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Margin of Conservatism
...tion) adjustment to remedy any shortcomings of quantitative estimates of [[Risk Parameters]]. ...k]], namely issues with [[Data Quality]] and potentially [[Intrinsic Model Risk]] associated with the selection of methods and quantitative methods underpi

9 KB (1,339 words) - 15:15, 21 May 2024
IFRS 9 versus IRB Models
...nternal Rating Based]] frameworks require the use of quantitative [[Credit Risk]] estimates. This entry summarizes their relationship<ref>ESRB, Financial ! Aspect !! Internal Ratings-Based Model !! IFRS 9 Model

2 KB (250 words) - 14:14, 29 March 2021
How to Develop an IFRS 9 Impairment Framework
* Whether there are prior developed credit risk models * Determine whether the “low credit risk assumption” will be applied to certain loans

2 KB (298 words) - 12:27, 25 September 2021
Sovereign Credit Rating
...with the liabilities of Sovereign entities, thus a measure of [[Sovereign Risk]] * Expert based scorecards building on extensive fundamental analysis (and loosely calibrat

1 KB (191 words) - 12:27, 22 February 2021
State Space
...al system states, i.e. it is an abstraction. The usefulness of state space based models is determined by the degree to which they can represent and help ana In credit risk management applications it is common to consider a ''finite state space'',

2 KB (356 words) - 13:33, 10 February 2021
Non-Performing Loan Valuation
NPL assets are [[Liquidity Risk | illiquid assets]] held by banks or other credit granting institutions as Broadly speaking NPL valuation is based on evaluating the likelihood and magnitude of future cashflows from NPL eit

16 KB (2,148 words) - 11:27, 18 October 2020
Real Estate Valuation
...discount rates used in hope value calculations should reflect local market risk premia. ...iate provisioning level should be assessed using a going concern cash flow based approach (see Chapter on credit file review).

11 KB (1,789 words) - 15:53, 4 June 2020
Best Practices in Credit Portfolio Management
** Objective Risk Based Analytical Framework ** Management of Inherent Model Risk

12 KB (1,494 words) - 20:11, 11 March 2024
Loss Given Default Models
* For internal [[Credit Risk Management]] and [[Credit Portfolio Management]] * As [[Risk Parameters]] for [[Basel III]]/[[CRD IV Regulation]] calculations of [[Regu

7 KB (1,048 words) - 12:27, 16 September 2021
Credit Rating Scale
...a borrower (/counterparty) or credit product a distinct degree of [[Credit Risk]]. A rating scale is an example of specifying a [[State Space]]. ...through the use of masterscales)<ref>ECB guide to internal models - Credit Risk, Sep 2018</ref>

6 KB (932 words) - 16:06, 22 February 2021
Risk Horizon
..., a risk horizon is any future timepoint at which the overall external and internal state and balance sheet is assessed by conditioning on the modeled forward ...ables the framework to support [[Going Concern Valuation | Going Concern]] Risk Capital analyses.

3 KB (469 words) - 15:15, 21 May 2024
Vendor Risk Model
'''Vendor Risk Models''' are any risk quantification systems (including data and algorithms) that are in use by a ...institutions are subject to additional requirements in relation to vended risk models

1 KB (165 words) - 14:31, 19 November 2019
Probability of Default Model
...ion framework that enables the calculation of a [[Probability of Default]] risk measure on the basis of quantitative and qualitative information === Risk Drivers ===

6 KB (863 words) - 17:49, 11 October 2019
Realised LGD
...ination of own fund requirements<ref>ECB guide to internal models - Credit Risk, Sep 2018</ref> . ...is for the [[Long-run Loss Given Default]] which is one of the key Basel [[Risk Parameters]]

15 KB (2,397 words) - 10:24, 14 May 2021
Catalog of Loss Given Default Models
* references with [[Open Source Risk Management Software | open source implementations]] ...possible quantification approaches, depending on the nature of the credit risk, the data and expertise available etc. A classification of typical LGD Mode

6 KB (778 words) - 12:39, 16 September 2021
Long-run Loss Given Default
...ld observe the following points.<ref>ECB guide to internal models - Credit Risk, Sep 2018</ref> ...ation of this floor in the process of model development for the purpose of risk differentiation<ref>Paragraph 6.3.2.4 of EBA/GL/2017/16</ref>

9 KB (1,396 words) - 18:07, 7 November 2019
Business Model
...al blueprint for a set of relationships and processes between external and internal actors. The business model describes the rationale of how an organization c ...ed realization of a business model. It concerns a fixed time period and is based on an up-to-date assessment of the various market conditions.

4 KB (538 words) - 15:41, 11 May 2023
Human Judgement
...ment''' is used in the assignment of exposures to the grades or pools of a risk model Institutions may use human judgement in the application of risk model in the following cases:

5 KB (744 words) - 14:41, 6 September 2020
Roll Rate versus Rating Migration Matrices
Roll matrices (based on [[Roll Rates]] and [[Rating Migration Matrix | rating migration matrices ...y and [[Model Risk]] (but also - in principle - allow more forward looking risk assessment)

1 KB (150 words) - 16:09, 15 June 2019
SME Credit Scorecard
...e of [[Credit Scorecard]] used in the classification (scoring) of [[Credit Risk]] for [[SME Lending]]. The scorecard output is an assessment of the relativ ...oing credit risk profile ([[Behavioral Scoring | behavioural scorecards]], internal [[Credit Rating System]])

3 KB (412 words) - 12:59, 7 September 2020