Search results

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

Name Concentration
...oncentration'' or ''Single Borrower Concentration'') is a form of [[Credit Risk Concentration]], describing a condition in which a [[Credit Portfolio]] has ...efined in context: For example in relation to total assets, to available [[Risk Capital]] etc.

2 KB (289 words) - 10:51, 23 June 2019
Credit Risk Concentration
...large risk exposure to specific credit risks (as opposed to a diversified risk profile). ...tory frameworks generally recognize the following specific [[Concentration Risk | concentrations risks]]:

2 KB (273 words) - 11:29, 5 February 2020
Related Counterparties
...n | legal persons]] who, unless it is shown otherwise, constitute a single risk because one of them, directly or indirectly, has ''control'' over the other ...ationship of control'' but who are to be regarded as constituting a single risk because they are so interconnected that, if one of them were to experience

3 KB (464 words) - 14:56, 22 January 2021
Name Concentration Measurement
...simply defined at portfolio level, providing synthetic measures of credit risk name concentration. ...sses which can actually differentiate the effective contribution to credit risk.

2 KB (232 words) - 12:17, 19 May 2017
Large Exposures Framework
...rk is a BIS [[Limit framework]] for measuring and controlling large credit exposures proposed in March 2013 and adopted as a standard in April 2014. The Basel Committee issued its first guidance on credit exposures in 1991.

4 KB (660 words) - 14:25, 27 May 2019
Herfindahl-Hirschman Index
For the purpose of measuring credit portfolio or market [[Concentration Risk]] ...is defined as the sum of all squared ''relative'' portfolio shares of the exposures.

6 KB (900 words) - 13:45, 16 April 2020
Monte Carlo Simulation of Credit Portfolios
...on]]. Once the distribution is obtained it is possible to estimate various risk measures for the credit portfolio. ...gether with a suite of [[Satellite Model | satellite models]] for [[Credit Risk]] estimation

4 KB (586 words) - 20:49, 21 November 2022
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
Concentration Ratio
...'concentration ratio''' is a measure of the contribution of a given set of exposures to the total portfolio exposure - essentially the portfolio fraction. For ...ion ratio is simply the percentage of portfolio exposure by the n largest exposures.

5 KB (815 words) - 09:44, 24 June 2019
Credit Risk Hierarchy
A Credit Risk Hierarchy is a system of organizing a set of credit risk exposures so that the relationships and dependencies between different entities are m ...he following is the hierarchy of all possible aggregation levels of credit risk, starting with the most elementary level and ending up with the broadest.

6 KB (775 words) - 14:54, 24 February 2020
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
Default Definition
...03, Prudential treatment of problem assets - definitions of non-performing exposures and forbearance</ref> ...on of default is the basis for the assignment of exposures to the class of exposures in default.

8 KB (1,109 words) - 16:07, 22 February 2021
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
Forbearance
Forbearance is a common strategy for [[Credit Risk Management]] of banking products. It is a distinct feature of bank based le ...rest rate below the current interest rate that counterparties with similar risk characteristics could obtain from the same or other institutions in the mar

6 KB (840 words) - 18:21, 2 March 2023
Loan Tape
...]] data from a financial firm's systems. (Also: ''Loan Data Tape'', ''Loan Exposures Tape'', ''Servicing Tape'', "Loan-by-Loan File"). It is typically a databa ** [[Credit Risk Analysis]] (e.g., using financial data and ratios)

4 KB (526 words) - 12:09, 10 June 2021
Credit Portfolio
...ounterparty Risk | derivative contracts]]) or as an investment in [[Credit Risk]] sensitive securities (such as [[Corporate Bond | corporate bonds]]). * Counterparty exposures arising from bilateral derivatives transactions

2 KB (317 words) - 13:57, 17 November 2019
Sector Concentration
'''Sector concentration''' is a form of [[Credit Risk Concentration]]. It arises when a material share of a [[Credit Portfolio]] ...text: For example in relation to total assets, to available [[Risk Capital|risk capital]] etc.

2 KB (300 words) - 15:05, 27 October 2019
Risk Limit
...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
Asset Quality Review
The aim was to enhance the transparency of bank exposures by reviewing the quality of banks’ assets, including the adequacy of asse ...posures into the Levels of the IFRS 13 fair value hierarchy, where level 3 exposures are those for which valuation is based on unobservable model input paramete

3 KB (358 words) - 12:18, 25 September 2020
Sector Concentration Measurement
...simply defined at portfolio level, providing synthetic measures of credit risk sector concentration. ...sses which can actually differentiate the effective contribution to credit risk.

2 KB (247 words) - 23:43, 27 January 2020