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Name Concentration
...d in context: For example in relation to total assets, to available [[Risk Capital]] etc. ...he long standing recognition of this risk, a consistent interpretation and measurement is still lacking, although there are a number of tools available

2 KB (289 words) - 10:51, 23 June 2019
AMA Models
...nder the Basel<ref>Basel II Accord, 2006</ref> regulatory standard for the measurement and capitalisation of [[Operational Risk]] ...owed (subject to approval) to develop own risk models to quantify required capital for operational risk.

2 KB (238 words) - 14:34, 19 November 2019
Backtesting
...testing” in conjunction with the internal models approach to market risk capital requirements ...ef>BCBS Working Paper No. 19 Messages from the academic literature on risk measurement for the trading book</ref>

3 KB (371 words) - 23:40, 9 March 2021
Basel II Advanced IRB Capital Model
...a set of credit risk measurement techniques proposed under [[Basel II]] [[capital adequacy]] rules for banking institutions. ...anks are allowed to develop their own empirical model to quantify required capital for credit risk. Banks can use this approach only subject to approval from

7 KB (1,023 words) - 12:30, 26 March 2021
Sector Concentration
...For example in relation to total assets, to available [[Risk Capital|risk capital]] etc. ...he long standing recognition of this risk, a consistent interpretation and measurement is still lacking, although there are a number of tools available

2 KB (300 words) - 15:05, 27 October 2019
Diversification versus Diversity
...h investments, insurance and loans to companies and households<ref>Natural Capital Coalition, 2018</ref><ref>Mulder & Koellner, 2011</ref>, <ref>The Sustainab Measuring diversification means essentially the measurement of the ''rate of change of diversity''. It can use the same tools as measur

3 KB (384 words) - 16:51, 5 December 2023
ICAAP
'''ICAAP''' is an abbreviation of ''Internal Capital Adequacy Assessment Process'', a set of activities and processes that must ...tain, on an ongoing basis, the amounts, types and distribution of internal capital commensurate to their risk profiles, as well as robust governance and inter

3 KB (369 words) - 12:39, 25 September 2020
Portfolio Management
* Data Infrastructure and Analytics / Measurement Tools === Data Infrastructure and Analytics / Measurement Tools ===

3 KB (437 words) - 13:56, 29 May 2022
ASRF model
...s a simplified [[Credit Portfolio]] risk model that underpins the Basel II capital requirements ...bcbs118.htm Basel II: International Convergence of Capital Measurement and Capital Standards: a Revised Framework (BCBS) (November 2005 Revision)], Paragraph

5 KB (696 words) - 12:30, 26 March 2021
Key Risk Indicator
'''Key Risk Indicator''' (KRI) denotes a measurement of the degree of risk inherent in specific business activity, process or sy ...al institutions, KRI's are one of the possible inputs in the assessment of capital adequacy under Basel regulations ([[Business Environment and Internal Contr

2 KB (268 words) - 11:28, 23 July 2018
Credit Portfolio Management
...te, portfolio, setting.<ref>BIS, Range of practices and issues in economic capital frameworks, March 2009</ref> * Support the [[Capital Management | management of capital]] and financial returns

7 KB (943 words) - 14:41, 15 November 2021
Effective Maturity
...Regulation<ref>BCBS: International Convergence of Capital Measurement and Capital Standards</ref>

1 KB (191 words) - 13:00, 22 May 2017
Limit framework
...d legal entities as relevant and generally expressed relative to earnings, capital, liquidity or other relevant measures (e.g. growth, volatility); ...sk Committee | risk committees]] and taken into account in the performance measurement of the respective business lines.

6 KB (837 words) - 13:38, 5 February 2020
Expected Loss
...I standards<ref>BCBS, International Convergence of Capital Measurement and Capital Standards, 2006</ref>

3 KB (509 words) - 10:19, 14 May 2021
Product Concentration
...For example in relation to total assets, to available [[Risk Capital|risk capital]] etc. Product concentration depends on various characteristics of the port ...omer in the concentration risk vocabulary. A consistent interpretation and measurement is still lacking, although there are a number of tools available

2 KB (230 words) - 12:01, 3 June 2017
IFRS 9 Modeling Resources
|Measurement of Credit Losses on Financial Instruments |Credit Enhancement in the Measurement of Expected Credit Losses

24 KB (3,113 words) - 16:52, 1 September 2020
Significant Increase in Credit Risk
...IFRS 9, a Significant Increase event (denoted SICR in short) triggers the measurement of [[Loss Allowance]] at an amount equal to [[Lifetime Expected Credit Loss ...(or parents) have an incentive and financial ability to prevent default by capital or cash infusion.

7 KB (1,085 words) - 11:20, 22 December 2020
IFRS 9
* Embedding forward looking risk assessments in the measurement (assessment) of the firm's financial condition ...ls, banks solely using the standardised approach (SA) to determining their capital requirements may need to develop models from scratch

8 KB (1,123 words) - 13:25, 25 October 2019
FVOCI
== Measurement == The FVOCI measurement category recognises information in [[Profit and Loss]] as if the financial

5 KB (687 words) - 09:56, 9 June 2020
Correlation Risk
...tion of the value of an instrument with multiple underlyings. <ref>Minimum capital requirements for market risk, BCBS D352</ref> ...Correlation Risk is a component of [[Model Risk]] for all efforts of risk measurement that concern composite risks (e.g. in portfolio management context)

702 bytes (95 words) - 11:45, 3 June 2017