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My.CRT > CRT2013.1 > Flashcards

CRT2013.1 Flashcards

1
Q

CVA

A

Credit Value Adjustment - the momentary amount charged by CRT to trading desks for hedging credit exposure for given counterparty. CVA is a function of expected exposure and the counterparty CDS spread amount and recovery rate.

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2
Q

ATE

A

Additional Termination Event - An agreement which allows Barclays / counterparty to terminate & settle the trade portfolio on specified credit events

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3
Q

CSA

A

Credit Support Annex to the ISDA agreement

Arrangement between Barclays & counterparty where either party may post collateral in order to reduce credit exposure (Bilateral or unilateral)

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4
Q

Exposure Manager (EM)

A

Barclays system to capture CSA agreements & client valuations

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5
Q

IA

A

Independent Amount - the margin required in addition to the mark-to-market exposure

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5
Q

MTA

A

Minimum Transfer Amount - the minimum amount of exposure required before collateral amount is transferred between CSA counter parties. This is to avoid nuisance transfers

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6
Q

Threshold

A

Threshold - the amount of exposure above which CSA counterparties will post collaterals. Can be different levels.

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7
Q

LRD

A

Barclays system containing counterparty legal information

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8
Q

Expected Exposure

A

Average of all future exposure values for a given name on a future time horizon points

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9
Q

MARS

A

Market Risk system that calculates Value At Risk (VaR) using the historical simulation set at a daily granularity with a confidence level of 98%

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10
Q

FMD

A

Functional Model Definition - Scripting language that allows interaction with QA layer

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11
Q

PDS

A

Path Dependent Scenarios - QA layer containing valuation models, simulation layers etc

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12
Q

PDS Metric

A

This measure represents all the PDS Metric values like Bilateral CVA, Unilateral CVA, FVA USD Contingent, Counterparty EE (PV), Portfolio MTM (PV) etc calculated in Seahawk

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13
Q

Delta

A

This measure represents the first order sensitivities of scalar (not profile). Eg. Credit Spread delta, Rate delta, FX delta, Funding delta, Commodity delta, inflation delta etc

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14
Q

Gamma

A

Second order sensitivities of scalar (not profile). Eg, Credit Spread gamma, Rate gamma, FX gamma, Funding gamma, Commodity gamma, inflation gamma etc

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15
Q

Cross Metrics

A

This measure represents the second order Xgamma sensitivities of scalar (not profile) like Credit Spread delta-Rate delta, Funding delta-Rate delta, Rate delta-FX delta etc

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16
Q

Theta

A

This measure represents the time sensitivities of scalar (not profile) PDS metrics

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17
Q

Weighted Market Data

A

This measure represents the weighted market data (weighted by tenor deltas) calculated by Repcube processes for each counterparty used in the computation of P&L explains corresponding to Parallel risks

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18
Q

Metrics P&L

A

This measure represents day on day P&L Explains (first order & second order) of scalar PDS metrics calculated by Repcube processes using all the sensitivities and market data moves from Seahawk

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19
Q

Calibration P&L

A

This measure represents the change in the values of a PDS metric due to weekly calibration of correlation metrics and volsurfaces

20
Q

Rating

A

This measure represents the TTC DG rating & PIT DG ratings of the counterparties

21
Q

5 Rating Agencies

A 
S&P (Standard and Poors)
Fitch
Japan Credit Rating
R&I
Mooody's
22
Q

FC CVA

A

Funding Consistent CVA - equivalent to modified unilateral CVA but using funding spreads rather than CDS spreads

23
Q

Alpha

A

Alpha = 1.4 = Economic Capital from all counterparties exposure (simulated) / Economic capital baed on EPE

24
Q

DG

A

DG (Default Grade) = Barclays internal measure of credit quality (1 - 22 where 22 is in default)

25
Q

EAD

A

EAD (Exposure at Default) = EEPE x Alpha

26
Q

LGD

A

LGD (Loss given Default) = 1 - Recovery Rate

The loss that Barclays will suffer should a counterparty default.

27
Q

Exposure

A

Exposure = highest MTM before trade matured

28
Q

EE

A

EE (Expected Exposure) = Average of all exposure distribution before last maturity in the Netting set

29
Q

EEE

A

EEE (Effective Expected Exposure) = the max EE

30
Q

EPE

A

EPE (Expected Positive Exposure) - weighted average of EE where weight = proportion of individual EE

31
Q

EEPE

A

EEPE (Effective Expected Positive Exposure) - weighted average over time of EEE over 1st year

32
Q

RW

A

RW (Risk Weight) - the weight to a particular asset to calculate default RWA

33
Q

RWA

A

RWA (Risk Weight Asset) - the weight to a particular asset according to its counterparty risk

34
Q

RoRWA

A

RoRWA (Return on RWA) - a measure of the return generated by financial assets with respect to RWA consumption

35
Q

CCR RWA

A

CCR RWA (Credit & Counterparty risk RWA) - the measure of financial assets weighted according to credit and counterparty risk

36
Q

HJM Framework

A

HJM (Heath-Jarrow-Morton) Framework - a framework to model the evolution of Interest Rate curve (instantaneous Forward Rate)

37
Q

6 types of calibrations:

A

(1) Interest Rate
(2) Commodities
(3) Precious Metal
(4) FX
(5) Equity
(6) Inflation

38
Q

Basel III

A

a new global regulatory standard on bank capital adequacy and liquidity. Strengthen bank capital requirements and introduces new regulatory requirements on bank liquidity and bank leverage.

39
Q

Netting

A

Netting - Applied to trades where trade MTM are legally allowed to off-set to create a net MTM for the purpose of calculating credit exposure

40
Q

Extinguisher

A

Extinguisher - an agreement where in the event of defaults, neither BC nor the cparty pay nor receive any o/s amounts owed.

46
Q

Break

A

A clause in a contract that allows to end the contract on specific date. (Mutual, client, Barclays, mandatory).

47
Q

Mandatory Break

A

Mandatory break is a definitive end date to the trade for both sides

47
Q

DVA

A

Debit Valuation Adjustment is defined as the difference between the value of the derivative assuming the bank is default-risk free and the value reflecting default risk of the bank, i.e the gain on Barclays default. Changes in a bank’s own credit risk therefore result in changes in the DVA.

48
Q

UTR

A

Universal Trade Representation - provides a product independent method for exposing the pricing information for a trade

49
Q

Hd RSG Asia Rates Structuring

A

Ashish Golia (Director)

- Arnab Deb
- Dheeraj Sacthatheva
50
Q

What is Morte Carlo simulation.

A

Monte Carlo methods vary, but tend to follow a particular pattern:

  1. Define a domain of possible inputs.
  2. Generate inputs randomly from a probability distribution over the domain.
  3. Perform a deterministic computation on the inputs.
  4. Aggregate the results.
51
Q

What is VAR

A

VaR is defined as a threshold value such that the probability that the mark-to-market loss on the portfolio over the given time horizon exceeds this value (assuming normal markets and no trading in the portfolio) is the given probability level.

For example, if a portfolio of stocks has a one-day 5% VaR of $1 million, there is a 0.05 probability that the portfolio will fall in value by more than $1 million over a one day period if there is no trading.

52
Q

DVA

A

Debit Valuation Adjustment is defined as the difference between the value of the derivative assuming the bank is default-risk free and the value reflecting default risk of the bank, i.e the gain on Barclays default. Changes in a bank’s own credit risk therefore result in changes in the DVA.

My.CRT (10 decks)

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