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• Expected Loss
  ...orizon. Multiplying the percentage with the exposure provides the expected loss in monetary terms. ...instance) since their [[Probability of Default]] and their potential for [[Loss Given Default]] are higher.
  3 KB (509 words) - 10:19, 14 May 2021
• Significant Increase in Credit Risk
  ...ersus CECL | difference]] between [[IFRS 9]] and [[Current Expected Credit Loss | CECL]]. ..., hence specifically ''not'' the change in the amount of [[Expected Credit Loss | expected credit losses]]
  7 KB (1,085 words) - 11:20, 22 December 2020
• IFRS 9
  ...more timely recognition of credit losses, thus enhancing both the size of loss-absorbing allowances and their responsiveness to information pointing to a ...or a FVOCI asset, the amortized cost basis is used to determine profit and loss, but the asset is reported at fair value on the balance sheet, with the dif
  8 KB (1,123 words) - 13:25, 25 October 2019
• Scenario Analysis
  ...ert assessments could be expressed as parameters of an assumed statistical loss distribution. ...luate potential losses arising from multiple simultaneous operational risk loss events.
  3 KB (372 words) - 16:16, 11 May 2023
• Cure Rate
  ...s a metric used in the context of [[Non-Performing Loan]] management and [[Loss Given Default]] risk assessment. It denotes the percentage of loans that pr ...ip linking the Cure Rate, with the [[Loss Given Default]] and [[Loss Given Loss]] estimates. Namely
  7 KB (1,026 words) - 12:28, 9 June 2021
• IFRS 9 Model Validation
  ...n place to appropriately validate models used to measure [[Expected Credit Loss]] (ECL) under the [[IFRS 9]] standard. ...pendently of the model development process and by staff with the necessary experience and expertise.
  6 KB (893 words) - 12:53, 16 September 2021
• Current Expected Credit Loss
  ...cial Reporting Standards in the US. It replaces the current standards for loss accounting - commonly known as FAS-5 and FAS-114. The FASB first embarked o ...more timely recognition of credit losses, thus enhancing both the size of loss-absorbing allowances and their responsiveness to information pointing to a
  4 KB (582 words) - 11:15, 15 November 2018
• Expected Loss Best Estimate
  ...asurements (including the upcoming [[IFRS 9]] measure of [[Expected Credit Loss]] for [[Stage 3 Assets]] ...ulted exposures, ELBE estimates should be based on the institutions’ own experience. This may be supplemented with external data. Firms should not derive their
  4 KB (570 words) - 09:59, 14 May 2021
• IFRS 9 Model Risk
  ...his includes [[Significant Increase in Credit Risk]] and [[Expected Credit Loss]] models, and/or the application, interpretation and reporting of model re ...IFRS 9 model errors can lead to a variety financial and / or reputational loss events. Undesirable consequences of this from a financial stability perspec
  2 KB (286 words) - 14:14, 29 March 2021
• EBA 2018 Credit Risk Stress Test
  ...res in S2 and S3, banks are expected to provide stressed lifetime expected loss rates ==== Profit and Loss ====
  12 KB (1,891 words) - 18:43, 4 May 2018
• Non-Performing Loan Valuation
  ...Empirical Study of the Returns on Defaulted Debt and the Discount Rate for Loss-Given-Default ...Katia-D-Hulster.pdf">Prudential policy considerations of NPLs and expected loss provisioning</a></td>
  16 KB (2,148 words) - 11:27, 18 October 2020
• Best Practices in Credit Portfolio Management
  ...t risk skills (analysis, origination, monitoring) and portfolio management experience * (Where suitable) market / credit trading experience
  12 KB (1,494 words) - 20:11, 11 March 2024
• Credit Pricing
  * [[Loss Given Default]] / [[Recovery Risk]] ...pital]] the above calculation would be referred to as an [[Expected Credit Loss]] calculation. In addition, credit pricing would be techniques from [[Econ
  6 KB (812 words) - 14:41, 1 September 2020
• Cumulative Portfolio Credit Loss
  ...h>L^{P}_{k}</math> is the observed value of the cumulated portfolio credit loss at intermediate times <math>k \in [t, T]</math> <math>L^{P}_T \in [0, N]</math> is the total portfolio credit loss variable (random and unknown at t), but fully realized and known at time T.
  519 bytes (94 words) - 20:33, 24 October 2018
• Realised LGD
  '''Realised LGD''' denotes the empirically measured [[Loss Given Default]] on the basis of an organizations own credit underwriting hi Realised LGD estimates form the basis for the [[Long-run Loss Given Default]] which is one of the key Basel [[Risk Parameters]]
  15 KB (2,397 words) - 10:24, 14 May 2021
• Catalog of Loss Given Default Models
  == Catalog of Loss Given Default Models == ...n Default Models | models]] and algorithms used for [[Loss Given Default | loss given default]] modelling (or the equivalent [[Recovery Rate]] modelling).
  6 KB (778 words) - 12:39, 16 September 2021
• Long-run Loss Given Default
  '''Long-run Loss Given Default''' is the arithmetic average of realised LGDs over a historic ...emonstrate that the approach they use does not distort the actual observed loss.
  9 KB (1,396 words) - 18:07, 7 November 2019
• How to Map Climate Risk to the Open Risk Taxonomy
  ...on of other risk factors (credit risk, operational risk etc.) the firm may experience difficulties obtaining funding to support operations ...ry:Human_Resources_Risk]] || Incidental to reputational loss, the firm may experience difficulty fullfiling required positions
  8 KB (1,086 words) - 12:25, 24 August 2023
• Third Party Risk
  ...nage these risks can expose an institution to regulatory action, financial loss, litigation and reputation damage, and may even impair the institution’s * [[Operational Risk]]. Operational risk is the risk of loss resulting from inadequate or failed internal processes, people, and systems
  5 KB (757 words) - 16:54, 11 September 2019
• STS Criterion 29. Credit events
  ...or not been experiencing financial difficulties. A concession may entail a loss for the lender, which should be considered within the credit protection agr
  3 KB (485 words) - 20:46, 12 November 2019
• SARS Outbreak 2003
  * In addition to the tragic loss of life, the epidemic caused widespread fear and anxiety in the local commu * The Hong Kong securities industry did not experience major disruptions as a direct result of the outbreak.
  13 KB (2,019 words) - 21:18, 2 November 2020
• Corporate Credit Risk Analysis
  * a severe but plausible operational loss event; Institutions should assess the borrower’s knowledge, experience and capacity to manage business activities, assets or investments linked to
  12 KB (1,843 words) - 14:46, 1 September 2020
• Operational Risk Analyst
  ...mally responsible for the performance of [[Operational Risk]] (the risk of loss resulting from inadequate or failed internal processes, people and systems ...ted into seniority levels (e.g. junior, senior) that have material skill / experience requirements and are not simply organizational arrangements.
  2 KB (233 words) - 23:25, 25 November 2020
• Model Risk Manager
  ...risk factors that can lead to a variety of financial and / or reputational Loss events. ...ted into seniority levels (e.g. junior, senior) that have material skill / experience requirements and are not simply organizational arrangements.
  2 KB (242 words) - 23:04, 25 November 2020
• BCBS 107
  ...n the case of the internal ratings-based (IRB) approach, the risk of major loss events may be higher than allowed for in this Framework.</p> ...oach to incorporate the effects arising from economic downturns into their loss-given-default (LGD) parameters.</p>
  20 KB (3,034 words) - 11:39, 26 March 2021
• BCBS 118
  ...n the case of the internal ratings-based (IRB) approach, the risk of major loss events may be higher than allowed for in this Framework.</p> ...oach to incorporate the effects arising from economic downturns into their loss-given-default (LGD) parameters.</p>
  19 KB (2,931 words) - 12:29, 26 March 2021
• BCBS 121
  ...it risk assessment and valuation policies and practices utilised by banks. Experience indicates that a significant cause of bank failures is poor credit quality ...d procedures for evaluating the quality of assets and the adequacy of loan loss provisions, enabling the supervisor to obtain a true and fair view of the f
  7 KB (1,077 words) - 11:43, 26 March 2021
• BCBS 202
  ''Assessment of the macroeconomic impact of higher loss absorbency for global systemically important banks''. ...sing these risks, the Basel Committee has made proposals for improving the loss absorbency of global systemically important banks (G-SIBs).</p>
  8 KB (1,254 words) - 11:44, 26 March 2021
• BCBS 54
  ...to a deterioration in the credit standing of a bank's counterparties. This experience is common in both G-10 and non-G-10 countries.</p> ...if one party is simply late in settling, then the other party may incur a loss relating to missed investment opportunities. Settlement risk (i.e. the risk
  7 KB (1,075 words) - 11:46, 26 March 2021
• BCBS 75
  ...to a deterioration in the credit standing of a bank's counterparties. This experience is common in both G-10 and non-G-10 countries.</p> ...if one party is simply late in settling, then the other party may incur a loss relating to missed investment opportunities. Settlement risk (i.e. the risk
  7 KB (1,103 words) - 11:46, 26 March 2021
• BCBS D355
  ...ndardised way, of financial statement information and banks' internal loss experience promotes consistency and comparability in operational risk capital measurem ...[[Measurement]], [[Standardised Approach]], [[Business Indicator]], [[Loss Experience]]
  3 KB (412 words) - 11:48, 26 March 2021
• BCBS D445
  ...ystemically important banks: revised assessment methodology and the higher loss absorbency requirement''. ...emented in member jurisdictions by 2021. Building on member jurisdictions' experience and the feedback received during the public consultation concluded in June
  4 KB (526 words) - 11:49, 26 March 2021
• ESG Risk Integration Challenges
  ...ng risk parameters such as the probability of default (PD) of borrowers or loss given default (LGD) using the existing methodologies. Other methodological
  5 KB (730 words) - 16:26, 11 August 2021
• Business Model Risk Ontology
  ...as price, speed of service) and qualitative ones, such as design, customer experience, novelty, brand name, effectiveness, performance and customization. The val ...oposition delivered declines seriously or does not materialize, leading to loss of clients or inability to attract new clients.
  10 KB (1,478 words) - 16:38, 10 February 2023