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From Open Risk Manual
  • The HHI index has been independently discovered and used in various fields with other names a {{#set:Has Formula = True | Has SourceCode = True | Has Object = False | Has Lambda = False | Field Type= Documentation}}
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  • == Alternative Formula == '''NB: Sometimes the formula appears also with the opposite sign!'''
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  • == Formula == * CVaR has been developed largely as a mirror of the [[Value at Risk]] measure for por
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  • ...f expected loss has general applicability but it is adopted concretely and has very specific definition and meaning in == Formula ==
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  • {{#set:Has Formula = True | Has SourceCode = True | Has Object = False | Has Lambda = False | Field Type= Documentation}}
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  • ...e increases to the [[Lifetime Expected Credit Losses]] if such an increase has occurred at the reporting date. ...lowances'' denotes the stock of lending exposure loan loss provisions that has been recognised in the [[Balance Sheet]] of the credit institution, in acco
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  • '''Loss Given Impairment''' (LGI) is an estimated measure of credit loss that has been used in the context of the [[Asset Quality Review]]<ref>ECB, Asset Qua == Formula ==
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  • == Formula == An obligor has to be included in the denominator and, where relevant, numerator, also in t
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  • ! Term !! Formula !! Definition / Notes ! Term !! Formula !! Definition / Notes
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  • == Formula == {{#set:Has Formula = True | Has SourceCode = True | Has Object = False | Has Lambda = False | Field Type= Documentation}}
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  • === Formula === ...d that no costs for the sale are to be expected. Ideally, the bank already has a binding offer from a third party to acquire the collateral):
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  • {{#set:Has Formula = True | Has SourceCode = True | Has Object = False | Has Lambda = False | Field Type= Documentation}}
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  • {{#set:Has Formula = True | Has SourceCode = True | Has Object = False | Has Lambda = False | Field Type= Documentation}}
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  • ...red when the underlying [[Characteristic]], feature, property or attribute has a continuous [[State Space]] which can be converted to a meaningful discret == Formula ==
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  • ...rs</ref> with the following recommendations (The reasons why the Directive has been only partially effective stem both from the Directive itself (for inst ...alculation of the Annual Percentage Rate of Charge by providing a coherent formula for its calculation across all Member States. The Directive thus provides f
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  • * Provide evidence that the assumptions underlying the specification of the formula being used for the LGD estimation hold true to a sufficient extent in pract ...tion portfolio. In many circumstances (for example where a type of product has been discontinued by the institution), the addition of these characteristic
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  • {{#set:Has Formula = False | Has Object = False | Has Lambda = False | Field Type= Legal Text}}
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  • Whether the participation is freely negotiable, or has limited negotiability {{#set:Has Formula = False | Has Object = False | Has Lambda = False | Field Type= Legal Text}}
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  • * if the structure has a [[Revolving Period]] the [[Seller]] may not be able to originate sufficie {{#set:Has Formula = False | Has Object = False | Has Lambda = False | Field Type= Legal Text}}
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  • ...eceivable in a securitisation context is a [[Transferred Receivable]] that has not experienced any pre-defined [[Credit Event]] and thus is not a [[Delinq {{#set:Has Formula = False | Has Object = False | Has Lambda = False | Field Type= Legal Text}}
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  • ...eceivable in a securitisation context is a [[Transferred Receivable]] that has experienced any of pre-defined [[Credit Event]] types. The classification of a receivable as defaulted has implications as to
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  • ...eceivable in a securitisation context is a [[Transferred Receivable]] that has experienced any of pre-defined [[Credit Event]] types indicative of [[Delin The classification of a receivable as delinquent has implications as to
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  • ...tes value of the portfolio once each individual [[Transferred Receivable]] has been been discounted with the stipulated [[Discount Rate]] {{#set:Has Formula = False | Has Object = False | Has Lambda = False | Field Type= Legal Text}}
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  • ...(sampled) distribution of a continuous [[Random Variable]] after its range has been suitably decomposed into a numbef of bins. The bins are typically con == Formula ==
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  • '''Variable Coupon Bond'''. Bond that has a floating or variable interest rate, or coupon rate The rate adjusts according to a predetermined formula outlined in the bond's prospectus or official statement.
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  • ...are input to that derived price. Notes from SMER 25 Nov If the instrument has not been trading, then there would normally need to be prices for valuing t
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  • ...t, but not the obligation, to buy the assets specified at a fixed price or formula, on or before a specified date. The seller of the call option assumes the o ...sus from here, and the Simple Fact, befpre de;eting. the formerly OTC term has the required relationship facts.
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  • '''Yield Calculation Formula'''. The formula used in determining the Yield. ...defined either in tectual terms or by further local extension of the term "Formula Expression" to define the parameters used.
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  • ...o Carlo method simulation. relationship facts to add: Relation to method / formula (e.g. Monte Carlo), and the method used to determine the actual figure for
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  • ...typically has to make a lump sum payment to the investor(s) derived from a formula based on the [[Net Present Value]] (NPV) of future coupon payments that wil
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  • ...er typically has to make a lump sum payment to the investor derived from a formula based on the [[Net Present Value]] (NPV) of future interest or coupon payme
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  • == Formula == {{#set:Has Formula = HAS_FORMULA}}
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  • == Formula == ...maximum likelihood estimation (MLE) procedure. In order to use an MLE, one has to assume the type of underlying distribution in order for the appropriate
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  • ...oncerns the special case when the [[State Space]] of the stochastic system has only two states (Alive / Dead) and one of them is an [[Absorbing Default St The variance of the Kaplan-Meier estimator is given by Greenwood's formula:
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  • ...January 2004 press release from the Basel Committee, this technical paper has been issued.</p> ...the Committee will make available simpler alternatives to the Supervisory Formula (SF) presented in CP3 for the treatment of unrated positions, which some re
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  • <p class="Paragraph">The Basel Committee on Banking Supervision has today issued a second consultative paper on revisions to the Basel securiti <p class="Paragraph">In developing these proposals, the Committee has carefully taken into account the comments received on the first consultativ
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  • <h3>Note This standard has been integrated into the consolidated ...upon prudential approaches already available in the capital framework. It has been calibrated to reflect the level of volatilities observed over the rece
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  • ...g to collateral upgrade transactions and correct for a misstatement of the formula used to calculate haircut floors for netting sets of STFs.</p>
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  • == Formula == {{#set:Has Formula = HAS_FORMULA}}
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  • * [[XBRL Formula]]. The Formula Specification 1.0 supports the creation of expressions (using XPath) that c NB: XBRL International has issued and reissued a stability pledge in relation to the core XBRL 2.1 spe
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  • * checking that an appropriate currency has been used for monetary facts Business validation rules may be included in a taxonomy as XBRL formula rules, enabling XBRL software to automatically check the quality of an XBRL
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  • == Formula == {{#set:Has Formula = HAS_FORMULA}}
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  • == Formula == ...tors produce capital goods. Therefore it can not be expected that matrix B has an inverse. There is a large literature on the singularity problem in the d
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  • The Social Accounting Matrix (SAM) has become used increasingly in the last years as a general equilibrium data sy == Formula ==
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  • ...standard IO matrix to a larger system where each industry in each country has a separate row and column.<ref>R.E. Miller and P.D. Blair, Input-Output Ana {{#set:Has Formula = HAS_FORMULA}}
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