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