• CDS: credit default swap. See wiki.* FX: Foreign Exchange
  • CVA: Credit Valuation Adjustment. See, for example, this page.
  • EPE: Expected Positive Exposure. See wiki.
  • ES: Expected Shortfall
  • FRTB: Fundamental Review of Trading Book
  • IM: initial margin
  • IMA: Internal Model Approach for market risk capitalisation
  • IMM: Internal Model Methods fro counterparty credit risk capitalisation
  • IRC: Incremental risk charge. See, for example, this page.
  • ISDA: International Swaps and Derivatives Association
  • IR: Interest Rate
  • PFE: Potential Future Exposure. See wiki.
  • RFR: Risk Free Rate. See, for example, Bank of England.
  • RNIV: Risk-not-in-VaR. See this document.
  • RWA: Risk Weighted Asset. See wiki.
  • SES: Stressed Expected Shortfall under FRTB.
  • SIMM: Standard Initial Margin Model by ISDA
  • VaR: Value-at-Risk. See wiki.
  • VM: variation margin