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Name Concentration Measurement
For any quantification of risks, it is convenient to have quantitative benchmarks, for example to ...simply defined at portfolio level, providing synthetic measures of credit risk name concentration.

2 KB (232 words) - 12:17, 19 May 2017
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 ...e exposure to the client is recorded on the balance sheet, the appropriate risk weight will apply to this exposure.

8 KB (1,109 words) - 16:07, 22 February 2021
Risk Analysis
...st pillars of a formal [[Risk Management Framework]] (thus not including [[Risk Mitigation]]). ...nd evaluating the cost for such controls. Frequently it involves also the quantification of threats to an organization and the probability of them being realized.

2 KB (207 words) - 15:09, 11 March 2024
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
Sector Concentration Measurement
For any quantification of risks, it is convenient to have quantitative benchmarks, for example to ...simply defined at portfolio level, providing synthetic measures of credit risk sector concentration.

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
Risk Taxonomy
...xonomy''' is the (typically hierarchical) categorization of [[Risk Type | risk types]]. A common approach is to adopt a tree structure, whereby risks high ...uistics and metadata | classification scheme]], a formal list of concepts (Risk Types), denoted by controlled words (labels), generally arranged in tree fo

8 KB (1,110 words) - 16:01, 16 January 2023
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. For any quantification of risks, it is convenient to have quantitative benchmarks, for example to

3 KB (374 words) - 18:46, 16 November 2019
Credit Risk
'''Credit Risk''' denotes a broad category of [[Loss | adverse financial outcomes]] arisin Credit risk is a broad phenomenon as it applies to almost every conceivable economic ac

3 KB (422 words) - 16:32, 11 November 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
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
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
Risk Modelling
...isks using mathematical [[Risk Model | Risk Models]]. Closely related to ''Risk Measurement'' [[Category:Risk Model Ontology]]

216 bytes (26 words) - 00:43, 28 January 2020
Risk Factor
...related with risk. Their identification is an essential aspect of formal [[Risk Management]] ...vity. While this activity is typically internal to an organization / firm, risk factors may have to be disclosed in the context of commercial operations of

4 KB (494 words) - 16:55, 11 November 2021
Open Source Risk Management Software
== List of Open Source Risk Management Software == ...roughly speaking the domain of practice commonly denoted as [[Quantitative Risk Management]].

4 KB (551 words) - 13:27, 28 June 2020
Quantitative Risk Management
...(the application of [[Risk Model | risk models]] for the quantification of risk. ...The tools used in QRM are denoted [[Quantitative Risk Model | Quantitative Risk Models]].

931 bytes (120 words) - 14:28, 19 November 2019
Five Cs Of Credit Analysis
...Of Credit Analysis''' is an informal mnemonic of a set of [[Risk Factor | Risk Factors]] that are commonly thought to be influential in determining the [[ ...that all else being equal a higher repayment capacity implies less credit risk.

9 KB (1,373 words) - 14:11, 29 March 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
Risk Diversification
...in the same way). In a broad sense it is the opposite of [[Concentration Risk]]. ...likelihood of a given risk materializing given the realization of another risk.

5 KB (678 words) - 16:31, 25 September 2021
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
Risk Management Heroes
== Risk Management Heroes == ...current figures that have had a significant impact in the development of [[Risk Management]] as a discipline. Their work has typically been in the context

7 KB (982 words) - 13:03, 12 October 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
Data Quality Reporting
...ts around data quality reporting<ref>ECB guide to internal models - Credit Risk, Sep 2018</ref> ...roperly. To accomplish this, a formal reporting process on the quality of risk data should be in place with the objective of improving the quality of data

3 KB (421 words) - 00:08, 19 November 2018
External Risk Data
...sk Data''' are any data sets used by an organization for the purposes of [[Risk Management]] without having been produced internally by the organization. ...to externally procured datasets<ref>ECB guide to internal models - Credit Risk, Sep 2018</ref>

4 KB (542 words) - 21:01, 11 September 2020
Vendor Risk Model
'''Vendor Risk Models''' are any risk quantification systems (including data and algorithms) that are in use by a firm / organiz ...institutions are subject to additional requirements in relation to vended risk models

1 KB (165 words) - 14:31, 19 November 2019
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
Shadow Rating
* when an internal model of a bank or other credit risk bearing firm targets external ratings provided by an [[External Credit Asse ...al rating approach that selects and weighs the risk drivers to be used for risk differentiation purposes by identifying the main factors that explain exter

4 KB (539 words) - 19:21, 8 February 2021
Catalog of Loss Given Default Models
* references with [[Open Source Risk Management Software | open source implementations]] ...possible quantification approaches, depending on the nature of the credit risk, the data and expertise available etc. A classification of typical LGD Mode

6 KB (778 words) - 12:39, 16 September 2021
Long-run Loss Given Default
...ld observe the following points.<ref>ECB guide to internal models - Credit Risk, Sep 2018</ref> ...ation of this floor in the process of model development for the purpose of risk differentiation<ref>Paragraph 6.3.2.4 of EBA/GL/2017/16</ref>

9 KB (1,396 words) - 18:07, 7 November 2019
Risk
...that ''risk is the effect of uncertainty on objectives''. In simple terms, Risk denotes the potential for developments (future states of the world) that ta ...al person) or a [[Legal Entity]]. This highlights the subjective nature of risk (it is defined from the point of view of a specific entity).

3 KB (438 words) - 21:45, 3 May 2023
Human Judgement
...ment''' is used in the assignment of exposures to the grades or pools of a risk model Institutions may use human judgement in the application of risk model in the following cases:

5 KB (744 words) - 14:41, 6 September 2020
SME Credit Risk Literature
== Literature List of SME Credit Risk == ...terature, with a focus on methodologies for the quantification of [[Credit Risk]] at the various stages of [[SME Lending]].

8 KB (1,007 words) - 13:00, 7 September 2020
Risk versus Uncertainty
== Risk versus Uncertainty == ...running debate about the nature of randomness and the ability to manage [[Risk]]

920 bytes (134 words) - 12:42, 7 August 2019
Risk Management Wisdom
== Risk Management Wisdom == <li>Financial risk model complexity and quality are not necessarily correlated. But complexity

3 KB (490 words) - 14:48, 24 April 2024
Prepayment Risk Model
...loan or other fixed income portfolios and thereby help manage [[Prepayment Risk]]. ...ted parameters are [[Risk Neutral]] and therefore not directly usable in [[Risk Measurement]].

2 KB (321 words) - 17:40, 1 December 2022
Climate Risk Concentration
...of climate change. Climate risk concentration is a form of [[Concentration Risk]]. ...f [[Risk]], they are rather new (and more sharply defined) [[Risk Factor | risk factors]].

5 KB (689 words) - 18:02, 5 February 2024
Existential Risk
An '''Existential Risk''' is a [[Risk Event]] whose severity is so extreme that it threatens the very existence o * Existential risks are generally the extreme [[Tail Risk]] of known phenomena and risks, where the extrapolation to much higher seve

3 KB (436 words) - 10:04, 18 March 2024
Risk Management Koans
== Collection of Risk Management Koans == * Student: Master, what is the risk of the situation

1 KB (212 words) - 11:28, 19 April 2020
Operational Risk Manager
...anager]] function that focuses on the management of a firm's [[Operational Risk]] footprint. * Be involved in the identification and quantification of operational risk

2 KB (226 words) - 23:25, 25 November 2020
BCBS 115
...ng Supervision]] on July 2005 in the [[:Category:BCBS Market Risk | Market Risk]] category. ...pervision (the Committee) to provide further clarification surrounding the quantification of loss-given-default (LGD) parameters used for Pillar 1 capital calculatio

6 KB (813 words) - 11:43, 26 March 2021
BCBS 131
...n]] on October 2006 in the [[:Category:BCBS Operational Risk | Operational Risk]] category. ...range of acceptable bank practices for measuring and managing operational risk under the AMA.</p>

7 KB (1,148 words) - 11:43, 26 March 2021
BCBS WP14
...ing Supervision]] on May 2005 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ...ll be allowed to use their own internal measures for key drivers of credit risk as primary inputs to their minimum regulatory capital calculation, subject

4 KB (671 words) - 11:50, 26 March 2021
BCBS WP15
...upervision]] on November 2006 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ''Studies on credit risk concentration: an overview of the issues and a synopsis of the results''.

3 KB (520 words) - 11:50, 26 March 2021
Riskwashing
...[[Risk Management]] pathodologies<ref>Sustainability Improvement Loans: a risk-based approach to changing capital requirements in favour of sustainability ...nally engage in practices that obscure [[Risk | risks]] or [[Risk Factor | risk factors]] that affect them or others, typically to avoid the implications o

1 KB (204 words) - 11:49, 11 May 2021
ESG Risk Management
'''ESG Risk Management''' is a general term that collectively denotes the techniques, p ...ensure the resilience of the [[Business Model Risk | business model]] and risk profile of such institutions in the short, medium and long term, regulatory

4 KB (534 words) - 18:45, 8 February 2024
Biodiversity Loss
* Indirect quantification of biodiversity loss that may be missing critical channels and mechanisms [[Category:Biodiversity Risk]]

4 KB (578 words) - 10:07, 19 September 2023
Energy Risk Management
...tices or behaviors that aim to identify, measure and mitigate the [[Energy Risk]] faced by an individual or an organization. ...ective is to reduce risks to an acceptable level (formally termed [[Energy Risk Appetite]]).

3 KB (412 words) - 15:11, 11 March 2024
Energy Risk Framework
...prescriptions, tools etc. that indicate how an entity organizes its energy risk management activities. ...structured framework will, in accordance with the materiality of [[Energy Risk]] to an entity's operations, involve the following components:

989 bytes (135 words) - 13:31, 11 March 2024