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Basel II Advanced IRB Capital Model
...wn quantitative models to estimate PD ([[probability of default]]), EAD ([[exposure at default]]), LGD ([[loss given default]]) and other parameters required f ...argest individual exposures account for a smaller share of total portfolio exposure, idiosyncratic risk is diversified away at the portfolio level. This risk i

7 KB (1,023 words) - 12:30, 26 March 2021
Risk Taxonomy
* Identify potential linkages between the [[Risk Factor | risks factors]] behind different risk ...stic risk management]]. The highest level decomposition (and a distinctive future of the taxonomy) is the use of ''contracting'' as key differentiator of ris

8 KB (1,110 words) - 16:01, 16 January 2023
Loss Given Default
...given a [[Credit Event]]. It is calculated as the ratio of the loss on an exposure due to the default of a counterparty to the amount outstanding at default<r ...ss]] into its constituents risks, namely the [[Probability of Default]], [[Exposure at Default]] and Loss given Default.

4 KB (552 words) - 09:55, 14 May 2021
Expected Credit Loss
ECL can be measured either on an ''individual exposure'' level or a collective ''portfolio level'' (grouped exposures based on sha * an unbiased and probability-weighted amount of potential loss that is determined by evaluating a range of possible outcomes

3 KB (453 words) - 17:42, 18 February 2022
Thomas Cook Group
...evant from a [[Risk Management]] perspective). The entry also explores the potential of annotating risk events with semantic information. == Direct Exposure ==

22 KB (2,907 words) - 19:05, 11 October 2019
Climate Risk Concentration
...odel | business models]], typical assets and liabilities) and its existing exposure to major [[Risk Type | risk types]]. The climate-related risks captured by === Defining Climate Risk Exposure ===

5 KB (689 words) - 18:02, 5 February 2024
Business Continuity Glossary
| Notification that a potential disruption is imminent or has occurred. | [[Annual Loss Exposure ]]

90 KB (12,017 words) - 15:01, 10 August 2021
Corporate Credit Risk Analysis
Institutions should assess the borrower’s current and future ability to meet the obligations under the loan agreement<ref>EBA, Guideline ...t emphasis on the borrower’s realistic and sustainable future income and future cash flow, and not on available collateral. Collateral by itself should not

12 KB (1,843 words) - 14:46, 1 September 2020
SME Credit Risk Analysis
Institutions should assess the borrower’s current and future ability to meet the obligations under the loan agreement. Institutions shou ...t emphasis on the borrower’s realistic and sustainable future income and future cash flow, and not on available [[Collateral]]. Collateral by itself should

11 KB (1,537 words) - 22:17, 31 March 2021
BCBS 107
...de, the Committee acknowledges that moving toward its adoption in the near future may not be a first priority for all non-G10 supervisory authorities in term ...ploys a supplementary capital measure (such as a leverage ratio or a large exposure limit) in conjunction with the measure set forth in this Framework, in some

20 KB (3,034 words) - 11:39, 26 March 2021
BCBS 116
...hat encourages banks to identify the risks they may face, today and in the future, and to develop or improve their ability to manage those risks. As a result ...ign="justify">Given the interest of both banks and securities firms in the potential solutions to these particular issues, the BCBS has worked jointly with the

6 KB (932 words) - 11:43, 26 March 2021
BCBS 118
...de, the Committee acknowledges that moving toward its adoption in the near future may not be a first priority for all non-G10 supervisory authorities in term ...ploys a supplementary capital measure (such as a leverage ratio or a large exposure limit) in conjunction with the measure set forth in this Framework, in some

19 KB (2,931 words) - 12:29, 26 March 2021
BCBS 12 A
...factors (subsequently finalised in April 1995: "<em>Treatment of potential exposure for off-balance-sheet items</em>").</p> ...hod with the proviso that banks will no longer be able to use the original exposure method once market-risk related capital requirements are implemented (i.e.

2 KB (321 words) - 11:43, 26 March 2021
BCBS 18
''Basel Capital Accord: treatment of potential exposure for off-balance-sheet items''. ...arge the matrix of add-ons to capture more accurately the potential future exposure associated with longer maturities and a broader range of transactions not e

2 KB (251 words) - 11:44, 26 March 2021
BCBS 25
...ith bilateral netting and (2) the appropriate treatment of a participant's exposure to so-called "second round effects", which can arise when two or more of th

2 KB (327 words) - 11:45, 26 March 2021
BCBS 279
...sactions. The new standardised approach (SA-CCR) replaces both the Current Exposure Method (CEM) and the Standardised Method (SM) in the capital adequacy frame ...alpha factor is applied to the sum of these components in arriving at the exposure at default (EAD). The EAD is multiplied by the risk weight of a given count

5 KB (708 words) - 12:42, 31 March 2021
BCBS 79
...challenging technical areas such as measurement of potential future credit exposure and stress testing. The paper set out a proposed framework for such collabo ...nance structure, information gathering, due diligence and credit analysis, exposure measurement, credit terms and limit setting, and collateral, early terminat

6 KB (861 words) - 11:46, 26 March 2021
BCBS D364
...Exposure]], [[Cash Variation Margin]], [[PFE]], [[Disclosure]], [[Leverage Exposure]]

3 KB (434 words) - 11:48, 26 March 2021
BCBS D451
...-cash initial margin received from a client to offset the potential future exposure of client cleared derivatives; and</li> ...received from a client to offset the replacement cost and potential future exposure amounts of client cleared derivatives.</li>

4 KB (536 words) - 11:49, 26 March 2021
BCBS D467
...received from a client to offset the replacement cost and potential future exposure for client cleared derivatives only.</p>

3 KB (479 words) - 11:49, 26 March 2021