Abbreviations

Jorge A Chan-Lau

ABM – Agent-based model
AIG – American International Group
ASW – Asset swap
BIS – Bank for International Settlements
BVAR – Bayesian vector autoregression
CAP – Cumulative accuracy profile
CAPM – Capital asset pricing model
CAR – Capital adequacy ratio
CBOE – Chicago Board Options Exchange
CCAR – Comprehensive Capital Analysis Review
CCB – Countercyclical capital buffer
CCP – Central counterparty
CCR – Counterparty capital requirement
CDO – Collateralised debt obligation
CDS – Credit default swap
CDSF – Central de Deudores del Sistema Financiero
CFM – Capital flow management measures
CFTC – Commodities and Futures Trading Commission
CLNDY – Corrected Lanne-Nyberg Diebold-Yilmaz
CRE – Commercial real estate
CRISIS – Complexity Research Initiative for Systemic Instabilities
CVA – Credit valuation adjustment
D-SII – Domestic systemically important institution
DCC – Dynamic conditional correlation
DIP – Distressed insurance premium
DP – Dynamic provision
DSTI – Debt-service-to-income
DTI – Debt-to-income
DY – Diebold-Yilmaz
EBIT – Earnings before income and taxes
ECB – European Central Bank
EDF – Expected default frequency
ELA – Emergency liquidity assistance
ES – Expected shortfall
ES