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Granularity Adjustment
...rmula]] for calculating the [[Risk Capital | capital]] needed to cover the risk arising from the potential default of large borrowers. ...is integrated into the ASRF model thereby making capital requirements more risk sensitive.

2 KB (362 words) - 10:54, 25 March 2020
AMA Models
...egulatory standard for the measurement and capitalisation of [[Operational Risk]] ...l) to develop own risk models to quantify required capital for operational risk.

2 KB (238 words) - 14:34, 19 November 2019
Basel II Models
'''Basel II Models''' is a class of internal [[Credit Risk Modelling | credit risk models]] that are used as inputs for [[Regulatory Capital]] (Pillar I) calc Also known as IRB Models, PD/LGD/EAD models or [[Risk Parameters]]

678 bytes (92 words) - 12:15, 31 March 2021
Credit Bureau Scoring
...information. Credit Bureau Scoring can be used separately or alongside an internal credit scoring system (i.e., the scoring system can use credit bureau score ...nsider all relevant information.<ref>ECB guide to internal models - Credit Risk, Sep 2018</ref>

4 KB (644 words) - 13:33, 19 November 2018
Credit Score
...of the digital computer. The reason is instructive of the nature of credit risk which is a substantially more dynamic than actuarial risks (depends on vari * In [[Risk Based Pricing]], the credit score may determine the [[Interest Rate]], and / or t

5 KB (780 words) - 15:23, 6 November 2021
Default Definition
...it is the basis for estimation of risk parameters and therefore influences risk weights and expected loss calculation for both defaulted and non-defaulted ...n’s policies should clarify that the counting of days past due should be based on the modified schedule of payments.

8 KB (1,109 words) - 16:07, 22 February 2021
Probability of Default
...ability of Default is a key risk parameter used in the context of [[Credit Risk]] management. It is a forward-looking [[Expectation Measure]], which assign In the [[Internal Ratings-Based Approach]] the probability of default of a counterparty is estimated over a

4 KB (532 words) - 18:59, 4 September 2020
Basel II Advanced IRB Capital Model
...ch|internal ratings-based approach]]''''' and it refers to a set of credit risk measurement techniques proposed under [[Basel II]] [[capital adequacy]] rul ...develop their own empirical model to quantify required capital for credit risk. Banks can use this approach only subject to approval from their local regu

7 KB (1,023 words) - 12:30, 26 March 2021
Template
Risk Manual Template (Version 1.4 - Sep 2018). Use this text as a guidance when ...lly highlight and make transparent the many difficulties around successful risk management

2 KB (353 words) - 12:22, 18 January 2021
Holistic risk management
...d to some particular aspect of risk, segmented by business lines or other internal firm demarcations. ...s (e.g. credit risk function and processes versus market risk, operational risk etc.)

2 KB (304 words) - 13:58, 18 November 2020
Risk Limit
...idity Risk]] exposures. Internal [[Risk Policy]] limits aim to contain the risk exposures undertaken by the organization below an acceptable level. ...rtainty. Limits can be set at a variety of hierarchies, depending on the [[Risk Type]]: e.g. total, sectoral, regional, by business line, [[Single Obligor

6 KB (943 words) - 14:11, 4 October 2021
Single Obligor Exposure
The concept of SOE becomes significant in the context of typical internal risk / accounting systems of financial services firms that do not automatically * the prevalence of product as opposed to client based management of business lines

1 KB (154 words) - 15:11, 22 January 2021
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
Credit Scoring Models
...ypically produces a credit score and/or a probabilistic estimate of credit risk on the basis of selected characteristics of a borrower.''' ...he Open Risk Manual are related [[:Category:Credit_Risk_Modelling | credit risk modelling]] categories of:

11 KB (1,491 words) - 15:41, 7 March 2023
Significant Increase in Credit Risk
...cial Instruments</ref>, is a significant change in the estimated [[Default Risk]] (over the remaining [[Expected Life |expected life]] of the financial ins == Determination of Significant Increase in Credit Risk ==

7 KB (1,085 words) - 11:20, 22 December 2020
Low Credit Risk
'''Low Credit Risk''', in the context of IFRS 9 <ref>IFRS Standard 9, Financial Instruments</r * have low [[Default Risk]], that is low likelihood of any credit event

2 KB (332 words) - 22:56, 27 August 2017
Loan Valuation
Loan Valuation is an example of more general [[Valuation Models | model based valuation]] == Risk Factors ==

3 KB (485 words) - 14:10, 29 March 2021
Credit Risk Management
...esses and management roles that aim to underpin the management of [[Credit Risk]], most typically (but not necessarily) in the context a [[Credit Portfolio Credit Risk Management is a superset of [[Credit Portfolio Management]], with the later

7 KB (914 words) - 16:31, 3 June 2020
IFRS 9
...veness to information pointing to a deterioration or improvement in credit risk. == Risk Management Implications ==

8 KB (1,123 words) - 13:25, 25 October 2019
Financial Guarantee
...ofile of the debtor. The manner by which this is reflected in accounting, risk management and regulatory frameworks varies significantly. ...of the institution (third-party support) may be taken into account in the risk assessment of that obligor. This policy should meet the following criteria

6 KB (895 words) - 14:41, 6 September 2020
IT Security Risk
...o IT systems and data from within or outside the institution (e.g. [[Cyber Risk | cyber-attacks]]). ...Risk is a subset of the more general [[IT Risk]] that encompasses various risk events associated with IT systems that do not have a material security prof

10 KB (1,520 words) - 17:12, 6 September 2023
Four Eyes Principle
...activity by an individual within the organization that involves [[Material Risk]] profile must be controlled (reviewed, double checked) by a second individ ...al Fraud]], adverse outcomes as the result of fraudulent action of persons internal to the firm

3 KB (485 words) - 11:03, 1 November 2023
Data Integrity Validation
...parate domains available in the same Institution'''. These checks could be based on the plausibility of results describing the "same" phenomenon from differ ...with the data quality standards.<ref>ECB guide to internal models - Credit Risk, Sep 2018</ref>

4 KB (586 words) - 14:06, 20 October 2019
Credit Rating
...[Credit Risk]] indicator (also ''Credit Risk Rating'') that assesses the [[Risk Profile]] of an entity or product on a defined [[Rating Scale]]. Most typi ...ing System]]. Typically, a credit rating is provided as a detailed report based on the financial history of borrowing or lending and creditworthiness of th

5 KB (638 words) - 16:05, 22 February 2021
SREP
...ks in their business but also to encourage banks to develop and use better risk management techniques in monitoring and managing their risks. For that reas ...egarded as a substitute for addressing fundamentally inadequate control or risk management processes.

8 KB (1,117 words) - 15:00, 5 February 2020
Concentration Risk
...in its various manifestations is typically one of the key objectives of [[Risk Management]] or [[Portfolio Management]]. === Concentration Risk Taxonomy ===

4 KB (601 words) - 11:01, 24 September 2020
CAMELS Rating Model
...ented outside the U.S. by various banking supervisory regulators. It is an internal supervisory tool for evaluating the soundness of financial institutions on == Composite Risk Rating ==

7 KB (1,016 words) - 19:14, 21 December 2020
Asset Quality
...he ability of management to identify, measure, monitor, and control credit risk. The asset quality of a financial institution is based on, but not limited to, an assessment of the following evaluation factors<r

2 KB (319 words) - 12:32, 30 May 2017
Cure Rate
...e context of [[Non-Performing Loan]] management and [[Loss Given Default]] risk assessment. It denotes the percentage of loans that previously presented ar ...fault rate is another key performance indicator that should be included in internal NPL monitoring reports for the management body and other relevant managers.

7 KB (1,026 words) - 12:28, 9 June 2021
IRB Asset Classes
The list of distinct Advanced Internal Ratings Based assets classes recognized in the [[Basel II]]/[[Basel III]] and [[CRD IV Re ! Credit risk asset class !! NII – Asset type

4 KB (455 words) - 17:14, 4 November 2019
IFRS 9 Model Validation
...he accountability and reporting structure of the model validation process, internal rules for assessing and approving changes to the models, and reporting of t ...ng exposure and overall portfolio levels, including credit grading, credit risk identification, measurement of ECL allowances for accounting purposes, stre

6 KB (893 words) - 12:53, 16 September 2021
NPL Strategy
...supported by a corresponding comprehensive operational plan. It should be based on a self-assessment and an analysis of NPL strategy implementation options ## internal NPL capabilities to effectively manage, i.e. maximise recoveries, and redu

4 KB (481 words) - 12:40, 23 January 2021
NPL Risk Capital
'''NPL Risk Capital''' denotes the equity (own means) required to fund a portfolio of [ == NPL Risk Capital for Banks ==

2 KB (282 words) - 16:57, 1 September 2020
NPL Life Cycle
...in the EBA definition of NPE, i.e. at least 1 year), given their increased risk, before they can eventually be transferred out of the NPL Workout Units if ...ferent liquidation options including in-court and out-of-court procedures. Based on this analysis, banks should speedily proceed with the chosen liquidation

3 KB (414 words) - 18:17, 2 March 2023
Loss Given Loss
'''Loss Given Loss''' (LGL) is a [[Risk Parameters | Risk Parameter]] that captures the uncertainty about the actual loss that will b ...ss refines the broader [[Loss Given Default]] or [[Loss Given Impairment]] risk parameters. It is a useful concept in circumstances where there is a non-ne

1 KB (201 words) - 16:48, 1 September 2020
Current Expected Credit Loss
...veness to information pointing to a deterioration or improvement in credit risk. == Risk Management Implications ==

4 KB (582 words) - 11:15, 15 November 2018
Targeted Review of Internal Models
...y and confirming the adequacy and appropriateness of approved [[Pillar I]] internal models permitted for use by significant institutions when calculating own f ...regulatory requirements related to internal models, through an assessment based on the

1 KB (168 words) - 11:42, 16 April 2020
Default Rate
'''Default Rate''' (also ''Default Frequency'') in the context of [[Credit Risk]] management is an empirically measured [[Credit Event]] realization rate. === Volume Based versus Count Based ===

11 KB (1,612 words) - 14:40, 6 September 2020
Credit Rating System
...a rating system is to rank borrowers systematically with meaningful credit risk quality differentiation ...edit rating system will aim, in particular, to provide regulatory credit [[Risk Parameters]] such as:

3 KB (358 words) - 16:06, 22 February 2021
Unexpected Loss
...impact that a business could incur due to a particular [[Loss]] event or [[Risk]] realization. The unexpected loss is calculated as the [[Expected Loss]] p .... It is used primarily in the context of estimating [[Risk Capital]] using internal models and it aims to explicitly separate the related [[Expected Loss]] con

2 KB (232 words) - 13:20, 30 September 2021
Margin of Conservatism
...tion) adjustment to remedy any shortcomings of quantitative estimates of [[Risk Parameters]]. ...k]], namely issues with [[Data Quality]] and potentially [[Intrinsic Model Risk]] associated with the selection of methods and quantitative methods underpi

9 KB (1,337 words) - 00:44, 14 November 2019
IFRS 9 versus IRB Models
...nternal Rating Based]] frameworks require the use of quantitative [[Credit Risk]] estimates. This entry summarizes their relationship<ref>ESRB, Financial ! Aspect !! Internal Ratings-Based Model !! IFRS 9 Model

2 KB (250 words) - 14:14, 29 March 2021
How to Develop an IFRS 9 Impairment Framework
* Whether there are prior developed credit risk models * Determine whether the “low credit risk assumption” will be applied to certain loans

2 KB (298 words) - 12:27, 25 September 2021
Sovereign Credit Rating
...with the liabilities of Sovereign entities, thus a measure of [[Sovereign Risk]] * Expert based scorecards building on extensive fundamental analysis (and loosely calibrat

1 KB (191 words) - 12:27, 22 February 2021
State Space
...al system states, i.e. it is an abstraction. The usefulness of state space based models is determined by the degree to which they can represent and help ana In credit risk management applications it is common to consider a ''finite state space'',

2 KB (356 words) - 13:33, 10 February 2021
Non-Performing Loan Valuation
NPL assets are [[Liquidity Risk | illiquid assets]] held by banks or other credit granting institutions as Broadly speaking NPL valuation is based on evaluating the likelihood and magnitude of future cashflows from NPL eit

16 KB (2,148 words) - 11:27, 18 October 2020
Real Estate Valuation
...discount rates used in hope value calculations should reflect local market risk premia. ...iate provisioning level should be assessed using a going concern cash flow based approach (see Chapter on credit file review).

11 KB (1,789 words) - 15:53, 4 June 2020
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
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