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Name Concentration
...d in context: For example in relation to total assets, to available [[Risk Capital]] etc. ...he long standing recognition of this risk, a consistent interpretation and measurement is still lacking, although there are a number of tools available

2 KB (289 words) - 10:51, 23 June 2019
AMA Models
...nder the Basel<ref>Basel II Accord, 2006</ref> regulatory standard for the measurement and capitalisation of [[Operational Risk]] ...owed (subject to approval) to develop own risk models to quantify required capital for operational risk.

2 KB (238 words) - 14:34, 19 November 2019
Backtesting
...testing” in conjunction with the internal models approach to market risk capital requirements ...ef>BCBS Working Paper No. 19 Messages from the academic literature on risk measurement for the trading book</ref>

3 KB (371 words) - 23:40, 9 March 2021
Basel II Advanced IRB Capital Model
...a set of credit risk measurement techniques proposed under [[Basel II]] [[capital adequacy]] rules for banking institutions. ...anks are allowed to develop their own empirical model to quantify required capital for credit risk. Banks can use this approach only subject to approval from

7 KB (1,023 words) - 12:30, 26 March 2021
Sector Concentration
...For example in relation to total assets, to available [[Risk Capital|risk capital]] etc. ...he long standing recognition of this risk, a consistent interpretation and measurement is still lacking, although there are a number of tools available

2 KB (300 words) - 15:05, 27 October 2019
Diversification versus Diversity
...h investments, insurance and loans to companies and households<ref>Natural Capital Coalition, 2018</ref><ref>Mulder & Koellner, 2011</ref>, <ref>The Sustainab Measuring diversification means essentially the measurement of the ''rate of change of diversity''. It can use the same tools as measur

3 KB (384 words) - 16:51, 5 December 2023
ICAAP
'''ICAAP''' is an abbreviation of ''Internal Capital Adequacy Assessment Process'', a set of activities and processes that must ...tain, on an ongoing basis, the amounts, types and distribution of internal capital commensurate to their risk profiles, as well as robust governance and inter

3 KB (369 words) - 12:39, 25 September 2020
Portfolio Management
* Data Infrastructure and Analytics / Measurement Tools === Data Infrastructure and Analytics / Measurement Tools ===

3 KB (437 words) - 13:56, 29 May 2022
ASRF model
...s a simplified [[Credit Portfolio]] risk model that underpins the Basel II capital requirements ...bcbs118.htm Basel II: International Convergence of Capital Measurement and Capital Standards: a Revised Framework (BCBS) (November 2005 Revision)], Paragraph

5 KB (696 words) - 12:30, 26 March 2021
Key Risk Indicator
'''Key Risk Indicator''' (KRI) denotes a measurement of the degree of risk inherent in specific business activity, process or sy ...al institutions, KRI's are one of the possible inputs in the assessment of capital adequacy under Basel regulations ([[Business Environment and Internal Contr

2 KB (268 words) - 11:28, 23 July 2018
Credit Portfolio Management
...te, portfolio, setting.<ref>BIS, Range of practices and issues in economic capital frameworks, March 2009</ref> * Support the [[Capital Management | management of capital]] and financial returns

7 KB (943 words) - 14:41, 15 November 2021
Effective Maturity
...Regulation<ref>BCBS: International Convergence of Capital Measurement and Capital Standards</ref>

1 KB (191 words) - 13:00, 22 May 2017
Limit framework
...d legal entities as relevant and generally expressed relative to earnings, capital, liquidity or other relevant measures (e.g. growth, volatility); ...sk Committee | risk committees]] and taken into account in the performance measurement of the respective business lines.

6 KB (837 words) - 13:38, 5 February 2020
Expected Loss
...I standards<ref>BCBS, International Convergence of Capital Measurement and Capital Standards, 2006</ref>

3 KB (509 words) - 10:19, 14 May 2021
Product Concentration
...For example in relation to total assets, to available [[Risk Capital|risk capital]] etc. Product concentration depends on various characteristics of the port ...omer in the concentration risk vocabulary. A consistent interpretation and measurement is still lacking, although there are a number of tools available

2 KB (230 words) - 12:01, 3 June 2017
IFRS 9 Modeling Resources
|Measurement of Credit Losses on Financial Instruments |Credit Enhancement in the Measurement of Expected Credit Losses

24 KB (3,113 words) - 16:52, 1 September 2020
Significant Increase in Credit Risk
...IFRS 9, a Significant Increase event (denoted SICR in short) triggers the measurement of [[Loss Allowance]] at an amount equal to [[Lifetime Expected Credit Loss ...(or parents) have an incentive and financial ability to prevent default by capital or cash infusion.

7 KB (1,085 words) - 11:20, 22 December 2020
IFRS 9
* Embedding forward looking risk assessments in the measurement (assessment) of the firm's financial condition ...ls, banks solely using the standardised approach (SA) to determining their capital requirements may need to develop models from scratch

8 KB (1,123 words) - 13:25, 25 October 2019
FVOCI
== Measurement == The FVOCI measurement category recognises information in [[Profit and Loss]] as if the financial

5 KB (687 words) - 09:56, 9 June 2020
Correlation Risk
...tion of the value of an instrument with multiple underlyings. <ref>Minimum capital requirements for market risk, BCBS D352</ref> ...Correlation Risk is a component of [[Model Risk]] for all efforts of risk measurement that concern composite risks (e.g. in portfolio management context)

702 bytes (95 words) - 11:45, 3 June 2017
Risk Aggregation
'''Risk Aggregation''' denotes a stage of the [[Risk Measurement]] process where different risks are considered jointly in order to obtain a ...a review of firms’ internal risk aggregation methods under the Internal Capital Adequacy Assessment Process ([[ICAAP]]) required for Pillar 2 of the Basel

1 KB (164 words) - 19:25, 5 October 2019
Concentration Risk
...ive method, which is applied automatically and translated into a Pillar II capital expectation ...that set Pillar II capital expectations, only a few set explicit Pillar II capital expectations for concentration risk. It is more common for supervisors to c

4 KB (601 words) - 11:01, 24 September 2020
Credit Portfolio Model
* the credit risk measurement infrastructure that must be in place * the linkage of the framework to liabilities (ALM / Capital Management)

3 KB (429 words) - 14:55, 23 June 2020
General Provisions
...identified<ref>BCBS, International Convergence of Capital Measurement and Capital Standards, 2006</ref> == Capital Treatment under Basel II/III ==

1 KB (201 words) - 14:07, 8 October 2018
Total Eligibile Provisions
...ted assets.<ref>BCBS, International Convergence of Capital Measurement and Capital Standards, 2006</ref> == Capital Treatment under Basel II/III ==

2 KB (229 words) - 14:11, 8 October 2018
Regulatory Expected Loss
...ry standard<ref>BCBS, International Convergence of Capital Measurement and Capital Standards, 2006</ref>. It denotes the ratio of the amount expected to be lo ...estimate of expected loss on the asset represents the [[NPL Risk Capital | capital requirement]] for that asset

2 KB (266 words) - 10:18, 14 May 2021
Specific Provisions
...edit assets<ref>BCBS, International Convergence of Capital Measurement and Capital Standards, 2006</ref>

406 bytes (48 words) - 14:11, 8 October 2018
1-year Probability of Default
...ry standard<ref>BCBS, International Convergence of Capital Measurement and Capital Standards, 2006</ref>

376 bytes (50 words) - 17:07, 2 June 2017
Cure Rate
...overall [[Loss Allowance]] calculation (which also affects the [[NPL Risk Capital]] calculation). ...re rate is defined with respect to specific [[Default Definition]], so its measurement will depend on the choice made

7 KB (1,026 words) - 12:28, 9 June 2021
IFRS 9 Model Validation
...stablish the necessary steps to ensure that the credit risk assessment and measurement models are able to generate accurate, consistent and unbiased predictive es ...measurement of ECL allowances for accounting purposes, stress testing and capital allocation.

6 KB (893 words) - 12:53, 16 September 2021
Current Expected Credit Loss
* Embedding forward looking risk assessments in the measurement (assessment) of the firm's financial condition ...ls, banks solely using the standardised approach (SA) to determining their capital requirements may need to develop models from scratch

4 KB (582 words) - 11:15, 15 November 2018
Default Rate
== Measurement Choices == ...of factors ([[Competing Risks]]) may modify the number of entities in the measurement portfolio due to causes unrelated to credit risk

11 KB (1,612 words) - 14:40, 6 September 2020
Non-Performing Loan Valuation
|Collateral and other credit enhancements and the measurement of ECL |Inclusion of cash flows expected from the sale on default of a loan in the measurement of ECL

16 KB (2,148 words) - 11:27, 18 October 2020
Risk-Adjusted Return on Capital
...rance etc). RAROC is defined as the ratio of expected return to [[Economic Capital]]

569 bytes (73 words) - 16:37, 1 August 2018
Independent Risk Management
...sks and measuring the bank’s exposure to them (a process known as [[Risk Measurement]] ...k appetite, risk limits and corresponding capital or liquidity needs (ie [[Capital Planning]]);

3 KB (366 words) - 23:04, 25 November 2020
External Credit Assessment Institution
...recognized in the European Union for the purposes of Article 113(1) of the Capital Requirements Directive (CRR) | [https://www.ciratings.com Capital Intelligence Ratings Ltd] || Capital Intelligence Ratings (CI Ratings) is an international credit rating agency

14 KB (2,064 words) - 22:31, 27 September 2021
How to Estimate Lifetime PD from 12 month PD
...will typically be the case where such an estimate is used for [[Regulatory Capital]] purposes. Re-using estimates or data / models would thus both be efficien [[Category:Measurement]]

3 KB (469 words) - 17:56, 5 June 2019
SME Credit Risk Literature
| Random Survival Forests Models for SME Credit Risk Measurement ...|| Germany, France || Default Rate Volatility, Correlations || Regulatory Capital

8 KB (1,007 words) - 13:00, 7 September 2020
Capital Labor Energy Materials Multifactor Productivity
'''Capital Labor Energy Materials Multifactor Productivity'''. A ratio of a quantity i ...iciency change, economies of scale, variations in capacity utilisation and measurement errors.

1 KB (157 words) - 11:19, 8 October 2019
Capital Labor Multifactor Productivity Value Added
...a quantity index of value added to a quantity index of combined labor and capital input ...nomies of scale, efficiency change, variations in capacity utilisation and measurement errors.

1 KB (194 words) - 11:19, 8 October 2019
BCBS 24
''Amendment to the Capital Accord to incorporate market risks''. ...three-part package of documents issued by the Basle Committee to amend the Capital Accord of July 1988 to take account of market risks.

2 KB (276 words) - 11:45, 26 March 2021
Project Finance
...ne or more sponsoring firms) for the purpose of financing a single purpose capital asset, usually with a limited life. ...sectors (see list) that might be hard to finance in traditional Banking or Capital Markets

4 KB (633 words) - 13:56, 15 June 2023
IRRBB
...are key factors taken into account by supervisors when evaluating banks ́ capital adequacy under the [[SREP]]<ref>Basel Committee on Banking Supervision, "Ov ...osure and outlier identification purposes, while insisting on the internal measurement systems for risk management and the [[ICAAP]].

3 KB (359 words) - 14:21, 5 February 2020
BCBS 34
A. Capital Adequacy Principles paper B. Supplement to the Capital Adequacy Principles paper

7 KB (1,036 words) - 11:46, 26 March 2021
BCBS 258
...These measures include the introduction of a leverage ratio, an additional capital surcharge for global systemically important banks (G-SIBs), a proposed fram ...n over time as risk coverage has been expanded and more sophisticated risk measurement methodologies have been introduced.

5 KB (796 words) - 11:45, 26 March 2021
BCBS 106
''Principles for the home-host recognition of AMA operational risk capital''. ...a group-wide AMA capital requirement might calculate the operational risk capital requirements of its subsidiaries.

5 KB (657 words) - 11:39, 26 March 2021
BCBS 107
''International Convergence of Capital Measurement and Capital Standards - A Revised Framework''. ...at were not revised during the Basel II process, the 1996 Amendment to the Capital Accord to Incorporate Market Risks, and the 2005 paper on The Application o

20 KB (3,034 words) - 11:39, 26 March 2021
BCBS 109
...blished the document "International Convergence of Capital Measurement and Capital Standards, a Revised Framework" (widely known as Basel II). While this revi ...so ensure that banks that do not implement Basel II are subject to prudent capital regulation and sound accounting and provisioning policies.

5 KB (748 words) - 11:39, 26 March 2021
BCBS 11 B
...rest rate risk do not involve capital charges because they adress only teh measurement of interst rate risk.

2 KB (289 words) - 11:39, 26 March 2021
BCBS 111
...em>, including the June 2004 Basel II Framework, the 1996 Amendment to the Capital Accord to Incorporate Market Risks, and the 2005 paper on The Application o ...Framework describes a more comprehensive measure and minimum standard for capital adequacy that national supervisory authorities represented on the BCBS are

7 KB (1,008 words) - 11:43, 26 March 2021