Risk management acronyms

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A few risk management acronyms are set out below. Fuller explanations are available in the Nematrian website risk management glossary or via the hyperlinks set out below.


CDS        Credit default swap

CRM      Comprehensive risk measure

CTP        Correlation trading portfolio

CVA       Credit valuation adjustment

ES           Expected shortfall

FVA        Funding valuation adjustment

GAAP    Generally Accepted Accounting Principles

IFRS       International Financial Reporting Standards

IRC         Incremental risk charge

MTM     Mark-to-market

OTC        Over-the-counter

P&L        Profit and loss

PFE         Potential future exposure

PVBP     Present value of a basis point

RWA      Risk-weighted assets

SDR        Special drawing rights

SMM     Standardised measurement method

VaR        Value-at-Risk


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