Risk Parameters

Definition

Risk Parameters is domain specific jargon for the set of risk measures used extensively for establishing capital requirements for Credit Risk in the Basel II (and subsequent) regulatory framework (specifically Pillar I)

List of Basel Risk Parameters

• Exposure At Default
• Probability of Default
• Loss given default
• Maturity Date

Issues and Challenges

• The Basel Risk Parameters are a necessary but not sufficient description of credit risk, in particular in Credit Portfolio Management context

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