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Поиск в глоссариях:  

Глоссарий по риск-менеджменту

risk pool
    A collection of risks associated with a specific set of contingent obligations and usually financed by a specific agreement among underwriters.
пул рисков;
    A combination of risk adjusted return on capital (raroc) and return on risk adjusted capital (rorac) in which specific risk adjustments are made to the return stream and the capital charge is vari... rarorac;
capital at risk
    A measure of credit risk
the total financial amount that the board, through the executive committee is prepared to place at risk of loss, with a given level of confidence over a specified unit of time, in the course of its business;
monte carlo value at risk
    A methodology for estimating value at risk (var) for complex portfolios.
monte carlo value at risk (монте-карло var);
closed form value at risk
    A methodology for estimating value at risk (var) for simple portfolios.
closed form value at risk (ограниченный var);
worst case
    A relatively unlikely and relatively adverse scenario, but rarely the worst possible outcome.
самый неблагоприятный вариант;
simulation analysis
    A risk measurement technique based on ranges of historical price changes and/or monte carlo methods.
имитационный анализ/исследование методом моделирования;
failed transaction
    A securities transaction that does not settle on the contractual settlement date. usually because of technical or temporary difficulties
невыполненная транзакция;
raroc (risk adjusted return on capital)
    A technique for risk analysis and project evaluation that requires a higher net return for a riskier project than for a less risky project. the risk adjustment is performed by reducing the risky r... raroc (скорректированная риском доходность на капитал);
risk-free rate
    A theoretical interest rate at which an investment may earn interest without incurring any risk.
процентная ставка, свободная от риска;
factor sensitivity
    A type of risk measure that quantifies exposure to a single risk factor
Чувствительность к фактору риска;
non-systematic risk
    An element of price risk that can be largely eliminated by diversification within an asset class.
несистематический риск;
risk factor
  1. Any market variable whose volatility is a source of risk.

  2. A characteristic that increases a person’s likelihood of getting a particular disease  smoking is a risk factor for lung c... фактор риска; factor de riesgo; риска фактор;
transaction risk
  1. Currency exchange rate risk for the period between the date a contract is signed and the date of payment.

  2. Risk of loss resulting from errors in the processing of transactions includ... транзакционный риск;
correlated exposure
    Exposure to a risk factor, taking into account the impact of correlated risk factors
связанная подверженность риску;
uncorrelated exposure
    Exposure to a risk factor. assuming that all other risk factors will remain constant.
несвязанная подверженность риску;
price risk
    Exposure to loss as a result of a change in the market price of a physical commodity or a financial instrument.
ценовой риск;
systematic risk
    Risk associated with the movement of a market or market segment as opposed to distinct elements of risk associated with a specific security;
credit spread risk
    Risk of loss resulting from adverse effects of changes in the spread between securities of differing credit quality (eg corporate and government bonds)
риск кредитного спреда;
commodity risk
    Risk of loss resulting from adverse effects of movements in commodity prices including:
currency risk
    Risk of loss resulting from adverse effects of movements in currency exchange rates including:
риск валютный; валютный риск;
equity risk
    Risk of loss resulting from adverse effects of movements in equity markets including:
operational control risk
    Risk of loss resulting from breakdown in the controls around front, middle and back office activities including:
correlation risk
    Risk of loss resulting from breakdowns in observed correlations between instruments, products, currencies or markets
корреляционный риск;
taxation risk
    Risk of loss resulting from changes in tax laws or unanticipated taxation.
риск налогообложения;
direct credit risk
    Risk of loss resulting from counterparty default on traditional on-balance products, such as loans or issued debt, where the exposure is the full value
прямой кредитный риск;
pre-settlement risk
    Risk of loss resulting from counterparty or customer default prior to the settlement date where the size of loss is dependent on prevailing market rates.
предрасчетный риск;
reputation risk
    Risk of loss resulting from decline in reputation in the market resulting in loss of business.
риск потери репутации;
systems risk
    Risk of loss resulting from errors or failures in systems support including:
disaster risk
    Risk of loss resulting from events adversely affecting business activities, including:
currency convertibility risk
    Risk of loss resulting from inability to convert a currency into another as a result of politica/economical policy
риск ковертируемости валюты;
prudential liquidity risk
    Risk of loss resulting from inability to maintain minimum liquidity ratios
риск осторожной ликвидности;
regulatory risk
    Risk of loss resulting from inability to meet regulatory requirements, including:
shift in credit rating risk
    Risk of loss resulting from inability to raise funds at acceptable ost or access markets
риск падения кредитного рейтинга;
portfolio concentration risk
    Risk of loss resulting from:
specific risk
    Risk which unique to a particular asset or liability see non-systematic risk
спеццифический(специальный) риск;
rorac (return on risk adjusted capital)
    Similar to risk adjusted return on capital (raroc), except that the rate of return is measured without a risk adjustment whereas the capital charge will vary depending upon the risk associated wit... rorac (доходность на скорректированный риском капитал);
risk tolerance
  1. The level of risk that is acceptable for the firm

  2. Склонность к риску - в материальном выражении сумма, которую вы можете себе позволить безболезненно потерять;
уровень риска, приемлемый для компании.; уровень терпимости к риску; допустимый риск; толерантность к риску;
loss limit
    The maximum loss considered acceptable in the simulation of a specific type of risk. usually in a worst-case or stress test analysis
лимит потерь;
custody risk
    The risk of loss of securities held in custody occasioned by the insolvency, negligence or fraudulent action of the custodian or of a sub-custodian
риск кастодиана;
market risk
    The risk of losses in on-and off-balance sheet positions arising from movements in market prices
рыночный риск; риск рыночный; rischio di mercato;
replacement cost risk
    The risk that a counterparty to an outstanding transaction for completion at a future date will fail to perform on the settlement date. this failure may leave the solvent party with an unhedged or...
credit risk
    The risk that a counterparty will not settle an obligation for full value, either when due or at any time thereafter
кредитный риск; риск кредитный; риск неплатежа;
finality risk
    The risk that a provisional transfer of funds or securities will be rescinded
риск нарушения окончательности перевода;
model risk
    The risk that models may be incorrectly or inappropriately applied
риск модели;
systemic risk
    The risk that the inability of one institution to meet its obligations when due will cause other institutions to be unable to meet their obligations when due.
системный риск;
capitalize the risk
    To set capital aside to fund a risk.
капитализировать риск;
пул рисков
    Набор рисков. связанных с определенными обязательствами и обычно финансирумые через особое соглашение между андеррайтерами.
risk pool;
    Комбинация методик raroc и rorac, при которой делаются определенные корректировки риска в отношении потока доходности, а отчисления из капитала отличаются при разных ожиданиях риска по различным в... rarorac;
риск преждевременной оплаты
    Вид риска реинвестирования, когда ссуда выплачивается до наступления запланированного срока, так что инвестор вынужден реинвестировать полученные средства в возможно менее доходный новый инструмен... prepayment risk;