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Regulatory Multiplier

In the context of regulatory capital for counterparty credit risk (CCR), under the internal model method, regulatory multiplier (alpha) is...

Alpha

In the context of regulatory capital for counterparty credit risk (CCR), under the internal model method, alpha is a multiplier...

Portable Alpha

A strategy of allocating funds within a portfolio using derivatives to neutralize the market risk inherent in this portfolio. It...

Alpha

A measure of excess return which is typically defined as the net risk-adjusted premium derived from an investment position or...

Jensen’s Measure

A return measure that differentiates between returns generated through active management and those which simply result from high betas during...

Jensen’s Alpha

A return measure that differentiates between returns generated through active management and those which simply result from high betas during...

False Alpha

An independent return factor that comes about from sources other than the usual beta returns (which per se result from...

Pure Alpha Fund

A hedge fund that aims to generate a stable return regardless of market performance. In other words, it is designed...

Modified Alpha

A risk measure for options which is computed by relating an option's modified theta to its gamma: Modified alpha =...

Portable Alpha

A method of transporting the active return (alpha) among asset classes by separating and transporting uncorrelated incremental returns from one...