Page 155 - PRIAA Glossary

SPREAD (CREDIT)
The price (or spread) which reflects the creditworthiness of an underlying asset. Credit spread indicates the additional yield an investor can earn from a security with higher credit risk compared to a security with lower credit risk.
SPREAD DURATION
An estimate of price sensitivity of a specific credit security to a 100 basis-point movement (in either direction) in its spread relative to treasuries.
STANDARD DEVIATION
A statistical measure typically used to give an estimate of the uncertainty of future returns. The larger this value, the larger the risk or uncertainty associated with a security or portfolio of securities.
σ=
The mathematical form for the standard deviation is given by the equation below, where x is the value of a variable, x-bar is the mean value of the variables in the sample, and n is the number of variables in the sample:
∑(x – x)2 n –1
STANDARD INDUSTRY MARGIN MODEL (SIMM)
A model for calculation of initial margin that is based on a single, risk-sensitive metric. Such a model is developed by ISDA for various instruments and asset classes in order to provide a standardised risk measure in non-centrally cleared over-the-counter (OTC) derivative markets.
STANDARD NORMAL DISTRIBUTION
A normal distribution with a mean of 0 and a standard deviation of 1. See “normal distribution” for further information.
The mathematical form for a standard normal distribution is given by the equation below, w1here f(x) is the functional for the standard normal distribution for _vaxriable x.
f(x) = √2π e 22
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