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Exposure
...y. The potential susceptibility to loss; the vulnerability to a particular risk. In the context of [[Disaster Risk]] exposure means the situation of people, infrastructure, housing, producti

4 KB (535 words) - 17:54, 10 August 2021
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

5 KB (780 words) - 15:23, 6 November 2021
Model Decay
Model decay and failure applies to both risk models and valuation/pricing models. Both classes of models fail when they The first class (risk models) fails when calculating a risk metric in a manner that can be statistically demonstrated to be unreliable

2 KB (257 words) - 17:18, 3 November 2019
Roll Rates
* Estimating a roll rate matrix constitutes a simple type of a credit [[Risk Model]] in that it allows projecting likely outcomes over the future period * an enumeration of states that capture all possible states at the beginning and the end of the time interval

4 KB (658 words) - 12:17, 7 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
Risk Appetite
...while pursuing its [[Business Model]]. It denotes total amount and type of risk that an organization is prepared to accept, tolerate, or be exposed to at a Risk appetite statements must in general be ''translated'' into concrete policie

3 KB (475 words) - 11:13, 16 November 2021
Loan Tape
** [[Credit Risk Analysis]] (e.g., using financial data and ratios) ** Loan product characteristics that may link to specific risk factors

4 KB (526 words) - 12:09, 10 June 2021
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
Market Risk
'''Market Risk''' is a broad risk category that applies to financial or real assets that are actively traded In the context of bank risk management, market risk is relevant for positions included in the banks' trading book as well as in

4 KB (657 words) - 16:14, 11 March 2024
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
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 Value at Risk
...isk Measure]] that aims to capture the downside [[Economic Value | value]] risk of a [[Credit Portfolio]]. CVaR is a quantile [[Risk Measure]] and requires the specification of

1 KB (213 words) - 20:51, 21 November 2022
Business Execution
...ion''' (in more detail, Execution, Delivery and Process Management) is the risk of unexpected financial or reputational loss as the result of poor executio It is a recognized risk category in regulatory frameworks worldwide (Basel II standards). The preci

3 KB (348 words) - 14:09, 29 March 2021
Delinquency
The capture and representation of delinquency history must make an number of design cho ...cused on the repayment history of a specific financial contract it may not capture accurately the entire range of credit behaviour of a borrower

4 KB (582 words) - 15:14, 15 June 2019
Risk Exposure
...at aims to capture the extent to which an entity is subject to a certain [[Risk]] [[Category:Risk Management]]

224 bytes (31 words) - 00:42, 28 January 2020
Credit Score Factor
...factors constitute [[Explanatory Variables]], that is, they aim to explain risk outcomes Credit score factors can be categorized in various ways (inheriting from [[Risk Factor]]):

4 KB (637 words) - 14:10, 29 March 2021
Loan Covenant
...he potential borrower base at the expense of potentially increasing credit risk ...Credit Scoring]] or other systems and frameworks are typically not able to capture the impact of the presence or absence of Loan Covenants

1 KB (212 words) - 18:38, 4 June 2020
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 * Whether they concern a long or short term risk assessment

5 KB (638 words) - 16:05, 22 February 2021
Ability and Willingness to Pay
...ure at a very fundamental level the nature of the possible [[Risk Factor | risk factors]] behind a [[Credit Event]], an entity defaulting (reneging) on any [[Category:Credit Risk]]

805 bytes (121 words) - 12:53, 22 February 2021
Var-Covar Model
...lows the [[Risk Aggregation]] of distinct risk types once their individual risk profile and their dependency have been already modelled. ...the marginal, standalone [[Distribution | distributions]] of the modelled risk type (PnL, losses etc), into a single aggregate loss distribution. The main

2 KB (274 words) - 13:00, 16 April 2021
Balance Sheet Risks
...organization. It is a type of [[:Category:Contractual Risks | Contractual Risk]] [[Category:Risk Taxonomy]]

312 bytes (46 words) - 15:02, 5 June 2017
The Zen of Modeling
=== Risk modeling is as much art as it is science === The Zen of Modeling aims to capture the struggle for risk modelling beauty

1 KB (214 words) - 12:53, 30 May 2017
Value at Risk
...isk Measure]] that aims to capture the downside [[Economic Value | value]] risk of a Market [[Portfolio]] (a collection of financial instruments that can b VaR is a quantile [[Risk Measure]] and requires the specification of:

1 KB (168 words) - 11:34, 18 March 2024
Credit Scorecard
...a type of [[Risk Model]] used in the classification (scoring) of [[Credit Risk]] for individuals, corporations or other legal entities. The scorecard outp ...stem]], a framework that consistently classifies and quantifies all credit risk aspects of a portfolio. Depending on the type of scorecard, outputs may be

3 KB (467 words) - 21:00, 11 September 2020
EBA 2018 EU-Wide Stress Test
...internally consistent and relevant scenarios, and a set of templates that capture starting point data and stress test results to allow a rigorous assessment 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
Rating Momentum
..., whereby the ''current'' rating assigned to a [[Borrower]] does not fully capture the likelihood of transitions to other states. ...an identical rating for two different borrowers may imply different likely risk profiles.

736 bytes (101 words) - 18:56, 21 December 2020
Transition Matrix
...ects related to the use of the concept in the specific context of [[Credit Risk]] are discussed in the [[Rating Migration Matrix]] entry. ...n matrices can vary significantly in the type of transition phenomena they capture. Some variations can be captured in well defined mathematical conditions sa

6 KB (872 words) - 18:45, 21 December 2020
Credit Risk Sensitivity to Macroeconomic Factors
== Credit Risk Sensitivity to Macroeconomic Factors == ...e of credit contracts. The relationship of macroeconomic drivers to credit risk is important in specific contexts such as [[Bank Stress Testing]] or [[IFRS

6 KB (672 words) - 20:33, 7 November 2019
Model Monitoring Report
...arly by a competent authority which aims to capture the performance of a [[Risk Model]] [[Category:Model Risk]]

786 bytes (106 words) - 21:07, 11 September 2020
Corporate Governance
...cts the ability of the firm the identify, measure and manage the various [[Risk | risks]] it is facing. ...chical levels and with different mandates. This category includes internal risk management and internal audit functions)

2 KB (333 words) - 11:20, 3 June 2020
Credit Portfolio Information
* [[Risk Limit]] exceptions * Inaccurate underwriting exception capture

2 KB (258 words) - 11:14, 15 June 2019
FX Lending Risk
'''FX Lending Risk''' denotes the specific combined credit and market risk sensitivity of lending products that belong the [[FX Lending]] category (l == Risk Factors ==

3 KB (512 words) - 13:04, 16 April 2021
Credit Curve
...[[Credit Risk]] metrics ([[Risk Rarameters]]) that provide quantitative [[Risk Measure | estimates]] capturing possible legal entity [[Credit Event]] ove * A credit curve may capture complext / composite [[Risk Premium | risk premia]] (e.g. [[Expected Credit Loss]]) in which case its relationship wit

2 KB (219 words) - 11:03, 31 March 2021
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
Threshold Models
.... This random variable (sometimes denoted [[Distance to Default]]) aims to capture and represent [[Creditworthiness]]. Threshold Models have affinity with [[S [[Category:Credit Risk Modelling]]

6 KB (1,061 words) - 19:01, 4 September 2020
Conditional Transition Matrix
Model construction varies depending on the context. In [[Credit Risk Modelling]] context there are two broad categories * Fitting Markov Chain models to market data that capture transition rates

4 KB (621 words) - 15:14, 31 October 2018
Probability of Default Model
...ion framework that enables the calculation of a [[Probability of Default]] risk measure on the basis of quantitative and qualitative information === Risk Drivers ===

6 KB (863 words) - 17:49, 11 October 2019
Credit Scoring with Python
[[Risk Data Review]] is a collection of procedures that aim to [[Model Validation]] of a Credit Scorecard aims to contain the [[Model Risk]] associated with using the scorecard (the potential for error in the devel

8 KB (1,121 words) - 13:48, 21 September 2020
Credit History
...in a [[Credit Report]] consisting of information provided by lenders that capture relevant behavioral data points. [[Category:Credit Risk Analysis]]

357 bytes (50 words) - 14:39, 1 September 2020
ESMA Consumer Exposures Table
(c) has a credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher tha This is not intended to capture instances where the obligor may renegotiate an increased underlying exposur

24 KB (3,380 words) - 21:23, 12 February 2019
ESMA Corporate Exposures Table
(c) has a credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher tha This is not intended to capture instances where the obligor may renegotiate an increased underlying exposur

33 KB (4,716 words) - 21:22, 12 February 2019
ESMA Residential Real Estate Exposures Table
(c) has a credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher tha This is not intended to capture instances where the obligor may renegotiate an increased underlying exposur

32 KB (4,544 words) - 21:15, 12 February 2019
ESMA Esoteric Assets Exposures Table
(c) has a credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher tha This is not intended to capture instances where the obligor may renegotiate an increased underlying exposur

23 KB (3,212 words) - 21:24, 12 February 2019
ESMA Credit Cards Exposures Table
(c) has a credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher tha This is not intended to capture instances where the obligor may renegotiate an increased underlying exposur

16 KB (2,342 words) - 21:23, 12 February 2019
Credit Rating State
...ion that aims to simplify and capture the factors determining the [[Credit Risk]] of a given entity. In the simplest form a credit rating state implies an

488 bytes (71 words) - 13:24, 3 April 2019
Business Model
...Key Activities are akin to a ''flow description'' of the firm. Activities capture the main processes that must be in place to make the business model work. * [[Financial Statements]] capture ex-post the realizations of some financial variables related to the busines

4 KB (538 words) - 15:41, 11 May 2023
How to Map Climate Risk to the Open Risk Taxonomy
== How to Map Climate Risk to the Open Risk Taxonomy == ...new form of risk as they are new (or more sharply defined) [[Risk Factor | risk factors]].

8 KB (1,086 words) - 12:25, 24 August 2023
Golden Source
...sion making correctly describe the "real world" phenomenon are supposed to capture. [[Category:Risk Data]]

677 bytes (87 words) - 16:59, 7 September 2020
Retail versus SME Credit Scorecards
...ard | credit scorecards]] used in the classification (scoring) of [[Credit Risk]] for [[Consumer Credit]] and [[SME Lending]] respectively. ...micro and small enterprises there is typically a strong dependency on the risk profile of the business owner (a [[Natural Person]]) hence retail credit sc

1 KB (202 words) - 21:01, 11 September 2020
EU Sustainable Finance Taxonomy
...System of Integrated Environmental and Economic Accounting. It can neither capture activities which have been avoided, nor individual behavioural choices * [[Climate-Related Risk Taxonomy]]

8 KB (1,129 words) - 13:41, 12 August 2021