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• 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
• 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
• Risk-weighted asset
  '''Risk Weighted Assets''' (RWA) is terminology introduced by the [[Basel II]] and subsequent regul
  158 bytes (18 words) - 11:40, 26 April 2021
• IFRS 9 Modeling Resources
  ...ginality, accuracy or completeness of said resources for any purpose. Open Risk is not affiliated with IASB/FASB. |Derecognition of Modified Financial Assets
  24 KB (3,113 words) - 16:52, 1 September 2020
• IFRS 9 Glossary
  | Probability-weighted (average) estimate of credit losses. Difference in the present value of exp ...nce between that initial amount and the maturity amount and, for financial assets, adjusted for any loss allowance
  10 KB (1,464 words) - 11:38, 25 September 2020
• Lifetime PD
  ...g a lifetime PD measure as it applies to a very large variety of financial assets. * the definition of [[Lifetime Expected Credit Losses]] as probability weighted amounts
  2 KB (319 words) - 19:10, 21 December 2020
• IFRS 9 versus CECL
  ...age approach: lifetime expected credit losses recognized only where credit risk has increased significantly since initial recognition ...a “significant increase in credit risk”) and 3 (“impaired financial assets”)
  6 KB (871 words) - 11:59, 27 March 2019
• General Provisions
  ...identified deterioration in the value of any asset or group of subsets of assets, they are not freely available to meet unidentified losses which may subseq ...hted assets to the extent a bank uses the Standardised Approach for credit risk; and
  1 KB (201 words) - 14:07, 8 October 2018
• Total Eligibile Provisions
  ...addition, total eligible provisions may include any discounts on defaulted assets.<ref>BCBS, International Convergence of Capital Measurement and Capital Sta ...fference in Tier 2 capital up to a maximum of 0.6% of credit risk-weighted assets. At national discretion, a limit lower than 0.6% may be applied
  2 KB (229 words) - 14:11, 8 October 2018
• EBA 2018 EU-Wide Stress Test
  ...ion relevant for any entity applying stress testing in tandem with valuing assets under an [[Expected Credit Loss]] approach. 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
• Default Rate
  ...it Event]] realization rate. It is the rate at which loans or other credit assets in a pool default. * 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
• EBA 2018 Credit Risk Stress Test
  * A common definition of S3 assets as non-performing exposures should be applied for the projections ...and fair value positions (FVOCI and FVPL) which are subject to the market risk approach for the estimation of the P&L effect (or through capital, via OCI,
  12 KB (1,891 words) - 18:43, 4 May 2018
• Best Practices in Credit Portfolio Management
  ** Objective Risk Based Analytical Framework ** Enable Scenario Analysis and Stress Testing of Credit Assets
  12 KB (1,494 words) - 20:11, 11 March 2024
• Credit Pricing
  ...d credit risk. This approach is usually termed [[Risk Based Pricing]] (non-risk based pricing policies have also been used historically) ...that may involve other costs and risk elements (funding costs, pre-payment risk, other operational costs). A profit margin (or discount) will connect the e
  6 KB (812 words) - 14:41, 1 September 2020
• 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
• BCBS 240
  ...assessment programme (RCAP) - Analysis of risk-weighted assets for market risk''. ...cy of risk-weighted assets for market risk. This analysis of risk-weighted assets in the trading book is part of the wider Regulatory Consistency Assessment
  3 KB (400 words) - 11:45, 26 March 2021
• Prompt Corrective Action Framework
  * asset quality – non-performing assets (net NPA ratio) * profitability (return on assets) and
  2 KB (286 words) - 15:05, 5 February 2020
• BCBS D337
  ...Supervision]] on October 2015 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ...Programme (RCAP) - Report on risk-weighted assets for counterparty credit risk (CCR)''.
  3 KB (398 words) - 11:47, 26 March 2021
• BCBS 107
  ...r improving capital regulation to take into account changes in banking and risk management practices while at the same time preserving the benefits of a fr ...ucture of the 1996 Market Risk Amendment regarding the treatment of market risk; and the definition of eligible capital.</p>
  20 KB (3,034 words) - 11:39, 26 March 2021
• BCBS 118
  ...r improving capital regulation to take into account changes in banking and risk management practices while at the same time preserving the benefits of a fr ...ucture of the 1996 Market Risk Amendment regarding the treatment of market risk; and the definition of eligible capital.</p>
  19 KB (2,931 words) - 12:29, 26 March 2021
• BCBS 173
  ...increase in bank's actual ratio of tangible common equity to risk-weighted assets will lead to a decline in the level of GDP relative to its baseline path by ...y Risk]], [[Credit Risk]], [[Economic Cost]], [[Banking Crises]], [[Market Risk]]
  4 KB (626 words) - 11:44, 26 March 2021
• BCBS 180
  ...atio, as well as the regulatory buffers above the common equity and Tier 1 risk-based ratios. This top-down exercise was one of the inputs to the Committee ...I]], [[Bank Capital]], [[Calibration]], [[Minimum Requirements]], [[Market Risk]]
  3 KB (355 words) - 11:44, 26 March 2021
• BCBS 186
  ...sion]] on December 2010 in the [[:Category:BCBS Liquidity Risk | Liquidity Risk]] category. ...r risk coverage, the introduction of a leverage ratio as a backstop to the risk-based requirement, measures to promote the build up of capital that can be
  9 KB (1,436 words) - 11:44, 26 March 2021
• BCBS 187
  ...r risk coverage, the introduction of a leverage ratio as a backstop to the risk-based requirement, measures to promote the build up of capital that can be ...g the effect of all changes to the definition of capital and risk-weighted assets, as well as assuming full implementation as of 31 December 2009, the averag
  9 KB (1,415 words) - 11:44, 26 March 2021
• BCBS 188
  ...sion]] on December 2010 in the [[:Category:BCBS Liquidity Risk | Liquidity Risk]] category. ''Basel III: International framework for liquidity risk measurement, standards and monitoring''.
  9 KB (1,428 words) - 11:44, 26 March 2021
• BCBS 203
  ...concerns. The framework will also review the measurement of risk-weighted assets in both the banking book and the trading book to ensure consistency in prac The above regulatory document ''abstract'' is quoted verbatim in this Open Risk Manual entry and provided free of charge for the convenience of all interne
  3 KB (427 words) - 11:44, 26 March 2021
• BCBS 217
  ...rvision]] on April 2012 in the [[:Category:BCBS Liquidity Risk | Liquidity Risk]] category. ...11 and applying the changes to the definition of capital and risk-weighted assets, the average common equity Tier 1 capital ratio (CET1) of Group 1 banks was
  3 KB (531 words) - 11:44, 26 March 2021
• BCBS 220
  ...: ensuring the consistency of outcomes initially focusing on risk-weighted assets</li> ...round the end September 2012. The two Level 3 assessments of risk-weighted assets in the banking book and trading book will deliver initial findings to the B
  3 KB (360 words) - 11:44, 26 March 2021
• BCBS 231
  ...ion]] on September 2012 in the [[:Category:BCBS Liquidity Risk | Liquidity Risk]] category. ...11 and applying the changes to the definition of capital and risk-weighted assets, the average common equity Tier 1 capital ratio (CET1) of Group 1 banks was
  4 KB (566 words) - 11:45, 26 March 2021
• BCBS 234
  ...finalise their rules.The evaluation of banks' calculation of risk-weighted assets for banking and trading book exposures relevant for the implementation of t The above regulatory document ''abstract'' is quoted verbatim in this Open Risk Manual entry and provided free of charge for the convenience of all interne
  3 KB (368 words) - 11:45, 26 March 2021
• BCBS 243
  ...rvision]] on March 2013 in the [[:Category:BCBS Liquidity Risk | Liquidity Risk]] category. ...12 and applying the changes to the definition of capital and risk-weighted assets, the average Common Equity Tier 1 capital ratio (CET1) of Group 1 banks was
  4 KB (575 words) - 11:45, 26 March 2021
• BCBS 260
  ...he findings of the Committee's work on banks' calculation of risk-weighted assets.</p> The above regulatory document ''abstract'' is quoted verbatim in this Open Risk Manual entry and provided free of charge for the convenience of all interne
  2 KB (290 words) - 11:45, 26 March 2021
• BCBS 265
  ...ng Supervision]] on October 2013 in the [[:Category:BCBS Risk Management | Risk Management]] category. ''Fundamental review of the trading book: A revised market risk framework – consultative document''.
  5 KB (782 words) - 13:07, 16 April 2021
• BCBS 267
  ...ssment Programme (RCAP) - Second report on risk-weighted assets for market risk in the trading book''. ...rt on the regulatory consistency of risk-weighted assets (RWAs) for market risk in the trading book. This study is a part of its wider Regulatory Consisten
  3 KB (415 words) - 11:45, 26 March 2021
• BCBS 286
  ...ar 3 disclosure requirements, in particular those related to risk-weighted assets (RWA), have proven to be inadequate in a number of respects. A key shortcom ...stency in the way banks disclose information about risks, as well as their risk measurement and management. The aim of the revisions is to enable market pa
  3 KB (483 words) - 11:45, 26 March 2021
• BCBS D297
  ...dictions and has been found to be a driver of variability in risk-weighted assets. The Committee is therefore reviewing the use of national discretions with ...[[Variability]], [[Capital Framework]], [[National Discretions]], [[Credit Risk]]
  2 KB (298 words) - 11:47, 26 March 2021
• BCBS D298
  ...]] on November 2014 in the [[:Category:BCBS Operational Risk | Operational Risk]] category. ...rnal-model based estimates of credit, market and operational risk-weighted assets. The report also discusses the role of disclosure, implementation monitorin
  2 KB (276 words) - 11:47, 26 March 2021
• BCBS D309
  ...Supervision]] on January 2015 in the [[:Category:BCBS Market Risk | Market Risk]] category. ...market participants to better compare banks' disclosures of risk-weighted assets. They form part of the Committee's broader agenda to reform regulatory stan
  3 KB (455 words) - 11:47, 26 March 2021
• BCBS D344
  <li>enhancing risk capture;</li> <li>addressing liquidity risk; and</li>
  2 KB (311 words) - 11:47, 26 March 2021
• BCBS D346
  ...upervision]] on November 2015 in the [[:Category:BCBS Market Risk | Market Risk]] category. ...blished in October 2013 and December 2014. Further revisions to the market risk rules have since been made, and the Committee expects to finalise the stand
  3 KB (474 words) - 11:47, 26 March 2021
• BCBS D347
  ...upervision]] on December 2015 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ''Revisions to the Standardised Approach for credit risk - second consultative document''.
  4 KB (572 words) - 11:47, 26 March 2021
• BCBS D356
  <li>disclosure of hypothetical risk-weighted assets calculated based on the Basel framework's standardised approaches, and</li> <li>the proposed operational risk framework, and</li>
  3 KB (378 words) - 11:48, 26 March 2021
• BCBS D362
  ...g Supervision]] on March 2016 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ''Reducing variation in credit risk-weighted assets - constraints on the use of internal model approaches - consultative docume
  3 KB (465 words) - 11:48, 26 March 2021
• BCBS D363
  ...g Supervision]] on April 2016 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ...assessment programme (RCAP) - Analysis of risk-weighted assets for credit risk in the banking book''.
  3 KB (383 words) - 11:48, 26 March 2021
• BCBS D424
  ...upervision]] on December 2017 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ...al crisis, a wide range of stakeholders lost faith in banks' reported risk-weighted capital ratios. The Committee's own empirical analyses also highlighted a w
  3 KB (395 words) - 11:41, 26 April 2021
• BCBS D432
  ...]] on February 2018 in the [[:Category:BCBS Operational Risk | Operational Risk]] category. ...isk (including provisions for prudential treatment of assets), operational risk, the leverage ratio and credit valuation adjustment (CVA);</li>
  3 KB (415 words) - 11:48, 26 March 2021
• BCBS D455
  ...operational risk, the leverage ratio and credit valuation adjustment (CVA) risk;</li> <li>risk-weighted assets (RWAs) as calculated by the bank's internal models and according to the sta
  3 KB (470 words) - 11:49, 26 March 2021
• BCBS D484
  ''Revisions to market risk disclosure requirements''. ...reflect the changes introduced in Minimum capital requirements for market risk published in January 2019.</p>
  3 KB (414 words) - 11:49, 26 March 2021
• BCBS D485
  ...upervision]] on November 2019 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ...ires disclosure of sovereign exposures and the corresponding risk-weighted assets by individual currency.</p>
  3 KB (395 words) - 11:49, 26 March 2021
• BCBS D487
  ...pose additional capital requirements that directly address the build-up of risk in a specific sector. The impact of a SCCyB would depend on a bank's exposu The above regulatory document ''abstract'' is quoted verbatim in this Open Risk Manual entry and provided free of charge for the convenience of all interne
  3 KB (383 words) - 11:49, 26 March 2021
• BCBS WP37
  ...ng Supervision]] on June 2019 in the [[:Category:BCBS Market Risk | Market Risk]] category. ...risk-weighted ratio estimates, the definition of capital and risk-weighted assets (RWAs) can also differ (eg tangible common equity (TCE) or Tier 1 or common
  4 KB (599 words) - 11:50, 26 March 2021
• Portfolio Carbon Footprint
  ...aise a large number of positions to identify relative hot spots ([[Climate Risk Concentration]]). * Manage [[Carbon Price Risk]].
  2 KB (322 words) - 18:18, 5 February 2024