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• Default Rate
  '''Default Rate''' (also ''Default Frequency'') in the context of [[Credit Risk]] management is an empirically measured [[Credit Event]] realization rate. * A credit event is also always associated with an exposure at risk (although the definition of that may vary). Volume based approaches focus o
  11 KB (1,612 words) - 14:40, 6 September 2020
• Risk Measure
  ...[[Risk Metric]] derived from a [[Risk Distribution]] (a representation of risk in terms of a [[Random Variable]]). ...ny mapping <math>\rho : V \rightarrow R \cup \{\infty\}</math> is called a risk measure.
  3 KB (521 words) - 13:52, 16 April 2021
• Credit Pricing
  ...d credit risk. This approach is usually termed [[Risk Based Pricing]] (non-risk based pricing policies have also been used historically) ...that may involve other costs and risk elements (funding costs, pre-payment risk, other operational costs). A profit margin (or discount) will connect the e
  6 KB (812 words) - 14:41, 1 September 2020
• BCBS 134
  ...Supervision]] on October 2007 in the [[:Category:BCBS Market Risk | Market Risk]] category. ''Guidelines for Computing Capital for Incremental Default Risk in the Trading Book''.
  4 KB (627 words) - 11:43, 26 March 2021
• BCBS 140
  ...ng Supervision]] on July 2008 in the [[:Category:BCBS Market Risk | Market Risk]] category. ''Proposed revisions to the Basel II market risk framework''.
  5 KB (717 words) - 11:43, 26 March 2021
• BCBS 141
  ''Guidelines for Computing Capital for Incremental Risk in the Trading Book''. ...of global financial institutions commented that singling out just default risk was inconsistent with their internal practices and could be potentially bur
  5 KB (720 words) - 11:43, 26 March 2021
• BCBS 148
  ...Supervision]] on January 2009 in the [[:Category:BCBS Market Risk | Market Risk]] category. ''Revisions to the Basel II market risk framework''.
  3 KB (471 words) - 11:43, 26 March 2021
• BCBS 149
  ''Guidelines for computing capital for incremental risk in the trading book''. ...ternational Organization of Securities Commissions (IOSCO), to improve the capital regime for trading book positions.</p>
  3 KB (364 words) - 11:43, 26 March 2021
• BCBS 158
  ...ng Supervision]] on July 2009 in the [[:Category:BCBS Market Risk | Market Risk]] category. ''Revisions to the Basel II market risk framework''.
  3 KB (446 words) - 11:44, 26 March 2021
• BCBS 159
  ''Guidelines for computing capital for incremental risk in the trading book''. ...of global financial institutions commented that singling out just default risk was inconsistent with their internal practices and could be potentially bur
  7 KB (1,041 words) - 12:46, 26 March 2021
• BCBS 163
  ...Supervision]] on October 2009 in the [[:Category:BCBS Market Risk | Market Risk]] category. ...esses the impact of the revisions to the 1996 rules governing trading book capital. These revisions, which were originally published by the Committee in Janua
  2 KB (299 words) - 11:44, 26 March 2021
• BCBS 193
  ''Revisions to the Basel II market risk framework updated as of 31 December 2010''. ...banks may be allowed by their supervisor to calculate a comprehensive risk capital charge subject to strict qualitative minimum requirements as well as stress
  4 KB (631 words) - 11:44, 26 March 2021
• BCBS 208
  ...upervision]] on November 2011 in the [[:Category:BCBS Market Risk | Market Risk]] category. ''Interpretive issues with respect to the revisions to the market risk framework''.
  3 KB (381 words) - 11:44, 26 March 2021
• BCBS 288
  ...pervision]] on September 2014 in the [[:Category:BCBS Market Risk | Market Risk]] category. ...mpact of proposals to revise the internal models-based approach for market risk, as set out in the second consultative paper of the Basel Committee's funda
  4 KB (666 words) - 11:45, 26 March 2021
• BCBS 66
  ...ng Supervision]] on January 2000 in the [[:Category:BCBS Risk Management | Risk Management]] category. ...atings, the Committee hopes that banks will further refine internal credit risk management and measurement techniques.</p>
  6 KB (885 words) - 11:46, 26 March 2021
• BCBS D397
  ...ttee's sample also includes 110 "Group 2 banks" (ie banks that have Tier 1 capital of less than 3 billion or are not internationally active).</p> ...-Absorbing Capacity (TLAC), 18 of the G-SIBs in the sample have a combined incremental TLAC shortfall of 318 billion as at the end of June 2016, compared with 416
  5 KB (745 words) - 11:48, 26 March 2021
• BCBS D416
  ...ittee's sample also includes 95 "Group 2 banks" (ie banks that have Tier 1 capital of less than 3 billion or are not internationally active).</p> ...-Absorbing Capacity (TLAC), 12 of the G-SIBs in the sample have a combined incremental TLAC shortfall of 116.4 billion as at the end of December 2016, compared wi
  5 KB (682 words) - 11:48, 26 March 2021
• BCBS D433
  ...ittee's sample also includes 87 "Group 2 banks" (ie banks that have Tier 1 capital of less than 3 billion or are not internationally active).</p> ...-Absorbing Capacity (TLAC), 10 of the G-SIBs in the sample have a combined incremental TLAC shortfall of 109 billion as at the end of June 2017, compared with 116
  5 KB (684 words) - 11:49, 26 March 2021