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Name Concentration
...oncentration'' or ''Single Borrower Concentration'') is a form of [[Credit Risk Concentration]], describing a condition in which a [[Credit Portfolio]] has ...efined in context: For example in relation to total assets, to available [[Risk Capital]] etc.

2 KB (289 words) - 10:51, 23 June 2019
Credit Risk Concentration
...large risk exposure to specific credit risks (as opposed to a diversified risk profile). ...tory frameworks generally recognize the following specific [[Concentration Risk | concentrations risks]]:

2 KB (273 words) - 11:29, 5 February 2020
Related Counterparties
...n | legal persons]] who, unless it is shown otherwise, constitute a single risk because one of them, directly or indirectly, has ''control'' over the other ...ationship of control'' but who are to be regarded as constituting a single risk because they are so interconnected that, if one of them were to experience

3 KB (464 words) - 14:56, 22 January 2021
Name Concentration Measurement
...simply defined at portfolio level, providing synthetic measures of credit risk name concentration. ...sses which can actually differentiate the effective contribution to credit risk.

2 KB (232 words) - 12:17, 19 May 2017
Large Exposures Framework
...rk is a BIS [[Limit framework]] for measuring and controlling large credit exposures proposed in March 2013 and adopted as a standard in April 2014. The Basel Committee issued its first guidance on credit exposures in 1991.

4 KB (660 words) - 14:25, 27 May 2019
Herfindahl-Hirschman Index
For the purpose of measuring credit portfolio or market [[Concentration Risk]] ...is defined as the sum of all squared ''relative'' portfolio shares of the exposures.

6 KB (900 words) - 13:45, 16 April 2020
Monte Carlo Simulation of Credit Portfolios
...on]]. Once the distribution is obtained it is possible to estimate various risk measures for the credit portfolio. ...gether with a suite of [[Satellite Model | satellite models]] for [[Credit Risk]] estimation

4 KB (586 words) - 20:49, 21 November 2022
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
Concentration Ratio
...'concentration ratio''' is a measure of the contribution of a given set of exposures to the total portfolio exposure - essentially the portfolio fraction. For ...ion ratio is simply the percentage of portfolio exposure by the n largest exposures.

5 KB (815 words) - 09:44, 24 June 2019
Credit Risk Hierarchy
A Credit Risk Hierarchy is a system of organizing a set of credit risk exposures so that the relationships and dependencies between different entities are m ...he following is the hierarchy of all possible aggregation levels of credit risk, starting with the most elementary level and ending up with the broadest.

6 KB (775 words) - 14:54, 24 February 2020
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
Default Definition
...03, Prudential treatment of problem assets - definitions of non-performing exposures and forbearance</ref> ...on of default is the basis for the assignment of exposures to the class of exposures in default.

8 KB (1,109 words) - 16:07, 22 February 2021
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
Forbearance
Forbearance is a common strategy for [[Credit Risk Management]] of banking products. It is a distinct feature of bank based le ...rest rate below the current interest rate that counterparties with similar risk characteristics could obtain from the same or other institutions in the mar

6 KB (840 words) - 18:21, 2 March 2023
Loan Tape
...]] data from a financial firm's systems. (Also: ''Loan Data Tape'', ''Loan Exposures Tape'', ''Servicing Tape'', "Loan-by-Loan File"). It is typically a databa ** [[Credit Risk Analysis]] (e.g., using financial data and ratios)

4 KB (526 words) - 12:09, 10 June 2021
Credit Portfolio
...ounterparty Risk | derivative contracts]]) or as an investment in [[Credit Risk]] sensitive securities (such as [[Corporate Bond | corporate bonds]]). * Counterparty exposures arising from bilateral derivatives transactions

2 KB (317 words) - 13:57, 17 November 2019
Sector Concentration
'''Sector concentration''' is a form of [[Credit Risk Concentration]]. It arises when a material share of a [[Credit Portfolio]] ...text: For example in relation to total assets, to available [[Risk Capital|risk capital]] etc.

2 KB (300 words) - 15:05, 27 October 2019
Risk Limit
...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
Asset Quality Review
The aim was to enhance the transparency of bank exposures by reviewing the quality of banks’ assets, including the adequacy of asse ...posures into the Levels of the IFRS 13 fair value hierarchy, where level 3 exposures are those for which valuation is based on unobservable model input paramete

3 KB (358 words) - 12:18, 25 September 2020
Sector Concentration Measurement
...simply defined at portfolio level, providing synthetic measures of credit risk sector concentration. ...sses which can actually differentiate the effective contribution to credit risk.

2 KB (247 words) - 23:43, 27 January 2020
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
Single Obligor Exposure
...ng systems of financial services firms that do not automatically aggregate exposures booked in different business lines. The causes of such a disaggregated view The assessment of [[Name Concentration]] risk in the context of [[ICAAP]] requires the systematic identification of SOE.

1 KB (154 words) - 15:11, 22 January 2021
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
Correlation
...realizations. Its precise meaning and calculation varies depending on the risk area. ...orrelation is a measure of credit risk dependency between different credit exposures. It may refer to either [[Default Correlation]] or [[Loss Correlation]] and

1 KB (175 words) - 13:50, 16 April 2021
Shannon Index
...tive portfolio shares of the exposures, times the natural logarithm of the exposures. More precisely, if we have n exposures <math>E_i</math> summing up to a total exposure of

1 KB (161 words) - 00:22, 18 June 2021
Geographic Concentration Measurement
...in question is a single country we have a more specific form of [[Country Risk Concentration]] Measurement. ...sses which can actually differentiate the effective contribution to credit risk

3 KB (374 words) - 18:46, 16 November 2019
Credit Exposures
...d standardization of the concept of exposure as it became one of the key [[Risk Parameters]] identified and required for implementation of the [[Basel II]] [[Category:Credit Risk]]

442 bytes (66 words) - 00:05, 28 January 2020
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
Loss Given Default
LGD is complementary to [[Recovery Risk | ''Recovery Risk'']], the possibility that in case of default the recovered amount may be le ...ed for establishing [[Capital adequacy | capital requirements]] for Credit Risk in the Basel II (and subsequent) regulatory frameworks. A conservatively es

4 KB (552 words) - 09:55, 14 May 2021
Limit framework
...assume quantifiable risks) to govern in a quantitative manner the maximum risk [[Exposure]] permitted for an individual, trading desk, business line etc. ...| risk limits]] defined by the framework is consistent with the degree of risk the firm is willing to accept while pursuing its business model

6 KB (837 words) - 13:38, 5 February 2020
Hannah Kay Index
...Index''' is defined as the sum product of relative portfolio shares of the exposures raised to a desired exponent (power). More precisely, if we have n exposures <math>E_i</math> summing up to a total exposure of

1 KB (192 words) - 14:08, 16 April 2020
Exposure At Default
...ion of the [[Basel II]] framework where it plays the role of one the key [[Risk Parameters]] used to determine capital requirements For credit products with uncertain exposure amounts the risk drivers are typically one of the two following:

1 KB (173 words) - 19:57, 24 October 2018
Political Risk
...rse to the firm's business operations. In extreme manifestations political risk may include revolution, war or other significant change in the policy stanc == Political Risk Manifestations ==

4 KB (500 words) - 15:43, 8 November 2021
Expected Credit Loss
...a collective ''portfolio level'' (grouped exposures based on shared credit risk characteristics) ...losses is updated at ''each reporting date'' to reflect changes in credit risk since initial recognition and, consequently, more timely information is pro

3 KB (453 words) - 17:42, 18 February 2022
Past Due
...03: Prudential treatment of problem assets - definitions of non-performing exposures and forbearance</ref> [[Category:Credit Risk‏‎]]

810 bytes (119 words) - 14:10, 8 October 2018
Atkinson Index
...purpose of measuring credit portfolio or market portfolio [[Concentration Risk]], income inequality or diversity, the '''Atkinson Index''' is a parametric If we have n exposures (alternatively values / income measurements) <math>E_i</math> summing up to

2 KB (245 words) - 13:45, 16 April 2020
Generalized Entropy Index
and the fractional exposures <math>w_i</math> are defined as * the Python library [https://github.com/open-risk/concentrationMetrics Concentration Library]

1 KB (202 words) - 00:21, 18 June 2021
Kolm Index
If we have n exposures <math>E_i</math> summing up to a total exposure of and the fractional exposures <math>w_i</math> are defined as

1 KB (172 words) - 16:05, 18 June 2021
AQR Manual
...e comprehensive assessment, which aims to enhance the transparency of bank exposures by reviewing the quality of banks’ assets, including the adequacy of asse [https://www.openriskmanagement.com Open Risk] developed and put in the public domain an online ([http://en.wikipedia.org

2 KB (330 words) - 13:40, 8 February 2022
Financial Difficulty
...03: Prudential treatment of problem assets - definitions of non-performing exposures and forbearance</ref>. * A counterparty is currently [[Past Due]] on any of its material exposures

3 KB (400 words) - 14:15, 4 October 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
Restructuring
...anks or other financial institutions that handle (restructure) problematic exposures, typically by modifying the terms of loan contracts. * Policies for restructuring of distressed exposures for each segment, including: range of treatments; prioritisation of treatme

4 KB (520 words) - 11:13, 31 March 2021
Delinquency
...03: Prudential treatment of problem assets - definitions of non-performing exposures and forbearance</ref> ...old used in the Basel II regulatory framework for retail and public sector exposures

4 KB (582 words) - 15:14, 15 June 2019
NPL Glossary
...03: Prudential treatment of problem assets - definitions of non-performing exposures and forbearance</ref>, the World Bank study<ref>Loan classification and pro | Informal term classifying relationships in the context of credit risk analysis / modelling

6 KB (800 words) - 11:19, 28 September 2021
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
FVOCI
=== Market Risk === ...nting relationship. This includes for example sovereign and securitisation exposures.

5 KB (687 words) - 09:56, 9 June 2020
Risk Data Aggregation
...uirements<ref>BCBS 239, Principles for effective risk data aggregation and risk reporting, 2013</ref> ...evaluate its performance against [[Risk Appetite]]. It presupposes that [[Risk Data Integration]], that is available at the technical level

881 bytes (118 words) - 13:42, 20 October 2019
Sound Management of Operational Risk
...egulators to establish sound practices for the management of [[Operational Risk]]. ...sponsibility of the board of directors to ensure that a strong operational risk management culture exists throughout the whole organisation

4 KB (506 words) - 13:06, 2 April 2019
Loss Correlation
* Direct dependencies between exposures * Common [[Risk Factor | risk factors]] (economic environrment, market levels etc.)

367 bytes (40 words) - 11:23, 28 September 2021
Temporary Allowance Adjustments
...| risk factors]] have not been considered in the [[Credit Rating | credit risk rating]] and modelling process as of the reporting date. ...of lending exposures, or when lending exposures within a group of lending exposures react to factors or events differently than initially expected. For example

2 KB (298 words) - 15:14, 18 May 2017