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- ...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]] estimation4 KB (586 words) - 20:49, 21 November 2022
- ...(asymptotic single factor risk model) is a simplified [[Credit Portfolio]] risk model that underpins the Basel II capital requirements * One year risk horizon5 KB (696 words) - 12:30, 26 March 2021
- '''Risk Weighted Assets''' (RWA) is terminology introduced by the [[Basel II]] and subsequent regul158 bytes (18 words) - 11:40, 26 April 2021
- ...ginality, accuracy or completeness of said resources for any purpose. Open Risk is not affiliated with IASB/FASB. |Derecognition of Modified Financial Assets24 KB (3,113 words) - 16:52, 1 September 2020
- | 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 allowance10 KB (1,464 words) - 11:38, 25 September 2020
- ...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 amounts2 KB (319 words) - 19:10, 21 December 2020
- ...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
- ...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; and1 KB (201 words) - 14:07, 8 October 2018
- ...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 applied2 KB (229 words) - 14:11, 8 October 2018
- ...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 f4 KB (678 words) - 14:10, 17 February 2021
- ...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 o11 KB (1,612 words) - 14:40, 6 September 2020
- * 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
- ** Objective Risk Based Analytical Framework ** Enable Scenario Analysis and Stress Testing of Credit Assets12 KB (1,494 words) - 20:11, 11 March 2024
- ...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 e6 KB (812 words) - 14:41, 1 September 2020
- ...] 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 (469 words) - 15:15, 21 May 2024
- ...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 Assessment3 KB (400 words) - 11:45, 26 March 2021
- * asset quality – non-performing assets (net NPA ratio) * profitability (return on assets) and2 KB (286 words) - 15:05, 5 February 2020
- ...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
- ...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
- ...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