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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