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Best Practices in Credit Portfolio Management
** Objective Risk Based Analytical Framework ** Management of Inherent Model Risk

12 KB (1,494 words) - 20:11, 11 March 2024
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
Risk Management Heroes
== Risk Management Heroes == ...current figures that have had a significant impact in the development of [[Risk Management]] as a discipline. Their work has typically been in the context

7 KB (982 words) - 13:03, 12 October 2021
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
Data Quality Reporting
...ts around data quality reporting<ref>ECB guide to internal models - Credit Risk, Sep 2018</ref> ...roperly. To accomplish this, a formal reporting process on the quality of risk data should be in place with the objective of improving the quality of data

3 KB (421 words) - 00:08, 19 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
Vendor Risk Model
'''Vendor Risk Models''' are any risk quantification systems (including data and algorithms) that are in use by a firm / organiz ...institutions are subject to additional requirements in relation to vended risk models

1 KB (165 words) - 14:31, 19 November 2019
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
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
Catalog of Loss Given Default Models
* references with [[Open Source Risk Management Software | open source implementations]] ...possible quantification approaches, depending on the nature of the credit risk, the data and expertise available etc. A classification of typical LGD Mode

6 KB (778 words) - 12:39, 16 September 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
Risk
...that ''risk is the effect of uncertainty on objectives''. In simple terms, Risk denotes the potential for developments (future states of the world) that ta ...al person) or a [[Legal Entity]]. This highlights the subjective nature of risk (it is defined from the point of view of a specific entity).

3 KB (438 words) - 21:45, 3 May 2023
Human Judgement
...ment''' is used in the assignment of exposures to the grades or pools of a risk model Institutions may use human judgement in the application of risk model in the following cases:

5 KB (744 words) - 14:41, 6 September 2020
SME Credit Risk Literature
== Literature List of SME Credit Risk == ...terature, with a focus on methodologies for the quantification of [[Credit Risk]] at the various stages of [[SME Lending]].

8 KB (1,007 words) - 13:00, 7 September 2020
Risk versus Uncertainty
== Risk versus Uncertainty == ...running debate about the nature of randomness and the ability to manage [[Risk]]

920 bytes (134 words) - 12:42, 7 August 2019
Risk Management Wisdom
== Risk Management Wisdom == <li>Financial risk model complexity and quality are not necessarily correlated. But complexity

3 KB (490 words) - 14:48, 24 April 2024
Prepayment Risk Model
...loan or other fixed income portfolios and thereby help manage [[Prepayment Risk]]. ...ted parameters are [[Risk Neutral]] and therefore not directly usable in [[Risk Measurement]].

2 KB (321 words) - 17:40, 1 December 2022
Climate Risk Concentration
...of climate change. Climate risk concentration is a form of [[Concentration Risk]]. ...f [[Risk]], they are rather new (and more sharply defined) [[Risk Factor | risk factors]].

5 KB (689 words) - 18:02, 5 February 2024
Existential Risk
An '''Existential Risk''' is a [[Risk Event]] whose severity is so extreme that it threatens the very existence o * Existential risks are generally the extreme [[Tail Risk]] of known phenomena and risks, where the extrapolation to much higher seve

3 KB (436 words) - 10:04, 18 March 2024
Risk Management Koans
== Collection of Risk Management Koans == * Student: Master, what is the risk of the situation

1 KB (212 words) - 11:28, 19 April 2020