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Backtesting VaR
Backtesting attempts to verify whether actual losses are reasonably consistent with projected losses.It compares valu...
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Option Adjusted Spread
The option-adjusted spread is spread that makes sure that the model value (calculated by the PV of projected cash flo...
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What is Sovereign Risk?
Sovereign Risk is the risk that the country will default on its financial obligations.
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Conditional Prepayment Rate
The CPR is the annual rate at which a mortgage pool balance is assumed to be prepaid during the life of the pool.
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Counter Cyclical Buffer
Basel III recommends that banks have a capital buffer to protect against the cyclicality of bank earnings, called the...
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Vasicek Model for Probability of Default Modelling
Vasicek Rate Model refers to a mathematical method of modeling the movement and evolution of interest rates.
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Unexpected Loss
Unexpected loss refers to the amount that a company could lose in addition to its average (anticipated) loss possibil...
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Basel Accord
The Basel Accord is a set of agreements on banking regulations concerning capital risk, market risk, and operational ...
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Sample Covariance
The sample covariance estimator uses the sample data for the expectation operator.The sample correlation is generated...
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What is Seasonality?
Seasonality in a time series is a pattern that tends to repeat from year to year. Seasonality is mostly linked with s...