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Large Exposures Framework
The Large Exposures Framework is a BIS [[Limit framework]] for measuring and controlling large credit exposures proposed in March 20 The Basel Committee issued its first guidance on credit exposures in 1991.

4 KB (660 words) - 14:25, 27 May 2019
Exposure
...s for the assets, off-balance sheet items or other financial positions the framework seeks to limit or manage. The precise definition of the exposure relevant t ...arameters]] identified and required for implementation of the [[Basel II]] framework. This key metric is the so called [[Exposure At Default]].

4 KB (535 words) - 17:54, 10 August 2021
Basel II
...wing the [[Lessons Learned from the Great Financial Crisis]] replaced by [[Basel III]] [[category:BCBS Basel II]]

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AMA Models
...surement Approach]] (AMA), one of the possible options under the Basel<ref>Basel II Accord, 2006</ref> regulatory standard for the measurement and capitalis Under Basel II, regulated financial services firms are allowed (subject to approval) to

2 KB (238 words) - 14:34, 19 November 2019
Basel II Models
...Capital]] (Pillar I) calculations, first introduced under the [[Basel II]] framework. * [[Basel II Advanced IRB Capital Model]]

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Low Default Portfolios
...BCBS Newsletter 6, WP Validation of low-default portfolios in the Basel II Framework, September 2005 </ref>

1 KB (185 words) - 17:22, 3 November 2019
Basel II Advanced IRB Capital Model
...it refers to a set of credit risk measurement techniques proposed under [[Basel II]] [[capital adequacy]] rules for banking institutions. ...to. This characteristic has been deemed vital in order to make the new IRB framework applicable to a wider range of countries and institutions (as it considerab

7 KB (1,023 words) - 12:30, 26 March 2021
Risk Appetite
== Risk Appetite Framework == ...re "risk appetite" are usually denoted collectively as the [[Risk Appetite Framework]] (RAF).

3 KB (475 words) - 11:13, 16 November 2021
ICAAP
...egulated financial institutions in compliance with the Basel II regulatory framework. ...nd process was introduced through the set of regulatory reforms denoted as Basel II. Under [[Pillar II]], regulated financial firms are expected to establis

3 KB (369 words) - 12:39, 25 September 2020
ASRF model
...model) is a simplified [[Credit Portfolio]] risk model that underpins the Basel II capital requirements ...tional Convergence of Capital Measurement and Capital Standards: a Revised Framework (BCBS) (November 2005 Revision)], Paragraph 272</ref>

5 KB (696 words) - 12:30, 26 March 2021
Risk Taxonomy
...completeness in the coverage of risks (informing the organizational [[Risk Framework]]) * Help risk managers with [[Risk Identification]] by providing an analytic framework

8 KB (1,110 words) - 16:01, 16 January 2023
Basel I
...[Regulatory Framework]] applicable before the 2005/2006 introduction of ([[Basel II]]). [[category:BCBS Basel I]]

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Risk-weighted asset
...A) is terminology introduced by the [[Basel II]] and subsequent regulatory framework.

158 bytes (18 words) - 11:40, 26 April 2021
Credit Exposures
...arameters]] identified and required for implementation of the [[Basel II]] framework. This key metric is the so called [[Exposure At Default]].

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Credit Portfolio Management
* Help set and monitor [[Limit framework | Limits]] ...stment in measurement / algorithms relevant for CPM has been influenced by Basel II requirements which emphasized individual [[Risk Parameters]] over sector

7 KB (943 words) - 14:41, 15 November 2021
Internal Fraud
...egulatory frameworks worldwide ([[Basel II]]/[[Basel III]] standards). The Basel II definition states more specifically: ''Losses due to acts of a type inte == Basel Level 2 & 3 Event Type Classification ==

3 KB (365 words) - 14:13, 4 October 2021
Retail Deposits
* [http://www.bis.org/publ/bcbs188.pdf Basel III Liquidity Framework]

1 KB (167 words) - 17:09, 29 September 2021
External Fraud
...al Fraud is a recognized risk category in regulatory frameworks worldwide (Basel II/III standards). The precise Basel definition of external fraud reads: ''Losses due to acts of a type intended

3 KB (372 words) - 15:27, 8 February 2020
Employment Practices
...category in regulatory frameworks worldwide (Basel standards). The precise Basel II definition is: ''Losses arising from acts inconsistent with employment, == Basel Level 2 & 3 Event Type Classification ==

2 KB (270 words) - 11:49, 22 June 2021
Credit Cards
* For Basel II purposes Credit Cards classify as [[Revolving Credit]] ...ontract is a [[Natural Person]]. Correspondingly the obligations and legal framework that is applicable in such a case is determined by the laws governing the r

2 KB (317 words) - 15:14, 24 February 2020
Exposure At Default
...ric]] that has become prominent since the introduction of the [[Basel II]] framework where it plays the role of one the key [[Risk Parameters]] used to determin

1 KB (173 words) - 19:57, 24 October 2018
Business Execution
...egory in regulatory frameworks worldwide (Basel II standards). The precise Basel II definition is: "''Losses from failed transaction processing or process m == Basel Level 2 & 3 Event Type Classification ==

3 KB (348 words) - 14:09, 29 March 2021
Physical Damage
It is a recognized risk category in regulatory frameworks worldwide (Basel II standards). == Basel Level 2 & 3 Event Type Classification ==

2 KB (219 words) - 15:10, 10 August 2021
Business Disruption
...uption is a recognized risk category in regulatory frameworks worldwide ([[Basel II]] standards). === Basel Level 2 & 3 Event Type Classification ===

2 KB (294 words) - 14:44, 16 March 2020
Legal Risk
It is a recognized risk category in regulatory frameworks worldwide (Basel II/III standards) usually denoted as ''Clients, Products and Business Pract == Basel Level 2 & 3 Event Type Classification ==

2 KB (268 words) - 14:14, 4 October 2021
Fintech Risk Events
...y events according to the globally recognized bank regulatory framework ([[Basel II]]) as listed below: ...'' etc) as an operational risk event. This is because the operational risk framework is primarily meant to help manage / mitigate operational risks, whereas [[B

9 KB (1,186 words) - 12:35, 11 March 2024
IFRS 9 Modeling Resources
| Instructions for Basel III monitoring | Adapting Basel's A-IRB Models for IFRS 9 Purposes

24 KB (3,113 words) - 16:52, 1 September 2020
Non-Performing Exposure
...counting purpose''s, or as ''defaulted'' in accordance with the regulatory framework. ...defaulted'' under the Basel framework (eg paragraphs 452 and following the Basel II rules text and their subsequent amendments), where applicable

3 KB (365 words) - 12:30, 16 September 2021
Delinquency
* 180 days past due is the threshold used in the Basel II regulatory framework for retail and public sector exposures

4 KB (582 words) - 15:14, 15 June 2019
Open Source Risk Management Software
| Public Sector Credit Framework | A transparent peer-reviewed framework for pricing and risk analysis

4 KB (551 words) - 13:27, 28 June 2020
Sound Management of Operational Risk
...s a collection of principles that has been developed over the years by the Basel Committee on Banking Supervision<ref>BCBS, Principles for the Sound Managem ...fully integrated into the firms’s overall risk management processes. The Framework for operational risk management chosen by an individual firm will depend on

4 KB (506 words) - 13:06, 2 April 2019
Scenario Analysis
...tion with external data to evaluate exposures to high-severity events.<ref>Basel II Standard</ref>. Some design elements ...relation assumptions embedded in the bank’s operational risk measurement framework, in particular, to evaluate potential losses arising from multiple simultan

3 KB (372 words) - 16:16, 11 May 2023
ICAAP versus SREP
In the context the Basel II regulatory framework [[ICAAP]] denotes the set of activities and processes that must be undertak In addition, Pillar 2 of the framework introduced the ''Supervisory Review and Evaluation Processes'' ([[SREP]]) d

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Risk Aggregation
...quacy Assessment Process ([[ICAAP]]) required for Pillar 2 of the Basel II framework

1 KB (164 words) - 19:25, 5 October 2019
Risk Parameters
...ements for [[Credit Risk]] in the [[Basel II]] (and subsequent) regulatory framework (specifically [[Pillar I]]) == List of Basel Risk Parameters ==

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SREP
...cess undertaken by a supervisory authority operating in alignment with the Basel regulatory standards in order to ensure that institutions have adequate arr ...reason, Pillar 2 is also described as the supervisory review process. <ref>Basel Committee on Banking Supervision, "Overview of Pillar 2 supervisory review

8 KB (1,117 words) - 15:00, 5 February 2020
Concentration Risk
...veloped approaches or methodologies for assessing concentration risk. <ref>Basel Committee on Banking Supervision, "Overview of Pillar 2 supervisory review ...lan to incorporate concepts from the Basel Committee’s [[Large Exposures Framework]] into the assessment of credit risk concentration. Among supervisors that

4 KB (601 words) - 11:01, 24 September 2020
Total Eligibile Provisions
...Eligible Provisions''' (TEP) in the context of the Basel II/III regulatory framework are defined as the sum of all provisions (e.g. [[Specific Provisions]], par == Capital Treatment under Basel II/III ==

2 KB (229 words) - 14:11, 8 October 2018
EBA 2018 EU-Wide Stress Test
...supervisors, banks and other market participants with a common analytical framework to consistently compare and assess the resilience of EU banks and the EU ba * In addition to the [[Basel II Capitalized Risks]] listed above, banks are requested to project the eff

4 KB (678 words) - 14:10, 17 February 2021
Unexpected Loss
...ted Loss is a formal [[Risk Measure]] that was introduced as part of the [[Basel II]] regulatory reforms. It is used primarily in the context of estimating ...re computed is not consistent (or even explicit) throughout the regulatory framework

2 KB (232 words) - 13:20, 30 September 2021
Margin of Conservatism
...in the context of the [[Internal Ratings-Based Approach]] option of the [[Basel III]] accord for the calculation of [[Pillar I]] capital requirements. It d ...tments and margin of conservatism. Comprehensive guidance on setting up a framework for assessing Margin of Conservatism in given in <ref>EBA, Guidelines on PD

9 KB (1,337 words) - 00:44, 14 November 2019
EU Financial Regulation
| The applicable capital requirements framework for banking institutions (Basel inspired) ...tps://ec.europa.eu/digital-single-market/en/eu-cybersecurity-certification-framework ENISA]

11 KB (1,404 words) - 20:56, 27 September 2021
Downturn LGD
...efault]] that is used as [[Risk Parameter]] in the Basel II/III regulatory framework for banks

6 KB (861 words) - 18:45, 7 November 2019
FX Lending Risk
...sitive credit parameters with one of the capitalization options offered by Basel II will capture the tail risks inherent in an FX lending portfolio. This is

3 KB (512 words) - 13:04, 16 April 2021
Risk Horizon
...is of residual liability risk expectations at the risk horizon enables the framework to support [[Going Concern Valuation | Going Concern]] Risk Capital analyse ...the 1yr risk horizon embedded in advanced internal rating based models for Basel II/III Regulatory Capital. This choice requires that loss allowance and ECL

3 KB (467 words) - 19:42, 24 October 2018
Probability of Default Model
A '''Probability of Default Model''' (PD Model) is any formal quantification framework that enables the calculation of a [[Probability of Default]] risk measure o ...firms as they are used for the calculation of own funds requirements under Basel III regulation

6 KB (863 words) - 17:49, 11 October 2019
Risk Distribution
...les are cases where a distribution is used as part of an overall modelling framework (which is multi-dimensional and/or involves time-dependent processes) ...|| Used as a simple model of portfolio loss (also in Basel II as the [[ASRF model]]) ||

10 KB (1,033 words) - 13:56, 18 October 2021
Equity Correlation Matrix
* The selection of a modelling framework: ** A minimal framework focusing on the empirical estimation of correlation via a number of possibl

11 KB (1,744 words) - 12:13, 10 June 2021
Economic versus Regulatory Capital
...irement under prevailing prudential rules and laws (such as [[Basel II]]/[[Basel III]]) regulations. While the two should in principle converge, a variety o * Simplifications inherent in the regulatory framework

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BCBS 240
'''BCBS 240''' is a document published by the [[Basel Committee on Banking Supervision]] on January 2013 in the [[:Category:BCBS ...book. The programme aims to ensure consistent implementation of the Basel framework, which will help strengthen the resilience of the global banking system, ma

3 KB (400 words) - 11:45, 26 March 2021