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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
Herfindahl-Hirschman Index
For the purpose of measuring credit portfolio or market [[Concentration Risk]] (e.g., name, sector or geographic risk), diversity or inequality metrics, the '''Herfindahl-Hirschman Index (HHI)'

6 KB (900 words) - 13:45, 16 April 2020
Monte Carlo Simulation of Credit Portfolios
...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. ...capacities and other tangible human assets located in hazard-prone areas. Measures of exposure can include the number of people or types of assets in an area.

4 KB (535 words) - 17:54, 10 August 2021
Concentration Ratio
For the purpose of measuring credit portfolio or market [[Concentration Risk]], diversity or inequality metrics the '''concentration ratio''' is a measu for example credit or market risk concentrations.

5 KB (815 words) - 09:44, 24 June 2019
Credit Bureau Scoring
...nsider all relevant information.<ref>ECB guide to internal models - Credit Risk, Sep 2018</ref> Institutions mitigate this risk when they comply with the following principles:

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 ...Fair and mathematician Earl Isaac and started commercializing statistical measures of credit worthiness in the subsequent years.

5 KB (780 words) - 15:23, 6 November 2021
Economic Capital Models
...operationally recognized ([[Credit Risk]], [[Market Risk]], [[Operational Risk]] etc.). ...ired [[Risk Capital]], which can be used for [[Performance Management]], [[Risk Based Pricing]] and [[Capital Management]] decisions.

1 KB (169 words) - 15:02, 23 June 2020
Model Decay
...of models already deployed (in operation), whereby the [[Model Performance Measures | model performance]] may deteriorate to the point of the model not being a Model decay and failure applies to both risk models and valuation/pricing models. Both classes of models fail when they

2 KB (257 words) - 17:18, 3 November 2019
Model Performance Measures
'''Model Performance Measures''' are the quantitative measures that provide an objective assessment of model performance, namely the stand ...performance measures include discriminatory power and various calibration measures

822 bytes (102 words) - 11:13, 10 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
Stress Testing
'''Stress Testing''' is a general [[Risk Management]] term denoting any activity subjecting a system (whether be it ...conditions (e.g. temperature, pressure, crash testing etc.) and monitors / measures the outcomes of the test.

2 KB (316 words) - 14:06, 17 February 2021
Risk Measurement
...en isolated in the [[Risk Identification]] process that logically precedes Risk Measurement. ...ent becomes substantially delegated to the application of a [[Quantitative Risk Model]]

1 KB (169 words) - 14:04, 11 March 2024
Portfolio Management
...ntities. This domain is characterised by the direct underwriting of credit risk, ongoing bilateral relationships * [[Market Risk Management]], as practised e.g., by investment banks and hedge funds. Chara

3 KB (437 words) - 13:56, 29 May 2022
Risk Mitigation
'''Risk Mitigation''' (also ''Risk Elimination'', ''Risk Prevention'') denotes any activities pursued for the purpose of reducing or ...to enforce an agreed [[Risk Appetite]] level and thus entails a [[Residual Risk]].

2 KB (240 words) - 15:17, 11 March 2024
Concentration Measurement
...[Concentration Risk]] (excessive dependence and/or sensitivity on specific risk factors). Concentration measurement has wide applicability across different ...he use of a [[Concentration Index]], that is, a function that converts a [[Risk Distribution | distribution]] of observed values into a single number expre

902 bytes (113 words) - 15:18, 5 February 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
License
...ing Authors is licensed under the following Creative Commons license. Open Risk retains [https://www.openriskmanagement.com/copyright/ full copyright] to a <li> '''Licensor''' means Open Risk and any individual(s) or entity(ies) (contributing Authors) granting rights

14 KB (2,218 words) - 12:41, 5 September 2018
Correlation
...realizations. Its precise meaning and calculation varies depending on the risk area. ...ally in [[Credit Portfolio Management]] correlation is a measure of credit risk dependency between different credit exposures. It may refer to either [[Def

1 KB (175 words) - 13:50, 16 April 2021
Risk Management
...| intuitive decision making]] which typically does not involve rigorous [[Risk Analysis]], does not require additional training and does not employ elabor ...the objective is to reduce risks to an acceptable level (formally termed [[Risk Appetite]]).

6 KB (906 words) - 20:10, 11 March 2024
Geographic Concentration Measurement
...in question is a single country we have a more specific form of [[Country Risk Concentration]] Measurement. ...fication indicators can be defined at portfolio level, providing synthetic measures of geographic concentration.

3 KB (374 words) - 18:46, 16 November 2019
Model Accuracy
...[[Quantitative Risk Model]] in respect to its ability to provide reliable risk assessments. == Accuracy Measures ==

474 bytes (57 words) - 00:13, 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
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
Product Concentration
...t Concentration''' in the context of Risk Management 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. Product concentration depends on various characteristics of

2 KB (230 words) - 12:01, 3 June 2017
Hannah Kay Index
...is defined <ref> O.Bajo R. Salas, "Inequality Foundations of Concentration Measures</ref> as * the Python library [https://github.com/open-risk/concentrationMetrics Concentration Library]

1 KB (192 words) - 14:08, 16 April 2020
Internal Fraud
'''Internal Fraud''' is the risk of unexpected financial, material or reputational loss as the result of fra Internal Fraud is a recognized risk category in regulatory frameworks worldwide ([[Basel II]]/[[Basel III]] sta

3 KB (365 words) - 14:13, 4 October 2021
External Fraud
...ent action of persons external to the firm. External Fraud is a recognized risk category in regulatory frameworks worldwide (Basel II/III standards). ** [[IT Security Risk | Hacking damage]]

3 KB (372 words) - 15:27, 8 February 2020
Employment Practices
...' (and Workplace Safety) in the context of [[Risk Management]] denotes the risk of unexpected financial or reputational loss as the result of employment pr It is a recognized risk category in regulatory frameworks worldwide (Basel standards). The precise

2 KB (270 words) - 11:49, 22 June 2021
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
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
Physical Damage
...Damage''' (Also ''Damage to Physical Assets'' and ''Systems Risk'') is the risk of unexpected financial or reputational loss from damage to [[Physical Infr It is a recognized risk category in regulatory frameworks worldwide (Basel II standards).

2 KB (219 words) - 15:10, 10 August 2021
Business Disruption
...e disruption of business or system failures. It is a type of [[Operational Risk]] that threatens [[Business Continuity]] ...mprove its resilience to operational disruptions against the cost of those measures.

2 KB (294 words) - 14:44, 16 March 2020
Legal Risk
'''Legal Risk''' is the risk of losses arising from an unintentional or negligent failure to meet a prof It is a recognized risk category in regulatory frameworks worldwide (Basel II/III standards) usuall

2 KB (268 words) - 14:14, 4 October 2021
Entry Types
The Open Risk Manual can integrate and help publish a wide array of content. The followin ...lists a commonly adopted regulatory taxonomy and lists possible mitigation measures

3 KB (397 words) - 23:34, 8 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
Financial Guarantee
...ofile of the debtor. The manner by which this is reflected in accounting, risk management and regulatory frameworks varies significantly. ...] among [[Related Counterparties]]<ref>BCBS, Report on intra-group support measures, February 2012</ref>

6 KB (895 words) - 14:41, 6 September 2020
Discriminatory Power
...e.g. a [[Credit Scorecard]]) can be assessed using a number of statistical measures of discrimination. == Statistical Measures of Discriminatory Power ==

2 KB (209 words) - 21:01, 11 September 2020
IT Availability Risk
...IT system management; or any other event<ref>EBA, Final Guidelines on ICT Risk Assessment under SREP</ref> == Risk Sub-types ==

6 KB (926 words) - 14:14, 13 May 2017
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
IT Risk
...ng degrees of scope overlap: ''Technology Risk'', ''Cybercrime'', ''Cyber Risk'', [[Information Security | ''Infosecurity'']] == IT Risk Taxonomy ==

3 KB (367 words) - 19:25, 25 September 2021
Default Correlation
...different borrowers when considered as part of a [[Credit Portfolio]]. It measures the likelihood of [[Joint Default]] within the period of consideration. [[Category:Credit Risk Modelling]]

1 KB (143 words) - 15:57, 3 April 2019
Financial Ratios
'''Financial Ratios''' are derived measures (ratios) capturing the economic and financial condition of an entity starti ...alysis of companies, valuations, also in the [[Risk Analysis]] of [[Credit Risk]] and the assignemt of a [[Credit Rating]].

2 KB (236 words) - 14:49, 8 November 2021
Management Action
...sal. Management actions differ significantly by business line and the core risk being managed. They also range in severity and impact ...nagement action may include closing positions, hedging or other de-risking measures

2 KB (231 words) - 11:58, 27 October 2021
Tail Risk
...nd a more precise team denoting concreate classes of [[Risk Measure | risk measures]]. The term Tail Risk likely originates from the classification of probability distributions into

492 bytes (64 words) - 13:44, 16 April 2021
Risk Parameters
...ures]] used extensively for establishing capital requirements for [[Credit Risk]] in the [[Basel II]] (and subsequent) regulatory framework (specifically [ == List of Basel Risk Parameters ==

686 bytes (85 words) - 16:53, 1 September 2020
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
Credit Scorecard Business Requirements
* The business use of the scorecard, e.g. [[Risk Acceptance]] of new clients on the basis of a [[Credit Score]], [[Behaviora ...manage (e.g. the [[Default Definition | definition of a bad loan]], the [[Risk Horizon]])

2 KB (310 words) - 21:01, 11 September 2020
Privacy Policy
...ir computers should set their browsers to refuse cookies before using Open Risk websites, with the drawback that many features of the website will not func ...ith third parties in any way. Any data collected are used only within Open Risk on a need-to-know basis.

3 KB (521 words) - 16:00, 16 May 2022
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 * through forbearance measures of the credit facility (forborne cure) or

7 KB (1,026 words) - 12:28, 9 June 2021