Société Générale / Risk Report - Pillar III

16 APPENDIX GLOSSARY

GLOSSARY 16.4

ABBREVIATIONS TABLE

Abbreviation

Definition

Glossary

ABS CCF CDS CDO CLO

Asset-Backed Securities Credit Conversion Factor

Securitisation

CCF

Credit Default Swap

Securitisation Securitisation Securitisation Securitisation

Collaterallised Debt Obligation Collateralised Loan Obligation

CMBS

Commercial Mortgage-Backed Securities

CRD

Capital Requirement Directive

CRR/CRD4

CRM (credit risk) CRM (market risk)

Credit Risk Mitigation

Credit Risk Mitigation Comprehensive Risk Measurement

Comprehensive Risk Measure

CRR

Capital Requirement Regulation

CRR/CRD4

CVaR

Credit Value at Risk Exposure At Default

Credit Value at Risk (CVaR) Exposure At Default (EAD)

EAD

EL

Expected Loss

Expected Loss (EL)

IMM

Internal Model Method

IMM

AIRB FIRB

Internal ratings-based approach - Advanced Internal ratings-based approach - Foundation

AIRB FIRB

IRC

Incremental Risk Charge

IRC SIFI

G-SIB

Global Systemically Important Banks (see SIFI)

LCR LGD

Liquidity Coverage Ratio

Liquidity Coverage Ratio (LCR)

Loss Given Default

Loss Given Default (LGD)

NSFR

Net Stable Funding Ratio

Net Stable Funding Ratio (NSFR)

PD

Probability of Default

Probability of Default (PD)

RMBS

Residential Mortgage-Backed Securities

Securitisation

RW

Risk Weight

RWA - Risk-Weighted Assets RWA - Risk-Weighted Assets Stressed Value at Risk (SVaR)

RWA SVaR

Risk-Weighted Assets Stressed Value at Risk

VaR

Value at Risk

Value at Risk (VaR)

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