Search results

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

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
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
Risk-weighted asset
'''Risk Weighted Assets''' (RWA) is terminology introduced by the [[Basel II]] and subsequent regul

158 bytes (18 words) - 11:40, 26 April 2021
IFRS 9 Modeling Resources
...ginality, accuracy or completeness of said resources for any purpose. Open Risk is not affiliated with IASB/FASB. |Derecognition of Modified Financial Assets

24 KB (3,113 words) - 16:52, 1 September 2020
IFRS 9 Glossary
| Probability-weighted (average) estimate of credit losses. Difference in the present value of exp ...nce between that initial amount and the maturity amount and, for financial assets, adjusted for any loss allowance

10 KB (1,464 words) - 11:38, 25 September 2020
Lifetime PD
...g a lifetime PD measure as it applies to a very large variety of financial assets. * the definition of [[Lifetime Expected Credit Losses]] as probability weighted amounts

2 KB (319 words) - 19:10, 21 December 2020
IFRS 9 versus CECL
...age approach: lifetime expected credit losses recognized only where credit risk has increased significantly since initial recognition ...a “significant increase in credit risk”) and 3 (“impaired financial assets”)

6 KB (871 words) - 11:59, 27 March 2019
General Provisions
...identified deterioration in the value of any asset or group of subsets of assets, they are not freely available to meet unidentified losses which may subseq ...hted assets to the extent a bank uses the Standardised Approach for credit risk; and

1 KB (201 words) - 14:07, 8 October 2018
Total Eligibile Provisions
...addition, total eligible provisions may include any discounts on defaulted assets.<ref>BCBS, International Convergence of Capital Measurement and Capital Sta ...fference in Tier 2 capital up to a maximum of 0.6% of credit risk-weighted assets. At national discretion, a limit lower than 0.6% may be applied

2 KB (229 words) - 14:11, 8 October 2018
EBA 2018 EU-Wide Stress Test
...ion relevant for any entity applying stress testing in tandem with valuing assets under an [[Expected Credit Loss]] approach. The focus is on the assessment of the impact of [[Risk Factor | risk drivers]] on the solvency of banks. Banks are required to stress test the f

4 KB (678 words) - 14:10, 17 February 2021
Default Rate
...it Event]] realization rate. It is the rate at which loans or other credit assets in a pool default. * A credit event is also always associated with an exposure at risk (although the definition of that may vary). Volume based approaches focus o

11 KB (1,612 words) - 14:40, 6 September 2020
EBA 2018 Credit Risk Stress Test
* A common definition of S3 assets as non-performing exposures should be applied for the projections ...and fair value positions (FVOCI and FVPL) which are subject to the market risk approach for the estimation of the P&L effect (or through capital, via OCI,

12 KB (1,891 words) - 18:43, 4 May 2018
Best Practices in Credit Portfolio Management
** Objective Risk Based Analytical Framework ** Enable Scenario Analysis and Stress Testing of Credit Assets

12 KB (1,494 words) - 20:11, 11 March 2024
Credit Pricing
...d credit risk. This approach is usually termed [[Risk Based Pricing]] (non-risk based pricing policies have also been used historically) ...that may involve other costs and risk elements (funding costs, pre-payment risk, other operational costs). A profit margin (or discount) will connect the e

6 KB (812 words) - 14:41, 1 September 2020
Risk Horizon
...] exercise or calculation. In the context of a [[Credit Network]] model, a risk horizon is any future timepoint at which the overall external and internal ...ables the framework to support [[Going Concern Valuation | Going Concern]] Risk Capital analyses.

3 KB (467 words) - 19:42, 24 October 2018
BCBS 240
...assessment programme (RCAP) - Analysis of risk-weighted assets for market risk''. ...cy of risk-weighted assets for market risk. This analysis of risk-weighted assets in the trading book is part of the wider Regulatory Consistency Assessment

3 KB (400 words) - 11:45, 26 March 2021
Prompt Corrective Action Framework
* asset quality – non-performing assets (net NPA ratio) * profitability (return on assets) and

2 KB (286 words) - 15:05, 5 February 2020
BCBS D337
...Supervision]] on October 2015 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ...Programme (RCAP) - Report on risk-weighted assets for counterparty credit risk (CCR)''.

3 KB (398 words) - 11:47, 26 March 2021
BCBS 107
...r improving capital regulation to take into account changes in banking and risk management practices while at the same time preserving the benefits of a fr ...ucture of the 1996 Market Risk Amendment regarding the treatment of market risk; and the definition of eligible capital.</p>

20 KB (3,034 words) - 11:39, 26 March 2021
BCBS 118
...r improving capital regulation to take into account changes in banking and risk management practices while at the same time preserving the benefits of a fr ...ucture of the 1996 Market Risk Amendment regarding the treatment of market risk; and the definition of eligible capital.</p>

19 KB (2,931 words) - 12:29, 26 March 2021