Cyber*School

see Generally Accepted Accounting Principle

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

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.

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

ISO currency code for British pound sterling

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

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

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

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.

another designation for 30/360

abbr. Good-for-Day

bonds issued by the UK treasury

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

abbr. Global Investment Performance Pesentation Standards

see interbank deposit

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

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.

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

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

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.

another designation for open market rate

corresponds to the liquidation of the company / bank

(GFD) Validity constraint for an order, which is only valid for the current trading day

(GTC) Provides a temporal validity constraint. The order remains valid until it is canceled by the customer or automatically deleted from the system (the maximum period of validity is one year).

(GTD) Provides a temporal validity constraint. The order is valid up to a predefined date. (max. 90 days from the date of entry).

(GTE) Temporary validity determination for unrestricted limit orders: Valid to maturity.

Goodwill is an intangible asset of fixed assets. It is calculated as the difference between the value of the company and the value of the capitalizable individual goods. The goodwill mainly expresses factors such as reputation of the company, organization, customers, etc.

Term for bonds issued by the federal government, such as Government bonds, federal obligations and treasury bills.

The granularity of a bank portfolio describes the extent to which there remain significant single borrower concentrations.

According to the Basel Committee, a firm's supervisor must be satisfied that the regulatory retail portfolio is diversified to a sufficient degree to reduce the risks in the portfolio warranting the 75% risk weight.

Term for the highest increase in percentage value that is accounted by a fund within a certain period of time. The calculation is based on a period of 3 years.

Term for the highest loss in percentage value that is accounted by a fund within a certain period of time. The calculation is based on a period of 3 years.

(Greenshoe) In the case of over-subscription of the issue there is the possibility that the issuer grants an additional allotment of shares to the subscribers of the emission.

engl. gross amount loans

the net interest income plus net non-interest income of a bank (as defined by national supervisors and/or national accounting standards)

turnover minus costs of manufacture

v. grossing up clause

the obligation of an issuer to offset the withholding tax, if such a tax is introduced during the term of the bondgrossing-up clauses are frequently used in eurobonds

(growth funds) A mutual fund whose primary focus is on a steady increase in the intrinsic value of the investment funds. There is less attention to current income than to a price increase of the applied fund's securities (income funds).

abbr. Good-till-Cancelled

abbr. Good-till-Date

abbr. Good-till-expiration

Funds that guarantee the return of a predetermined (at issue) amount at a specified time. Guaranty funds are usually fixed-term funds. The advantage of the guarantee fund is that besides benefiting from additional income the risk of loss is limited (by the guaranteed return), their disadvantage is that the participation from the income is usually limited because of the guarantee.

see covered bond

a third party that accepts a contractual or statutory commitment for repayment of another entity's obligation