Market riskMarket risk is the risk of losses in positions arising from movements in market variables like prices and volatility. There is no unique classification as each classification may refer to different aspects of market risk. Nevertheless, the most commonly used types of market risk are: Equity risk, the risk that stock or stock indices (e.g. Euro Stoxx 50, etc.) prices or their implied volatility will change. Interest rate risk, the risk that interest rates (e.g. Libor, Euribor, etc.) or their implied volatility will change.
Coherent sheaf cohomologyIn mathematics, especially in algebraic geometry and the theory of complex manifolds, coherent sheaf cohomology is a technique for producing functions with specified properties. Many geometric questions can be formulated as questions about the existence of sections of line bundles or of more general coherent sheaves; such sections can be viewed as generalized functions. Cohomology provides computable tools for producing sections, or explaining why they do not exist. It also provides invariants to distinguish one algebraic variety from another.
Ambiguity aversionIn decision theory and economics, ambiguity aversion (also known as uncertainty aversion) is a preference for known risks over unknown risks. An ambiguity-averse individual would rather choose an alternative where the probability distribution of the outcomes is known over one where the probabilities are unknown. This behavior was first introduced through the Ellsberg paradox (people prefer to bet on the outcome of an urn with 50 red and 50 black balls rather than to bet on one with 100 total balls but for which the number of black or red balls is unknown).
Flat moduleIn algebra, flat modules include free modules, projective modules, and, over a principal ideal domain, torsion free modules. Formally, a module M over a ring R is flat if taking the tensor product over R with M preserves exact sequences. A module is faithfully flat if taking the tensor product with a sequence produces an exact sequence if and only if the original sequence is exact. Flatness was introduced by in his paper Géometrie Algébrique et Géométrie Analytique.
Convex setIn geometry, a subset of a Euclidean space, or more generally an affine space over the reals, is convex if, given any two points in the subset, the subset contains the whole line segment that joins them. Equivalently, a convex set or a convex region is a subset that intersects every line into a single line segment (possibly empty). For example, a solid cube is a convex set, but anything that is hollow or has an indent, for example, a crescent shape, is not convex. The boundary of a convex set is always a convex curve.
D-moduleIn mathematics, a D-module is a module over a ring D of differential operators. The major interest of such D-modules is as an approach to the theory of linear partial differential equations. Since around 1970, D-module theory has been built up, mainly as a response to the ideas of Mikio Sato on algebraic analysis, and expanding on the work of Sato and Joseph Bernstein on the Bernstein–Sato polynomial. Early major results were the Kashiwara constructibility theorem and Kashiwara index theorem of Masaki Kashiwara.
Torsionless moduleIn abstract algebra, a module M over a ring R is called torsionless if it can be embedded into some direct product RI. Equivalently, M is torsionless if each non-zero element of M has non-zero image under some R-linear functional f: This notion was introduced by Hyman Bass. A module is torsionless if and only if the canonical map into its double dual, is injective. If this map is bijective then the module is called reflexive. For this reason, torsionless modules are also known as semi-reflexive.
Coherent ringIn mathematics, a (left) coherent ring is a ring in which every finitely generated left ideal is finitely presented. Many theorems about finitely generated modules over Noetherian rings can be extended to finitely presented modules over coherent rings. Every left Noetherian ring is left coherent. The ring of polynomials in an infinite number of variables over a left Noetherian ring is an example of a left coherent ring that is not left Noetherian. A ring is left coherent if and only if every direct product of flat right modules is flat , .
Risk assessmentRisk assessment determines possible mishaps, their likelihood and consequences, and the tolerances for such events. The results of this process may be expressed in a quantitative or qualitative fashion. Risk assessment is an inherent part of a broader risk management strategy to help reduce any potential risk-related consequences. More precisely, risk assessment identifies and analyses potential (future) events that may negatively impact individuals, assets, and/or the environment (i.e. hazard analysis).
Fundamental Review of the Trading BookThe Fundamental Review of the Trading Book (FRTB), is a set of proposals by the Basel Committee on Banking Supervision for a new market risk-related capital requirement for banks. The reform, which is part of Basel III, is one of the initiatives taken to strengthen the financial system, noting that the previous proposals (Basel II) did not prevent the financial crisis of 2007–2008. It was first published as a Consultative Document in October 2013.
Hyperbolic absolute risk aversionIn finance, economics, and decision theory, hyperbolic absolute risk aversion (HARA) refers to a type of risk aversion that is particularly convenient to model mathematically and to obtain empirical predictions from. It refers specifically to a property of von Neumann–Morgenstern utility functions, which are typically functions of final wealth (or some related variable), and which describe a decision-maker's degree of satisfaction with the outcome for wealth. The final outcome for wealth is affected both by random variables and by decisions.
Isoelastic utilityIn economics, the isoelastic function for utility, also known as the isoelastic utility function, or power utility function, is used to express utility in terms of consumption or some other economic variable that a decision-maker is concerned with. The isoelastic utility function is a special case of hyperbolic absolute risk aversion and at the same time is the only class of utility functions with constant relative risk aversion, which is why it is also called the CRRA utility function.
