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Exposure
...y. The potential susceptibility to loss; the vulnerability to a particular risk. In the context of [[Disaster Risk]] exposure means the situation of people, infrastructure, housing, producti

4 KB (535 words) - 17:54, 10 August 2021
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

5 KB (780 words) - 15:23, 6 November 2021
Model Decay
Model decay and failure applies to both risk models and valuation/pricing models. Both classes of models fail when they The first class (risk models) fails when calculating a risk metric in a manner that can be statistically demonstrated to be unreliable

2 KB (257 words) - 17:18, 3 November 2019
Roll Rates
* Estimating a roll rate matrix constitutes a simple type of a credit [[Risk Model]] in that it allows projecting likely outcomes over the future period * an enumeration of states that capture all possible states at the beginning and the end of the time interval

4 KB (658 words) - 12:17, 7 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
Risk Appetite
...while pursuing its [[Business Model]]. It denotes total amount and type of risk that an organization is prepared to accept, tolerate, or be exposed to at a Risk appetite statements must in general be ''translated'' into concrete policie

3 KB (475 words) - 11:13, 16 November 2021
Loan Tape
** [[Credit Risk Analysis]] (e.g., using financial data and ratios) ** Loan product characteristics that may link to specific risk factors

4 KB (526 words) - 12:09, 10 June 2021
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
Market Risk
'''Market Risk''' is a broad risk category that applies to financial or real assets that are actively traded In the context of bank risk management, market risk is relevant for positions included in the banks' trading book as well as in

4 KB (657 words) - 16:14, 11 March 2024
ASRF model
...(asymptotic single factor risk model) is a simplified [[Credit Portfolio]] risk model that underpins the Basel II capital requirements * One year risk horizon

5 KB (696 words) - 12:30, 26 March 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 Value at Risk
...isk Measure]] that aims to capture the downside [[Economic Value | value]] risk of a [[Credit Portfolio]]. CVaR is a quantile [[Risk Measure]] and requires the specification of

1 KB (213 words) - 20:51, 21 November 2022
Business Execution
...ion''' (in more detail, Execution, Delivery and Process Management) is the risk of unexpected financial or reputational loss as the result of poor executio It is a recognized risk category in regulatory frameworks worldwide (Basel II standards). The preci

3 KB (348 words) - 14:09, 29 March 2021
Delinquency
The capture and representation of delinquency history must make an number of design cho ...cused on the repayment history of a specific financial contract it may not capture accurately the entire range of credit behaviour of a borrower

4 KB (582 words) - 15:14, 15 June 2019
Risk Exposure
...at aims to capture the extent to which an entity is subject to a certain [[Risk]] [[Category:Risk Management]]

224 bytes (31 words) - 00:42, 28 January 2020
Credit Score Factor
...factors constitute [[Explanatory Variables]], that is, they aim to explain risk outcomes Credit score factors can be categorized in various ways (inheriting from [[Risk Factor]]):

4 KB (637 words) - 14:10, 29 March 2021
Loan Covenant
...he potential borrower base at the expense of potentially increasing credit risk ...Credit Scoring]] or other systems and frameworks are typically not able to capture the impact of the presence or absence of Loan Covenants

1 KB (212 words) - 18:38, 4 June 2020
Credit Rating
...[Credit Risk]] indicator (also ''Credit Risk Rating'') that assesses the [[Risk Profile]] of an entity or product on a defined [[Rating Scale]]. Most typi * Whether they concern a long or short term risk assessment

5 KB (638 words) - 16:05, 22 February 2021
Ability and Willingness to Pay
...ure at a very fundamental level the nature of the possible [[Risk Factor | risk factors]] behind a [[Credit Event]], an entity defaulting (reneging) on any [[Category:Credit Risk]]

805 bytes (121 words) - 12:53, 22 February 2021
Var-Covar Model
...lows the [[Risk Aggregation]] of distinct risk types once their individual risk profile and their dependency have been already modelled. ...the marginal, standalone [[Distribution | distributions]] of the modelled risk type (PnL, losses etc), into a single aggregate loss distribution. The main

2 KB (274 words) - 13:00, 16 April 2021