Page 11 - 風險管理小辭典

違約損失率 (Loss Given Default ， LGD)......................140
(T
二維評等系統 wo-Dimension Rating System)............141
折現率 (Discount Rate)................................................142
違約暴險額 (Exposure at Default ， EAD).....................144
信用風險轉換係數 (Credit Conversion Factor ， CCF)..146
預期損失 (Expected Loss ， EL)....................................147
非預期損失 (Unexpected Loss ， UL)............................148
信用風險沖抵 (Credit Risk Mitigation ， CRM).............149
合格擔保品 (Eligible Co llaterals).................................150

信用衍生性商品 (Credit Deri vatives)...........................151
信用違約交換契約 (Credit Default Swap)....................152
(T
總收益交換契約 otal Return Swap ， TRS)................155
信用連動債券 (Credit-Link Notes)...............................158
雙重違約 (Double Default)..........................................160
違約相關性、聯合違約 (Default Correlation 、 Joint
Default)........................................................................162
交叉違約 (Cross Default).............................................164
風險加權資產 (Risk Weighted Asset ， A) W
R................166
表外項目 (Off-Balance S heet Items).............................167
債權抵押證券 (Pay-Through Securities).......................169
轉付證券 (Pass-Through Securitie s).............................171
求償順位 (Seniority)....................................................172
專案融資 (Project Finance ， PF)..................................173
Z-Score 模型 (Z-Score Model)......................................174
類神經網路模型 (Neural Network Model)....................176