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Balance Sheet Risks
...organization. It is a type of [[:Category:Contractual Risks | Contractual Risk]] [[Category:Risk Taxonomy]]

312 bytes (46 words) - 15:02, 5 June 2017
The Zen of Modeling
=== Risk modeling is as much art as it is science === The Zen of Modeling aims to capture the struggle for risk modelling beauty

1 KB (214 words) - 12:53, 30 May 2017
Value at Risk
...isk Measure]] that aims to capture the downside [[Economic Value | value]] risk of a Market [[Portfolio]] (a collection of financial instruments that can b VaR is a quantile [[Risk Measure]] and requires the specification of:

1 KB (168 words) - 11:34, 18 March 2024
Credit Scorecard
...a type of [[Risk Model]] used in the classification (scoring) of [[Credit Risk]] for individuals, corporations or other legal entities. The scorecard outp ...stem]], a framework that consistently classifies and quantifies all credit risk aspects of a portfolio. Depending on the type of scorecard, outputs may be

3 KB (467 words) - 21:00, 11 September 2020
EBA 2018 EU-Wide Stress Test
...internally consistent and relevant scenarios, and a set of templates that capture starting point data and stress test results to allow a rigorous assessment 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 f

4 KB (678 words) - 14:10, 17 February 2021
Rating Momentum
..., whereby the ''current'' rating assigned to a [[Borrower]] does not fully capture the likelihood of transitions to other states. ...an identical rating for two different borrowers may imply different likely risk profiles.

736 bytes (101 words) - 18:56, 21 December 2020
Transition Matrix
...ects related to the use of the concept in the specific context of [[Credit Risk]] are discussed in the [[Rating Migration Matrix]] entry. ...n matrices can vary significantly in the type of transition phenomena they capture. Some variations can be captured in well defined mathematical conditions sa

6 KB (872 words) - 18:45, 21 December 2020
Credit Risk Sensitivity to Macroeconomic Factors
== Credit Risk Sensitivity to Macroeconomic Factors == ...e of credit contracts. The relationship of macroeconomic drivers to credit risk is important in specific contexts such as [[Bank Stress Testing]] or [[IFRS

6 KB (672 words) - 20:33, 7 November 2019
Model Monitoring Report
...arly by a competent authority which aims to capture the performance of a [[Risk Model]] [[Category:Model Risk]]

786 bytes (106 words) - 21:07, 11 September 2020
Corporate Governance
...cts the ability of the firm the identify, measure and manage the various [[Risk | risks]] it is facing. ...chical levels and with different mandates. This category includes internal risk management and internal audit functions)

2 KB (333 words) - 11:20, 3 June 2020
Credit Portfolio Information
* [[Risk Limit]] exceptions * Inaccurate underwriting exception capture

2 KB (258 words) - 11:14, 15 June 2019
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
Credit Curve
...[[Credit Risk]] metrics ([[Risk Rarameters]]) that provide quantitative [[Risk Measure | estimates]] capturing possible legal entity [[Credit Event]] ove * A credit curve may capture complext / composite [[Risk Premium | risk premia]] (e.g. [[Expected Credit Loss]]) in which case its relationship wit

2 KB (219 words) - 11:03, 31 March 2021
Risk Horizon
...] 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 (467 words) - 19:42, 24 October 2018
Threshold Models
.... This random variable (sometimes denoted [[Distance to Default]]) aims to capture and represent [[Creditworthiness]]. Threshold Models have affinity with [[S [[Category:Credit Risk Modelling]]

6 KB (1,061 words) - 19:01, 4 September 2020
Conditional Transition Matrix
Model construction varies depending on the context. In [[Credit Risk Modelling]] context there are two broad categories * Fitting Markov Chain models to market data that capture transition rates

4 KB (621 words) - 15:14, 31 October 2018
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 Scoring with Python
[[Risk Data Review]] is a collection of procedures that aim to [[Model Validation]] of a Credit Scorecard aims to contain the [[Model Risk]] associated with using the scorecard (the potential for error in the devel

8 KB (1,121 words) - 13:48, 21 September 2020
Credit History
...in a [[Credit Report]] consisting of information provided by lenders that capture relevant behavioral data points. [[Category:Credit Risk Analysis]]

357 bytes (50 words) - 14:39, 1 September 2020
ESMA Consumer Exposures Table
(c) has a credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher tha This is not intended to capture instances where the obligor may renegotiate an increased underlying exposur

24 KB (3,380 words) - 21:23, 12 February 2019