Search results

Create the page "Internal Risk Based" on this wiki! See also the search results found.

Granularity Adjustment
...rmula]] for calculating the [[Risk Capital | capital]] needed to cover the risk arising from the potential default of large borrowers. ...is integrated into the ASRF model thereby making capital requirements more risk sensitive.

2 KB (362 words) - 10:54, 25 March 2020
AMA Models
...egulatory standard for the measurement and capitalisation of [[Operational Risk]] ...l) to develop own risk models to quantify required capital for operational risk.

2 KB (238 words) - 14:34, 19 November 2019
Basel II Models
'''Basel II Models''' is a class of internal [[Credit Risk Modelling | credit risk models]] that are used as inputs for [[Regulatory Capital]] (Pillar I) calc Also known as IRB Models, PD/LGD/EAD models or [[Risk Parameters]]

678 bytes (92 words) - 12:15, 31 March 2021
Credit Bureau Scoring
...information. Credit Bureau Scoring can be used separately or alongside an internal credit scoring system (i.e., the scoring system can use credit bureau score ...nsider all relevant information.<ref>ECB guide to internal models - Credit Risk, Sep 2018</ref>

4 KB (644 words) - 13:33, 19 November 2018
Credit Score
...of the digital computer. The reason is instructive of the nature of credit risk which is a substantially more dynamic than actuarial risks (depends on vari * In [[Risk Based Pricing]], the credit score may determine the [[Interest Rate]], and / or t

5 KB (780 words) - 15:23, 6 November 2021
Default Definition
...it is the basis for estimation of risk parameters and therefore influences risk weights and expected loss calculation for both defaulted and non-defaulted ...n’s policies should clarify that the counting of days past due should be based on the modified schedule of payments.

8 KB (1,109 words) - 16:07, 22 February 2021
Probability of Default
...ability of Default is a key risk parameter used in the context of [[Credit Risk]] management. It is a forward-looking [[Expectation Measure]], which assign In the [[Internal Ratings-Based Approach]] the probability of default of a counterparty is estimated over a

4 KB (532 words) - 18:59, 4 September 2020
Basel II Advanced IRB Capital Model
...ch|internal ratings-based approach]]''''' and it refers to a set of credit risk measurement techniques proposed under [[Basel II]] [[capital adequacy]] rul ...develop their own empirical model to quantify required capital for credit risk. Banks can use this approach only subject to approval from their local regu

7 KB (1,023 words) - 12:30, 26 March 2021
Template
Risk Manual Template (Version 1.4 - Sep 2018). Use this text as a guidance when ...lly highlight and make transparent the many difficulties around successful risk management

2 KB (353 words) - 12:22, 18 January 2021
Holistic risk management
...d to some particular aspect of risk, segmented by business lines or other internal firm demarcations. ...s (e.g. credit risk function and processes versus market risk, operational risk etc.)

2 KB (304 words) - 13:58, 18 November 2020
Risk Limit
...idity Risk]] exposures. Internal [[Risk Policy]] limits aim to contain the risk exposures undertaken by the organization below an acceptable level. ...rtainty. Limits can be set at a variety of hierarchies, depending on the [[Risk Type]]: e.g. total, sectoral, regional, by business line, [[Single Obligor

6 KB (943 words) - 14:11, 4 October 2021
Single Obligor Exposure
The concept of SOE becomes significant in the context of typical internal risk / accounting systems of financial services firms that do not automatically * the prevalence of product as opposed to client based management of business lines

1 KB (154 words) - 15:11, 22 January 2021
Credit Portfolio Management
...characteristic of credit portfolio management activities is that [[Credit Risk]] is assessed and managed not on a standalone basis but in an aggregate, po ** engages in the [[Credit Risk Transfer | distribution of credit risk]] to other investors via [[Securitization]], outright sales or credit deriv

7 KB (943 words) - 14:41, 15 November 2021
Credit Scoring Models
...ypically produces a credit score and/or a probabilistic estimate of credit risk on the basis of selected characteristics of a borrower.''' ...he Open Risk Manual are related [[:Category:Credit_Risk_Modelling | credit risk modelling]] categories of:

11 KB (1,491 words) - 15:41, 7 March 2023
Significant Increase in Credit Risk
...cial Instruments</ref>, is a significant change in the estimated [[Default Risk]] (over the remaining [[Expected Life |expected life]] of the financial ins == Determination of Significant Increase in Credit Risk ==

7 KB (1,085 words) - 11:20, 22 December 2020
Low Credit Risk
'''Low Credit Risk''', in the context of IFRS 9 <ref>IFRS Standard 9, Financial Instruments</r * have low [[Default Risk]], that is low likelihood of any credit event

2 KB (332 words) - 22:56, 27 August 2017
Loan Valuation
Loan Valuation is an example of more general [[Valuation Models | model based valuation]] == Risk Factors ==

3 KB (485 words) - 14:10, 29 March 2021
Credit Risk Management
...esses and management roles that aim to underpin the management of [[Credit Risk]], most typically (but not necessarily) in the context a [[Credit Portfolio Credit Risk Management is a superset of [[Credit Portfolio Management]], with the later

7 KB (914 words) - 16:31, 3 June 2020
IFRS 9
...veness to information pointing to a deterioration or improvement in credit risk. == Risk Management Implications ==

8 KB (1,123 words) - 13:25, 25 October 2019
Financial Guarantee
...ofile of the debtor. The manner by which this is reflected in accounting, risk management and regulatory frameworks varies significantly. ...of the institution (third-party support) may be taken into account in the risk assessment of that obligor. This policy should meet the following criteria

6 KB (895 words) - 14:41, 6 September 2020