barbicanconsulting.co.uk

Website:http://barbicanconsulting.co.uk
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Definitions (129)

1.

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Zero coupon bond


A bond that pays no interest over its life. Long dated zero coupon bonds therefore trade at prices well below their eventual redemption price of par.
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Yield curve/term structure


If interest rates are plotted on a graph, with time on the x-axis and the rate on the y-axis the resultant curve is called the yield curve or term structure. The data used to construct the yield curve must be for the same currency and it should be representative of liquid financial instruments that [..]
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Volatility


There are two types of volatility: 1. Historic volatility, this is the annualized standard deviation of a product's price. The more it goes up and down in price the higher is this measure of volatility. It is therefore a measure of price risk. 2. Implied volatility. Because volatility is a meas [..]
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VIX


The VIX is an index of short term volatility for the S&P 500 index. The index was created by the Chicago Board Options Exchange (CBOE). The index is often seen as a barometer of fear in the stock market. The higher the index the higher is uncertainly. There are futures and options contract linke [..]
Source: barbicanconsulting.co.uk

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Value-at-risk


VAR is a risk management technique that tells you how much money you can lose from your trading positions, for a given holding period and confidence interval. It uses statistics and works on probability. Therefore it does not show a guaranteed maximum loss figure, only an estimate. VAR is widely use [..]
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Treasury bill


A short term debt instrument, (maximum maturity 12 months), issued by a government. Treasury bills offer investors very liquid, high quality investment opportunities. They are much sought after in times of financial crises.
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Trading book


When financial instruments are bought and sold on a regular basis this normally constitutes trading. The portfolio where these trading positions are held is called the trading book. It is accounted for on a mark-to-market basis. Also see banking book.
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Trading


Trading is the processes of buying and selling financial instruments on a frequent basis (see mark-to-market).
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Synthetic collateralised debt obligation


A type of collaterised debt obligation that uses credit default swaps as the assets in the special purpose vehicle.
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Synthetic


This term is used in financial markets to describe the construction of a financial instrument or product using derivatives. For example a synthetic floating rate note is a fixed rate bond that has been converted to a floating rate bond using an interest rate swap. A synthetic CDO uses credit derivat [..]
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