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Expected Loss
...orizon. Multiplying the percentage with the exposure provides the expected loss in monetary terms. ...instance) since their [[Probability of Default]] and their potential for [[Loss Given Default]] are higher.

3 KB (509 words) - 10:19, 14 May 2021
Significant Increase in Credit Risk
...ersus CECL | difference]] between [[IFRS 9]] and [[Current Expected Credit Loss | CECL]]. ..., hence specifically ''not'' the change in the amount of [[Expected Credit Loss | expected credit losses]]

7 KB (1,085 words) - 11:20, 22 December 2020
IFRS 9
...more timely recognition of credit losses, thus enhancing both the size of loss-absorbing allowances and their responsiveness to information pointing to a ...or a FVOCI asset, the amortized cost basis is used to determine profit and loss, but the asset is reported at fair value on the balance sheet, with the dif

8 KB (1,123 words) - 13:25, 25 October 2019
Scenario Analysis
...ert assessments could be expressed as parameters of an assumed statistical loss distribution. ...luate potential losses arising from multiple simultaneous operational risk loss events.

3 KB (372 words) - 16:16, 11 May 2023
Cure Rate
...s a metric used in the context of [[Non-Performing Loan]] management and [[Loss Given Default]] risk assessment. It denotes the percentage of loans that pr ...ip linking the Cure Rate, with the [[Loss Given Default]] and [[Loss Given Loss]] estimates. Namely

7 KB (1,026 words) - 12:28, 9 June 2021
IFRS 9 Model Validation
...n place to appropriately validate models used to measure [[Expected Credit Loss]] (ECL) under the [[IFRS 9]] standard. ...pendently of the model development process and by staff with the necessary experience and expertise.

6 KB (893 words) - 12:53, 16 September 2021
Current Expected Credit Loss
...cial Reporting Standards in the US. It replaces the current standards for loss accounting - commonly known as FAS-5 and FAS-114. The FASB first embarked o ...more timely recognition of credit losses, thus enhancing both the size of loss-absorbing allowances and their responsiveness to information pointing to a

4 KB (582 words) - 11:15, 15 November 2018
Expected Loss Best Estimate
...asurements (including the upcoming [[IFRS 9]] measure of [[Expected Credit Loss]] for [[Stage 3 Assets]] ...ulted exposures, ELBE estimates should be based on the institutions’ own experience. This may be supplemented with external data. Firms should not derive their

4 KB (570 words) - 09:59, 14 May 2021
IFRS 9 Model Risk
...his includes [[Significant Increase in Credit Risk]] and [[Expected Credit Loss]] models, and/or the application, interpretation and reporting of model re ...IFRS 9 model errors can lead to a variety financial and / or reputational loss events. Undesirable consequences of this from a financial stability perspec

2 KB (286 words) - 14:14, 29 March 2021
EBA 2018 Credit Risk Stress Test
...res in S2 and S3, banks are expected to provide stressed lifetime expected loss rates ==== Profit and Loss ====

12 KB (1,891 words) - 18:43, 4 May 2018
Non-Performing Loan Valuation
...Empirical Study of the Returns on Defaulted Debt and the Discount Rate for Loss-Given-Default ...Katia-D-Hulster.pdf">Prudential policy considerations of NPLs and expected loss provisioning</a></td>

16 KB (2,148 words) - 11:27, 18 October 2020
Best Practices in Credit Portfolio Management
...t risk skills (analysis, origination, monitoring) and portfolio management experience * (Where suitable) market / credit trading experience

12 KB (1,494 words) - 20:11, 11 March 2024
Credit Pricing
* [[Loss Given Default]] / [[Recovery Risk]] ...pital]] the above calculation would be referred to as an [[Expected Credit Loss]] calculation. In addition, credit pricing would be techniques from [[Econ

6 KB (812 words) - 14:41, 1 September 2020
Cumulative Portfolio Credit Loss
...h>L^{P}_{k}</math> is the observed value of the cumulated portfolio credit loss at intermediate times <math>k \in [t, T]</math> <math>L^{P}_T \in [0, N]</math> is the total portfolio credit loss variable (random and unknown at t), but fully realized and known at time T.

519 bytes (94 words) - 20:33, 24 October 2018
Realised LGD
'''Realised LGD''' denotes the empirically measured [[Loss Given Default]] on the basis of an organizations own credit underwriting hi Realised LGD estimates form the basis for the [[Long-run Loss Given Default]] which is one of the key Basel [[Risk Parameters]]

15 KB (2,397 words) - 10:24, 14 May 2021
Catalog of Loss Given Default Models
== Catalog of Loss Given Default Models == ...n Default Models | models]] and algorithms used for [[Loss Given Default | loss given default]] modelling (or the equivalent [[Recovery Rate]] modelling).

6 KB (778 words) - 12:39, 16 September 2021
Long-run Loss Given Default
'''Long-run Loss Given Default''' is the arithmetic average of realised LGDs over a historic ...emonstrate that the approach they use does not distort the actual observed loss.

9 KB (1,396 words) - 18:07, 7 November 2019
How to Map Climate Risk to the Open Risk Taxonomy
...on of other risk factors (credit risk, operational risk etc.) the firm may experience difficulties obtaining funding to support operations ...ry:Human_Resources_Risk]] || Incidental to reputational loss, the firm may experience difficulty fullfiling required positions

8 KB (1,086 words) - 12:25, 24 August 2023
Third Party Risk
...nage these risks can expose an institution to regulatory action, financial loss, litigation and reputation damage, and may even impair the institution’s * [[Operational Risk]]. Operational risk is the risk of loss resulting from inadequate or failed internal processes, people, and systems

5 KB (757 words) - 16:54, 11 September 2019
STS Criterion 29. Credit events
...or not been experiencing financial difficulties. A concession may entail a loss for the lender, which should be considered within the credit protection agr

3 KB (485 words) - 20:46, 12 November 2019