is the oldest stock exchanges in the world and was founded in 1771 by Empress Maria Theresa. In 1997, the Securities Market of the Vienna Stock Exchange was merged with the futures exchange of the Austrian Futures and Options Exchange to the new Wiener Börse AG. The Vienna Stock Exchange specializes in Austrian and Central and Eastern European investment types.

(ATX) The ATX is a real-time (Real-time index) calculated price index that covers the blue-chip segment of the Austrian stock market and contains the 20 most liquid shares on the Vienna Stock Exchange and was developed by the Vienna Stock Exchange. The shares are weighted according to their market capitalization therefore values with a high capitalization have a stronger influence on the ATX. The starting point for the calculation of the ATX is the 2nd January in 1991 with 1,000 points.

By resolution of the Annual General Meeting to the Board for a maximum of five years granted authorization without further questioning of the annual general meeting to increase the share capital by issuing new shares to a certain extent.

(ARCH). The ARCH model which was developed in the 80s by Robert F. Engle, originally described the development of the volatility. It is based on the assumption that the variance of the random error models depend of realized random errors of the previous period, so that large and small errors tend to occur in groups. The results are often used for risk measurement. For the development of ARCH models Robert F. Engle was awarded with the Nobel Prize in Economics in 2003

also serial correlationThe correlation between a time series of observations, such as interest rates, and the same values at a fixed time interval later. A time series is autocorrelated if future returns are correlated with past returns.

abbr. Added Value on Equity

Credit exposure arising from market-driven instruments such as interest rate swaps has an ever-changing mark-to-market exposure. This can be projected because it is dynamic and it is possible to estimate an average exposure in each period. Such a projection would be a probability-weighted aggregation across all potential market rate paths.

the average interest rate is calculated as a term-weighted arithmetic average of interest rates of serveral periods, compound interest are not considered