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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
Herfindahl-Hirschman Index
For the purpose of measuring credit portfolio or market [[Concentration Risk]] (e.g., name, sector or geographic risk), diversity or inequality metrics, the '''Herfindahl-Hirschman Index (HHI)'

6 KB (900 words) - 13:45, 16 April 2020
Monte Carlo Simulation of Credit Portfolios
...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. ...capacities and other tangible human assets located in hazard-prone areas. Measures of exposure can include the number of people or types of assets in an area.

4 KB (535 words) - 17:54, 10 August 2021
Concentration Ratio
For the purpose of measuring credit portfolio or market [[Concentration Risk]], diversity or inequality metrics the '''concentration ratio''' is a measu for example credit or market risk concentrations.

5 KB (815 words) - 09:44, 24 June 2019
Credit Bureau Scoring
...nsider all relevant information.<ref>ECB guide to internal models - Credit Risk, Sep 2018</ref> Institutions mitigate this risk when they comply with the following principles:

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 ...Fair and mathematician Earl Isaac and started commercializing statistical measures of credit worthiness in the subsequent years.

5 KB (780 words) - 15:23, 6 November 2021
Economic Capital Models
...operationally recognized ([[Credit Risk]], [[Market Risk]], [[Operational Risk]] etc.). ...ired [[Risk Capital]], which can be used for [[Performance Management]], [[Risk Based Pricing]] and [[Capital Management]] decisions.

1 KB (169 words) - 15:02, 23 June 2020
Model Decay
...of models already deployed (in operation), whereby the [[Model Performance Measures | model performance]] may deteriorate to the point of the model not being a Model decay and failure applies to both risk models and valuation/pricing models. Both classes of models fail when they

2 KB (257 words) - 17:18, 3 November 2019
Model Performance Measures
'''Model Performance Measures''' are the quantitative measures that provide an objective assessment of model performance, namely the stand ...performance measures include discriminatory power and various calibration measures

822 bytes (102 words) - 11:13, 10 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
Stress Testing
'''Stress Testing''' is a general [[Risk Management]] term denoting any activity subjecting a system (whether be it ...conditions (e.g. temperature, pressure, crash testing etc.) and monitors / measures the outcomes of the test.

2 KB (316 words) - 14:06, 17 February 2021
Risk Measurement
...en isolated in the [[Risk Identification]] process that logically precedes Risk Measurement. ...ent becomes substantially delegated to the application of a [[Quantitative Risk Model]]

1 KB (169 words) - 14:04, 11 March 2024
Portfolio Management
...ntities. This domain is characterised by the direct underwriting of credit risk, ongoing bilateral relationships * [[Market Risk Management]], as practised e.g., by investment banks and hedge funds. Chara

3 KB (437 words) - 13:56, 29 May 2022
Risk Mitigation
'''Risk Mitigation''' (also ''Risk Elimination'', ''Risk Prevention'') denotes any activities pursued for the purpose of reducing or ...to enforce an agreed [[Risk Appetite]] level and thus entails a [[Residual Risk]].

2 KB (240 words) - 15:17, 11 March 2024
Concentration Measurement
...[Concentration Risk]] (excessive dependence and/or sensitivity on specific risk factors). Concentration measurement has wide applicability across different ...he use of a [[Concentration Index]], that is, a function that converts a [[Risk Distribution | distribution]] of observed values into a single number expre

902 bytes (113 words) - 15:18, 5 February 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
License
...ing Authors is licensed under the following Creative Commons license. Open Risk retains [https://www.openriskmanagement.com/copyright/ full copyright] to a <li> '''Licensor''' means Open Risk and any individual(s) or entity(ies) (contributing Authors) granting rights

14 KB (2,218 words) - 12:41, 5 September 2018
Correlation
...realizations. Its precise meaning and calculation varies depending on the risk area. ...ally in [[Credit Portfolio Management]] correlation is a measure of credit risk dependency between different credit exposures. It may refer to either [[Def

1 KB (175 words) - 13:50, 16 April 2021
Risk Management
...| intuitive decision making]] which typically does not involve rigorous [[Risk Analysis]], does not require additional training and does not employ elabor ...the objective is to reduce risks to an acceptable level (formally termed [[Risk Appetite]]).

6 KB (906 words) - 20:10, 11 March 2024