Search results

Create the page "Capital Measurement" on this wiki! See also the search results found.

Risk Aggregation
'''Risk Aggregation''' denotes a stage of the [[Risk Measurement]] process where different risks are considered jointly in order to obtain a ...a review of firms’ internal risk aggregation methods under the Internal Capital Adequacy Assessment Process ([[ICAAP]]) required for Pillar 2 of the Basel

1 KB (164 words) - 19:25, 5 October 2019
Concentration Risk
...ive method, which is applied automatically and translated into a Pillar II capital expectation ...that set Pillar II capital expectations, only a few set explicit Pillar II capital expectations for concentration risk. It is more common for supervisors to c

4 KB (601 words) - 11:01, 24 September 2020
Credit Portfolio Model
* the credit risk measurement infrastructure that must be in place * the linkage of the framework to liabilities (ALM / Capital Management)

3 KB (429 words) - 14:55, 23 June 2020
General Provisions
...identified<ref>BCBS, International Convergence of Capital Measurement and Capital Standards, 2006</ref> == Capital Treatment under Basel II/III ==

1 KB (201 words) - 14:07, 8 October 2018
Total Eligibile Provisions
...ted assets.<ref>BCBS, International Convergence of Capital Measurement and Capital Standards, 2006</ref> == Capital Treatment under Basel II/III ==

2 KB (229 words) - 14:11, 8 October 2018
Regulatory Expected Loss
...ry standard<ref>BCBS, International Convergence of Capital Measurement and Capital Standards, 2006</ref>. It denotes the ratio of the amount expected to be lo ...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
Specific Provisions
...edit assets<ref>BCBS, International Convergence of Capital Measurement and Capital Standards, 2006</ref>

406 bytes (48 words) - 14:11, 8 October 2018
1-year Probability of Default
...ry standard<ref>BCBS, International Convergence of Capital Measurement and Capital Standards, 2006</ref>

376 bytes (50 words) - 17:07, 2 June 2017
Cure Rate
...overall [[Loss Allowance]] calculation (which also affects the [[NPL Risk Capital]] calculation). ...re rate is defined with respect to specific [[Default Definition]], so its measurement will depend on the choice made

7 KB (1,026 words) - 12:28, 9 June 2021
IFRS 9 Model Validation
...stablish the necessary steps to ensure that the credit risk assessment and measurement models are able to generate accurate, consistent and unbiased predictive es ...measurement of ECL allowances for accounting purposes, stress testing and capital allocation.

6 KB (893 words) - 12:53, 16 September 2021
Current Expected Credit Loss
* Embedding forward looking risk assessments in the measurement (assessment) of the firm's financial condition ...ls, banks solely using the standardised approach (SA) to determining their capital requirements may need to develop models from scratch

4 KB (582 words) - 11:15, 15 November 2018
Default Rate
== Measurement Choices == ...of factors ([[Competing Risks]]) may modify the number of entities in the measurement portfolio due to causes unrelated to credit risk

11 KB (1,612 words) - 14:40, 6 September 2020
Non-Performing Loan Valuation
|Collateral and other credit enhancements and the measurement of ECL |Inclusion of cash flows expected from the sale on default of a loan in the measurement of ECL

16 KB (2,148 words) - 11:27, 18 October 2020
Risk-Adjusted Return on Capital
...rance etc). RAROC is defined as the ratio of expected return to [[Economic Capital]]

569 bytes (73 words) - 16:37, 1 August 2018
Independent Risk Management
...sks and measuring the bank’s exposure to them (a process known as [[Risk Measurement]] ...k appetite, risk limits and corresponding capital or liquidity needs (ie [[Capital Planning]]);

3 KB (366 words) - 23:04, 25 November 2020
External Credit Assessment Institution
...recognized in the European Union for the purposes of Article 113(1) of the Capital Requirements Directive (CRR) | [https://www.ciratings.com Capital Intelligence Ratings Ltd] || Capital Intelligence Ratings (CI Ratings) is an international credit rating agency

14 KB (2,064 words) - 22:31, 27 September 2021
How to Estimate Lifetime PD from 12 month PD
...will typically be the case where such an estimate is used for [[Regulatory Capital]] purposes. Re-using estimates or data / models would thus both be efficien [[Category:Measurement]]

3 KB (469 words) - 17:56, 5 June 2019
SME Credit Risk Literature
| Random Survival Forests Models for SME Credit Risk Measurement ...|| Germany, France || Default Rate Volatility, Correlations || Regulatory Capital

8 KB (1,007 words) - 13:00, 7 September 2020
Capital Labor Energy Materials Multifactor Productivity
'''Capital Labor Energy Materials Multifactor Productivity'''. A ratio of a quantity i ...iciency change, economies of scale, variations in capacity utilisation and measurement errors.

1 KB (157 words) - 11:19, 8 October 2019
Capital Labor Multifactor Productivity Value Added
...a quantity index of value added to a quantity index of combined labor and capital input ...nomies of scale, efficiency change, variations in capacity utilisation and measurement errors.

1 KB (194 words) - 11:19, 8 October 2019