18.4 TABLEAU DES SIGLES
Sigle |
Signification |
ABS |
Asset-Backed Securities |
ACPR |
Autorité de contrôle prudentiel et de résolution |
ALM |
Asset and Liability Management (Gestion Actif-Passif) |
BCE |
Banque Centrale Européenne |
CCF |
Credit Conversion Factor |
CDS |
Credit Default Swap |
CDO |
Collaterallised Debt Obligation |
CLO |
Collateralised Loan Obligation |
CMBS |
Commercial Mortgage-Backed Securities |
CRD |
Capital Requirement Directive (directive européenne) |
CRM (risque de crédit) |
Credit Risk Mitigation |
CRM (risque de marché) |
Comprehensive Risk Measure |
CRR |
Capital Requirement Regulation (règlement européen) |
CVaR |
Credit Value at Risk |
EAD |
Exposure At Default (valeur exposée au risque) |
EL |
Expected Loss (perte attendue) |
IMM |
Internal Model Method |
IRBA |
Internal Ratings-Based approach – Advanced (approche avancée) |
IRBF |
Internal Ratings-Based approach – Foundation |
IRC |
Incremental Risk Charge |
G-SIB |
Global Systemically Important Bank |
LCR |
Liquidity Coverage Ratio |
LGD |
Loss Given Default |
MREL |
Minimum Requirement for own funds and Eligible Liabilities |
NSFR |
Net Stable Funding Ratio |
PD |
Probability of Default |
RMBS |
Residential Mortgage-Backed Securities |
RW |
Risk Weight (taux de pondération) |
RWA |
Risk-Weighted Assets |
SREP |
Supervisory Review and Evaluation Process |
SVaR |
Stressed Value at Risk |
TLAC |
Total Loss Absorbing Capacity |
VaR |
Value at Risk |