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Name Concentration
...oncentration'' or ''Single Borrower Concentration'') is a form of [[Credit Risk Concentration]], describing a condition in which a [[Credit Portfolio]] has ...efined in context: For example in relation to total assets, to available [[Risk Capital]] etc.

2 KB (289 words) - 10:51, 23 June 2019
Credit Risk Concentration
...large risk exposure to specific credit risks (as opposed to a diversified risk profile). ...tory frameworks generally recognize the following specific [[Concentration Risk | concentrations risks]]:

2 KB (273 words) - 11:29, 5 February 2020
Related Counterparties
...n | legal persons]] who, unless it is shown otherwise, constitute a single risk because one of them, directly or indirectly, has ''control'' over the other ...ationship of control'' but who are to be regarded as constituting a single risk because they are so interconnected that, if one of them were to experience

3 KB (464 words) - 14:56, 22 January 2021
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
Large Exposures Framework
...rk is a BIS [[Limit framework]] for measuring and controlling large credit exposures proposed in March 2013 and adopted as a standard in April 2014. The Basel Committee issued its first guidance on credit exposures in 1991.

4 KB (660 words) - 14:25, 27 May 2019
Herfindahl-Hirschman Index
For the purpose of measuring credit portfolio or market [[Concentration Risk]] ...is defined as the sum of all squared ''relative'' portfolio shares of the exposures.

6 KB (900 words) - 13:45, 16 April 2020
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
Exposure
...y. The potential susceptibility to loss; the vulnerability to a particular risk. In the context of [[Disaster Risk]] exposure means the situation of people, infrastructure, housing, producti

4 KB (535 words) - 17:54, 10 August 2021
Concentration Ratio
...'concentration ratio''' is a measure of the contribution of a given set of exposures to the total portfolio exposure - essentially the portfolio fraction. For ...ion ratio is simply the percentage of portfolio exposure by the n largest exposures.

5 KB (815 words) - 09:44, 24 June 2019
Credit Risk Hierarchy
A Credit Risk Hierarchy is a system of organizing a set of credit risk exposures so that the relationships and dependencies between different entities are m ...he following is the hierarchy of all possible aggregation levels of credit risk, starting with the most elementary level and ending up with the broadest.

6 KB (775 words) - 14:54, 24 February 2020
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 * In [[Risk Based Pricing]], the credit score may determine the [[Interest Rate]], and

5 KB (780 words) - 15:23, 6 November 2021
Default Definition
...03, Prudential treatment of problem assets - definitions of non-performing exposures and forbearance</ref> ...on of default is the basis for the assignment of exposures to the class of exposures in default.

8 KB (1,109 words) - 16:07, 22 February 2021
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
Forbearance
Forbearance is a common strategy for [[Credit Risk Management]] of banking products. It is a distinct feature of bank based le ...rest rate below the current interest rate that counterparties with similar risk characteristics could obtain from the same or other institutions in the mar

6 KB (840 words) - 18:21, 2 March 2023
Loan Tape
...]] data from a financial firm's systems. (Also: ''Loan Data Tape'', ''Loan Exposures Tape'', ''Servicing Tape'', "Loan-by-Loan File"). It is typically a databa ** [[Credit Risk Analysis]] (e.g., using financial data and ratios)

4 KB (526 words) - 12:09, 10 June 2021
Credit Portfolio
...ounterparty Risk | derivative contracts]]) or as an investment in [[Credit Risk]] sensitive securities (such as [[Corporate Bond | corporate bonds]]). * Counterparty exposures arising from bilateral derivatives transactions

2 KB (317 words) - 13:57, 17 November 2019
Sector Concentration
'''Sector concentration''' is a form of [[Credit Risk Concentration]]. It arises when a material share of a [[Credit Portfolio]] ...text: For example in relation to total assets, to available [[Risk Capital|risk capital]] etc.

2 KB (300 words) - 15:05, 27 October 2019
Risk Limit
...Risk]] exposures. Internal [[Risk Policy]] limits aim to contain the risk exposures undertaken by the organization below an acceptable level. ...rtainty. Limits can be set at a variety of hierarchies, depending on the [[Risk Type]]: e.g. total, sectoral, regional, by business line, [[Single Obligor

6 KB (943 words) - 14:11, 4 October 2021
Asset Quality Review
The aim was to enhance the transparency of bank exposures by reviewing the quality of banks’ assets, including the adequacy of asse ...posures into the Levels of the IFRS 13 fair value hierarchy, where level 3 exposures are those for which valuation is based on unobservable model input paramete

3 KB (358 words) - 12:18, 25 September 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
Market Risk
'''Market Risk''' is a broad risk category that applies to financial or real assets that are actively traded In the context of bank risk management, market risk is relevant for positions included in the banks' trading book as well as in

4 KB (657 words) - 16:14, 11 March 2024
Single Obligor Exposure
...ng systems of financial services firms that do not automatically aggregate exposures booked in different business lines. The causes of such a disaggregated view The assessment of [[Name Concentration]] risk in the context of [[ICAAP]] requires the systematic identification of SOE.

1 KB (154 words) - 15:11, 22 January 2021
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
Correlation
...realizations. Its precise meaning and calculation varies depending on the risk area. ...orrelation is a measure of credit risk dependency between different credit exposures. It may refer to either [[Default Correlation]] or [[Loss Correlation]] and

1 KB (175 words) - 13:50, 16 April 2021
Shannon Index
...tive portfolio shares of the exposures, times the natural logarithm of the exposures. More precisely, if we have n exposures <math>E_i</math> summing up to a total exposure of

1 KB (161 words) - 00:22, 18 June 2021
Geographic Concentration Measurement
...in question is a single country we have a more specific form of [[Country Risk Concentration]] Measurement. ...sses which can actually differentiate the effective contribution to credit risk

3 KB (374 words) - 18:46, 16 November 2019
Credit Exposures
...d standardization of the concept of exposure as it became one of the key [[Risk Parameters]] identified and required for implementation of the [[Basel II]] [[Category:Credit Risk]]

442 bytes (66 words) - 00:05, 28 January 2020
Credit Portfolio Management
...characteristic of credit portfolio management activities is that [[Credit Risk]] is assessed and managed not on a standalone basis but in an aggregate, po ** engages in the [[Credit Risk Transfer | distribution of credit risk]] to other investors via [[Securitization]], outright sales or credit deriv

7 KB (943 words) - 14:41, 15 November 2021
Loss Given Default
LGD is complementary to [[Recovery Risk | ''Recovery Risk'']], the possibility that in case of default the recovered amount may be le ...ed for establishing [[Capital adequacy | capital requirements]] for Credit Risk in the Basel II (and subsequent) regulatory frameworks. A conservatively es

4 KB (552 words) - 09:55, 14 May 2021
Limit framework
...assume quantifiable risks) to govern in a quantitative manner the maximum risk [[Exposure]] permitted for an individual, trading desk, business line etc. ...| risk limits]] defined by the framework is consistent with the degree of risk the firm is willing to accept while pursuing its business model

6 KB (837 words) - 13:38, 5 February 2020
Hannah Kay Index
...Index''' is defined as the sum product of relative portfolio shares of the exposures raised to a desired exponent (power). More precisely, if we have n exposures <math>E_i</math> summing up to a total exposure of

1 KB (192 words) - 14:08, 16 April 2020
Exposure At Default
...ion of the [[Basel II]] framework where it plays the role of one the key [[Risk Parameters]] used to determine capital requirements For credit products with uncertain exposure amounts the risk drivers are typically one of the two following:

1 KB (173 words) - 19:57, 24 October 2018
Political Risk
...rse to the firm's business operations. In extreme manifestations political risk may include revolution, war or other significant change in the policy stanc == Political Risk Manifestations ==

4 KB (500 words) - 15:43, 8 November 2021
Expected Credit Loss
...a collective ''portfolio level'' (grouped exposures based on shared credit risk characteristics) ...losses is updated at ''each reporting date'' to reflect changes in credit risk since initial recognition and, consequently, more timely information is pro

3 KB (453 words) - 17:42, 18 February 2022
Past Due
...03: Prudential treatment of problem assets - definitions of non-performing exposures and forbearance</ref> [[Category:Credit Risk‏‎]]

810 bytes (119 words) - 14:10, 8 October 2018
Atkinson Index
...purpose of measuring credit portfolio or market portfolio [[Concentration Risk]], income inequality or diversity, the '''Atkinson Index''' is a parametric If we have n exposures (alternatively values / income measurements) <math>E_i</math> summing up to

2 KB (245 words) - 13:45, 16 April 2020
Generalized Entropy Index
and the fractional exposures <math>w_i</math> are defined as * the Python library [https://github.com/open-risk/concentrationMetrics Concentration Library]

1 KB (202 words) - 00:21, 18 June 2021
Kolm Index
If we have n exposures <math>E_i</math> summing up to a total exposure of and the fractional exposures <math>w_i</math> are defined as

1 KB (172 words) - 16:05, 18 June 2021
AQR Manual
...e comprehensive assessment, which aims to enhance the transparency of bank exposures by reviewing the quality of banks’ assets, including the adequacy of asse [https://www.openriskmanagement.com Open Risk] developed and put in the public domain an online ([http://en.wikipedia.org

2 KB (330 words) - 13:40, 8 February 2022
Financial Difficulty
...03: Prudential treatment of problem assets - definitions of non-performing exposures and forbearance</ref>. * A counterparty is currently [[Past Due]] on any of its material exposures

3 KB (400 words) - 14:15, 4 October 2021
Credit Risk Management
...esses and management roles that aim to underpin the management of [[Credit Risk]], most typically (but not necessarily) in the context a [[Credit Portfolio Credit Risk Management is a superset of [[Credit Portfolio Management]], with the later

7 KB (914 words) - 16:31, 3 June 2020
Restructuring
...anks or other financial institutions that handle (restructure) problematic exposures, typically by modifying the terms of loan contracts. * Policies for restructuring of distressed exposures for each segment, including: range of treatments; prioritisation of treatme

4 KB (520 words) - 11:13, 31 March 2021
Delinquency
...03: Prudential treatment of problem assets - definitions of non-performing exposures and forbearance</ref> ...old used in the Basel II regulatory framework for retail and public sector exposures

4 KB (582 words) - 15:14, 15 June 2019
NPL Glossary
...03: Prudential treatment of problem assets - definitions of non-performing exposures and forbearance</ref>, the World Bank study<ref>Loan classification and pro | Informal term classifying relationships in the context of credit risk analysis / modelling

6 KB (800 words) - 11:19, 28 September 2021
Financial Guarantee
...ofile of the debtor. The manner by which this is reflected in accounting, risk management and regulatory frameworks varies significantly. ...of the institution (third-party support) may be taken into account in the risk assessment of that obligor. This policy should meet the following criteria

6 KB (895 words) - 14:41, 6 September 2020
FVOCI
=== Market Risk === ...nting relationship. This includes for example sovereign and securitisation exposures.

5 KB (687 words) - 09:56, 9 June 2020
Risk Data Aggregation
...uirements<ref>BCBS 239, Principles for effective risk data aggregation and risk reporting, 2013</ref> ...evaluate its performance against [[Risk Appetite]]. It presupposes that [[Risk Data Integration]], that is available at the technical level

881 bytes (118 words) - 13:42, 20 October 2019
Sound Management of Operational Risk
...egulators to establish sound practices for the management of [[Operational Risk]]. ...sponsibility of the board of directors to ensure that a strong operational risk management culture exists throughout the whole organisation

4 KB (506 words) - 13:06, 2 April 2019
Loss Correlation
* Direct dependencies between exposures * Common [[Risk Factor | risk factors]] (economic environrment, market levels etc.)

367 bytes (40 words) - 11:23, 28 September 2021
Temporary Allowance Adjustments
...| risk factors]] have not been considered in the [[Credit Rating | credit risk rating]] and modelling process as of the reporting date. ...of lending exposures, or when lending exposures within a group of lending exposures react to factors or events differently than initially expected. For example

2 KB (298 words) - 15:14, 18 May 2017
Scenario Analysis
...he context of [[Risk Management]] to produce a forward-looking view of the risk (and opportunities) facing an organization. Scenario analysis is a process === Usage in Credit Risk ===

3 KB (372 words) - 16:16, 11 May 2023
Concentration Risk
...in its various manifestations is typically one of the key objectives of [[Risk Management]] or [[Portfolio Management]]. === Concentration Risk Taxonomy ===

4 KB (601 words) - 11:01, 24 September 2020
Total Eligibile Provisions
...country risk provisions or [[General Provisions]]) that are attributed to exposures treated under the IRB approach. In addition, total eligible provisions may Specific provisions set aside against equity and securitisation exposures must not be included in total eligible provisions.

2 KB (229 words) - 14:11, 8 October 2018
Regulatory Expected Loss
...ociated with equity exposures under the PD/LGD approach and securitisation exposures) to obtain a total EL amount. ...bank’s best estimate of expected loss on the asset represents the [[NPL Risk Capital | capital requirement]] for that asset

2 KB (266 words) - 10:18, 14 May 2021
Cure Rate
...e context of [[Non-Performing Loan]] management and [[Loss Given Default]] risk assessment. It denotes the percentage of loans that previously presented ar ...ge 1 Asset]] or a [[Stage 2 Asset]], depending on the assessment of credit risk taking the entire history into account. More specifically the standard stip

7 KB (1,026 words) - 12:28, 9 June 2021
Perfect Foresight Assumption
...s must be included in the LGD calculation for Stage 1, Stage 2 and Stage 3 exposures in year 1. Future property prices for realising collateral will evolve as * This methodological assumption is part of the EBA Credit risk: Questions for participating banks

2 KB (271 words) - 14:59, 23 June 2017
NPL Strategy
## [[NPL Risk Factors | external factors]] impacting NPL workout and ## [[NPL Risk Capital | capital implications]]

4 KB (481 words) - 12:40, 23 January 2021
NPL Risk Factors
'''NPL Risk Factors''' denotes, in broad terms, the risk factors affecting the eventual performance of [[Non-Performing Loan]] portf ...ors may be common with those affecting the [[Credit Risk]] of ''performing exposures'', whereas other might be specific to credit obligations that are already n

4 KB (608 words) - 16:57, 1 September 2020
Loss Given Loss
'''Loss Given Loss''' (LGL) is a [[Risk Parameters | Risk Parameter]] that captures the uncertainty about the actual loss that will b ...tances where there is a non-negligible probability that problematic credit exposures will return to performing status. In other words in circumstances where the

1 KB (201 words) - 16:48, 1 September 2020
Troubled Debt Restructuring
Under US GAAP, forborne exposures as defined by<ref>BIS-D403, Prudential treatment of problem assets, Apr 201 [[Category:NPL Risk Management]]

1 KB (202 words) - 21:39, 8 November 2019
Default Rate
'''Default Rate''' (also ''Default Frequency'') in the context of [[Credit Risk]] management is an empirically measured [[Credit Event]] realization rate. * 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
Credit Rating System
...a rating system is to rank borrowers systematically with meaningful credit risk quality differentiation * A [[Credit Rating Scale]], a limited set of states to which all exposures are classified

3 KB (358 words) - 16:06, 22 February 2021
Expected Loss Best Estimate
'''Expected Loss Best Estimate''' (EL<sub>BE</sub>) is a regulatory term and risk parameter, denoting the credit loss expectation on defaulted assets<ref>EBA ...d use the same estimation methods used for estimating LGD on non-defaulted exposures as they are in fact part of the LGD model

4 KB (570 words) - 09:59, 14 May 2021
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 (1,337 words) - 00:44, 14 November 2019
Conservative Constraints in Stress Testing
=== Credit Risk === ...EBA ITS 2, defaulted exposures as per Article 178 of the CRR, or impaired exposures as per the applicable accounting standard shall be classified as S3 under I

4 KB (605 words) - 18:39, 4 May 2018
EBA 2018 Stress Test Definitions
=== Risk Parameters and Other Variables === Risk Parameters are defined first, to enable expressing subsequent definitions

17 KB (2,890 words) - 23:45, 4 May 2018
Credit Risk Monitoring
...Risk]] to assess the ongoing development of the borrower (obligor) credit risk profile ...a Infrastructure]], to ensure that information regarding their credit risk exposures, borrowers and collateral is relevant and up to date, and that the external

6 KB (870 words) - 18:10, 4 June 2020
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 || Consistent with [[Credit Risk Management]] practice plus rebuttable presumption that default does not occ

2 KB (250 words) - 14:14, 29 March 2021
Risk Measure
...[[Risk Metric]] derived from a [[Risk Distribution]] (a representation of risk in terms of a [[Random Variable]]). ...ny mapping <math>\rho : V \rightarrow R \cup \{\infty\}</math> is called a risk measure.

3 KB (521 words) - 13:52, 16 April 2021
EBA 2018 Credit Risk Stress Test
...xpected credit losses. This means that ECL for initial Stage 2 and Stage 3 exposures will be calculated once at the beginning of each scenario. ECL does not cha * For exposures in S2 and S3, banks are expected to provide stressed lifetime expected loss

12 KB (1,891 words) - 18:43, 4 May 2018
EBA 2018 Net Interest Income Stress Test
...e of the repricing of their portfolio, together with their projections for risk-free reference rates and margins both under the baseline and the adverse sc * The risk related to a change in the general ‘risk-free’ yield curves to be captured via the changes in the reference rate c

4 KB (582 words) - 16:51, 4 May 2018
Sovereign Credit Rating
...with the liabilities of Sovereign entities, thus a measure of [[Sovereign Risk]] * Internal policies, risk appetite, limits, credit risk assessment and other risk management applications

1 KB (191 words) - 12:27, 22 February 2021
Credit Risk Modelling
...ent of [[Credit Risk]]. Credt risk modelling is a ubset of [[Quantitative Risk Management]]. ...odelling domain can be subdivided in two major branches depending on the [[Risk Aggregation]] level:

2 KB (208 words) - 14:27, 3 June 2020
Risk Diversification
...in the same way). In a broad sense it is the opposite of [[Concentration Risk]]. ...likelihood of a given risk materializing given the realization of another risk.

5 KB (678 words) - 16:31, 25 September 2021
LGD In-Default
Loss given default for defaulted exposures as referred to in Article 181(1)(h) of Regulation (EU) No 575/2013. ...d use the same estimation methods used for estimating LGD on non-defaulted exposures as they are in fact part of the LGD model.

3 KB (422 words) - 10:16, 14 May 2021
Berger-Parker Index
...'' for the purpose of measuring credit portfolio or market [[Concentration Risk]], diversity or inequality metrics the Berger-Parker Index is a measure of ...ion ratio is simply the percentage of portfolio exposure by the n largest exposures.

2 KB (279 words) - 13:43, 16 April 2020
IFRS 9 Modeling Challenges
...regulatory guidance on the subject is provided in <ref>Guidance on credit risk and accounting for expected credit losses BIS-D350, Dec 2015</ref> and <re | Adequate selection of Credit Risk drivers, including impact of underwriting standards || ||

2 KB (295 words) - 16:51, 1 September 2020
EBA NPL Template
institutions in order to provide detailed information on their credit exposures in the banking book to credit purchasers for the analysis, financial due di ...heet versions of the current proposed templates are [https://eba.europa.eu/risk-analysis-and-data/npls available here].

6 KB (840 words) - 16:20, 3 February 2023
Non-Performing Loan Valuation
NPL assets are [[Liquidity Risk | illiquid assets]] held by banks or other credit granting institutions as ...ts that are formalized into ''subjective'' projections of how NPL specific risk factors will materialize and therefore affect the realisation of contractua

16 KB (2,148 words) - 11:27, 18 October 2020
Credit Portfolio Information
...collects and / or produces about its portfolio of credit assets or credit exposures. * [[Risk Limit]] exceptions

2 KB (258 words) - 11:14, 15 June 2019
Credit Origination
...or other credit granting institution approves for a new credit product or exposures (such as a new loan, mortgage, credit card etc) and performs initial proces ...the credit origination process may have significant repercussions for the risk profile of such liabilities

3 KB (387 words) - 18:15, 2 March 2023
Downturn LGD
...n LGD''' is a specific measure of [[Loss Given Default]] that is used as [[Risk Parameter]] in the Basel II/III regulatory framework for banks ...subject to specific requirements<ref>ECB guide to internal models - Credit Risk, Sep 2018</ref>

6 KB (861 words) - 18:45, 7 November 2019
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
FX Lending Risk
'''FX Lending Risk''' denotes the specific combined credit and market risk sensitivity of lending products that belong the [[FX Lending]] category (l == Risk Factors ==

3 KB (512 words) - 13:04, 16 April 2021
Hoover Index
More precisely, if we have n exposures <math>E_i</math> summing up to a total exposure of and fractional exposures <math>w_i</math> are defined as

1 KB (180 words) - 14:09, 16 April 2020
Ellison-Glaeser Index
...ps are adjusted versus the original publication to typical [[Concentration Risk]] applications) === Exposures ===

4 KB (620 words) - 16:59, 27 January 2020
Portfolio Homogeneity
* A portfolio with homogeneous underlying exposures that exhibit similar risk profiles and cash flow characteristics should allow investors to assess the ...ifferent risk profiles and cash flow characteristics when carrying out the risk analysis and due diligence.

2 KB (286 words) - 12:15, 10 June 2021
Independent Risk Management
...he business''). Organizationally it falls under the direction of a [[Chief Risk Officer]] (CRO), a senior position with sufficient stature, independence, r ...s '''second line of defence'''. The function is responsible for overseeing risk-taking activities across the enterprise and should have authority within th

3 KB (366 words) - 23:04, 25 November 2020
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
Sources of Uncertainty
* Uncertain Credit Exposures [[Risk Factor]] variables (risk drivers), which in turn are classified as

2 KB (348 words) - 18:14, 24 October 2018
Data Maintenance Requirements
...ect and store all relevant data to provide effective support to its credit risk measurement and management processes. In order to comply with these require ...e grouped along three elements<ref>ECB guide to internal models − Credit risk, Sep 2018</ref>:

1 KB (175 words) - 22:44, 18 November 2018
External Risk Data
...sk Data''' are any data sets used by an organization for the purposes of [[Risk Management]] without having been produced internally by the organization. ...to externally procured datasets<ref>ECB guide to internal models - Credit Risk, Sep 2018</ref>

4 KB (542 words) - 21:01, 11 September 2020
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
Credit Rating Philosophy
...ulted exposures, Nov 2017</ref>,<ref>ECB guide to internal models - Credit Risk, Sep 2018</ref> : ...igors or exposures to grades or pools (‘rating assignment’) and of the risk parameter estimates that result from the method used.

5 KB (700 words) - 10:27, 22 February 2021
Shadow Rating
* when an internal model of a bank or other credit risk bearing firm targets external ratings provided by an [[External Credit Asse ...al rating approach that selects and weighs the risk drivers to be used for risk differentiation purposes by identifying the main factors that explain exter

4 KB (539 words) - 19:21, 8 February 2021
Long-run Default Rate
...Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures, Nov 2017</ref> ...o reflect the likely range of variability of default rates of that type of exposures as referred to in Article 49(3) of the RTS on IRB assessment methodology.

3 KB (442 words) - 15:28, 19 November 2018
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
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
ESMA Securitisation Template
...duce draft RTS and ITS specifying information on securitisation underlying exposures and investor reports as well as standardised templates for the submission o ...esidential Real Estate || [[ESMA Residential Real Estate Exposures Table | Exposures ]] || [[ESMA Residential Real Estate Collateral Table | Collateral ]] ||

3 KB (337 words) - 21:12, 12 February 2019
ESMA Residential Real Estate.Exposures.Credit Impaired Obligor
== Definition of ESMA Residential Real Estate.Exposures.Credit Impaired Obligor == <b>ESMA Residential Real Estate.Exposures.Credit Impaired Obligor</b>

4 KB (539 words) - 20:14, 12 February 2019