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This glossary contains all terms used therein.


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G

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see Generally Accepted Accounting Principle

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risk factor of options expresses by how many percentage points the delta of an option changes if the price of the underlying increases by one unit e.g.: call EURUSD delta 0.35 (resp. 35%) gamma +7 meaning: if EURUSD increases by 1 USD Ct the delta of the option changes from 35% to 42% gamma is similar to the convexity of bonds long options always have a positive gamma short options always have a negative gamma

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A method of asset-liability management that can be used to assess interest rate risk or liquidity risk excluding credit risk. Gap analysis is a simple IRR measurement method that conveys the difference between rate sensitive assets and rate sensitive liabilities over a given period of time. This type of analysis works well if assets and liabilities are compromised of fixed cash flows. Because of this a significant shortcoming of gap analysis is that it cannot handle options, as options have uncertain cash flows.

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Generalized Auto-Regressive Conditional Heteroskedasticity A mathematical model to forecast future variances on the basis of past variances. GARCH is widely used in riskmanagement.

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ISO currency code for British pound sterling

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abbr. for gross domestic product, measure for the performed work of an economy during a certain period

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collateral (usually bonds) that satisfy the general requirement of a lender of cash in a repo transaction The interest rate of a repo with a general collateral is usually slightly below the rate of unsecured interbank deposits opposite: special collateral

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Method for modeling time series. Among other things, future volatilities are forecasted with that. The results are often used in the assessment of risk.

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The common set of accounting principles, standards and procedures that companies use to compile their financial statements. GAAP are a combination of authoritative standards (set by policy boards) and simply the commonly accepted ways of recording and reporting accounting information. GAAP are imposed on companies so that investors have a minimum level of consistency in the financial statements they use when analyzing companies for investment purposes. That said, keep in mind that GAAP is only a set of standards. There is plenty of room within GAAP for unscrupulous accountants to distort figures.

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another designation for 30/360

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abbr. Good-for-Day

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bonds issued by the UK treasury

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Describes a largely risk-free asset. In some areas it is prescribed by law or bound by contract.

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abbr. Global Investment Performance Pesentation Standards

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see interbank deposit

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Certificate representing a larger number of securities. Global certificates simplify administration and custody.

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A bank certificate issued in more than one country for shares in a foreign company. The shares are held by a foreign branch of an international bank. The shares trade as domestic shares, but are offered for sale globally through the various bank branches. A GDR is very similar to an American Depositary Receipt.

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International standards for the performance presentation in the investment industry to ensure a fair and complete representation of the motivation of portfolio managers.

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abbr. gross national product . Unit of measure for the performance of national economic units during a period.

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In the going concern perspective the continuation of a proper operative business activity (going concern) should be ensured. The bank can individually specify what is meant by proper operative business activity. Typically, a zero result or even using up an unneeded share of open equity capital is considered acceptable for going concern. The minimum regulatory capital requirement has to be regarded as a strict lower limit for the going concern.


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