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Risk Aggregation
'''Risk Aggregation''' denotes a stage of the [[Risk Measurement]] process where different risks are considered jointly in order to obtain a ...a review of firms’ internal risk aggregation methods under the Internal Capital Adequacy Assessment Process ([[ICAAP]]) required for Pillar 2 of the Basel

1 KB (164 words) - 19:25, 5 October 2019
Concentration Risk
...ive method, which is applied automatically and translated into a Pillar II capital expectation ...that set Pillar II capital expectations, only a few set explicit Pillar II capital expectations for concentration risk. It is more common for supervisors to c

4 KB (601 words) - 11:01, 24 September 2020
Credit Portfolio Model
* the credit risk measurement infrastructure that must be in place * the linkage of the framework to liabilities (ALM / Capital Management)

3 KB (429 words) - 14:55, 23 June 2020
General Provisions
...identified<ref>BCBS, International Convergence of Capital Measurement and Capital Standards, 2006</ref> == Capital Treatment under Basel II/III ==

1 KB (201 words) - 14:07, 8 October 2018
Total Eligibile Provisions
...ted assets.<ref>BCBS, International Convergence of Capital Measurement and Capital Standards, 2006</ref> == Capital Treatment under Basel II/III ==

2 KB (229 words) - 14:11, 8 October 2018
Regulatory Expected Loss
...ry standard<ref>BCBS, International Convergence of Capital Measurement and Capital Standards, 2006</ref>. It denotes the ratio of the amount expected to be lo ...estimate of expected loss on the asset represents the [[NPL Risk Capital | capital requirement]] for that asset

2 KB (266 words) - 10:18, 14 May 2021
Specific Provisions
...edit assets<ref>BCBS, International Convergence of Capital Measurement and Capital Standards, 2006</ref>

406 bytes (48 words) - 14:11, 8 October 2018
1-year Probability of Default
...ry standard<ref>BCBS, International Convergence of Capital Measurement and Capital Standards, 2006</ref>

376 bytes (50 words) - 17:07, 2 June 2017
Cure Rate
...overall [[Loss Allowance]] calculation (which also affects the [[NPL Risk Capital]] calculation). ...re rate is defined with respect to specific [[Default Definition]], so its measurement will depend on the choice made

7 KB (1,026 words) - 12:28, 9 June 2021
IFRS 9 Model Validation
...stablish the necessary steps to ensure that the credit risk assessment and measurement models are able to generate accurate, consistent and unbiased predictive es ...measurement of ECL allowances for accounting purposes, stress testing and capital allocation.

6 KB (893 words) - 12:53, 16 September 2021
Current Expected Credit Loss
* Embedding forward looking risk assessments in the measurement (assessment) of the firm's financial condition ...ls, banks solely using the standardised approach (SA) to determining their capital requirements may need to develop models from scratch

4 KB (582 words) - 11:15, 15 November 2018
Default Rate
== Measurement Choices == ...of factors ([[Competing Risks]]) may modify the number of entities in the measurement portfolio due to causes unrelated to credit risk

11 KB (1,612 words) - 14:40, 6 September 2020
Non-Performing Loan Valuation
|Collateral and other credit enhancements and the measurement of ECL |Inclusion of cash flows expected from the sale on default of a loan in the measurement of ECL

16 KB (2,148 words) - 11:27, 18 October 2020
Risk-Adjusted Return on Capital
...rance etc). RAROC is defined as the ratio of expected return to [[Economic Capital]]

569 bytes (73 words) - 16:37, 1 August 2018
Independent Risk Management
...sks and measuring the bank’s exposure to them (a process known as [[Risk Measurement]] ...k appetite, risk limits and corresponding capital or liquidity needs (ie [[Capital Planning]]);

3 KB (366 words) - 23:04, 25 November 2020
External Credit Assessment Institution
...recognized in the European Union for the purposes of Article 113(1) of the Capital Requirements Directive (CRR) | [https://www.ciratings.com Capital Intelligence Ratings Ltd] || Capital Intelligence Ratings (CI Ratings) is an international credit rating agency

14 KB (2,064 words) - 22:31, 27 September 2021
How to Estimate Lifetime PD from 12 month PD
...will typically be the case where such an estimate is used for [[Regulatory Capital]] purposes. Re-using estimates or data / models would thus both be efficien [[Category:Measurement]]

3 KB (469 words) - 17:56, 5 June 2019
SME Credit Risk Literature
| Random Survival Forests Models for SME Credit Risk Measurement ...|| Germany, France || Default Rate Volatility, Correlations || Regulatory Capital

8 KB (1,007 words) - 13:00, 7 September 2020
Capital Labor Energy Materials Multifactor Productivity
'''Capital Labor Energy Materials Multifactor Productivity'''. A ratio of a quantity i ...iciency change, economies of scale, variations in capacity utilisation and measurement errors.

1 KB (157 words) - 11:19, 8 October 2019
Capital Labor Multifactor Productivity Value Added
...a quantity index of value added to a quantity index of combined labor and capital input ...nomies of scale, efficiency change, variations in capacity utilisation and measurement errors.

1 KB (194 words) - 11:19, 8 October 2019
BCBS 24
''Amendment to the Capital Accord to incorporate market risks''. ...three-part package of documents issued by the Basle Committee to amend the Capital Accord of July 1988 to take account of market risks.

2 KB (276 words) - 11:45, 26 March 2021
Project Finance
...ne or more sponsoring firms) for the purpose of financing a single purpose capital asset, usually with a limited life. ...sectors (see list) that might be hard to finance in traditional Banking or Capital Markets

4 KB (633 words) - 13:56, 15 June 2023
IRRBB
...are key factors taken into account by supervisors when evaluating banks ́ capital adequacy under the [[SREP]]<ref>Basel Committee on Banking Supervision, "Ov ...osure and outlier identification purposes, while insisting on the internal measurement systems for risk management and the [[ICAAP]].

3 KB (359 words) - 14:21, 5 February 2020
BCBS 34
A. Capital Adequacy Principles paper B. Supplement to the Capital Adequacy Principles paper

7 KB (1,036 words) - 11:46, 26 March 2021
BCBS 258
...These measures include the introduction of a leverage ratio, an additional capital surcharge for global systemically important banks (G-SIBs), a proposed fram ...n over time as risk coverage has been expanded and more sophisticated risk measurement methodologies have been introduced.

5 KB (796 words) - 11:45, 26 March 2021
BCBS 106
''Principles for the home-host recognition of AMA operational risk capital''. ...a group-wide AMA capital requirement might calculate the operational risk capital requirements of its subsidiaries.

5 KB (657 words) - 11:39, 26 March 2021
BCBS 107
''International Convergence of Capital Measurement and Capital Standards - A Revised Framework''. ...at were not revised during the Basel II process, the 1996 Amendment to the Capital Accord to Incorporate Market Risks, and the 2005 paper on The Application o

20 KB (3,034 words) - 11:39, 26 March 2021
BCBS 109
...blished the document "International Convergence of Capital Measurement and Capital Standards, a Revised Framework" (widely known as Basel II). While this revi ...so ensure that banks that do not implement Basel II are subject to prudent capital regulation and sound accounting and provisioning policies.

5 KB (748 words) - 11:39, 26 March 2021
BCBS 11 B
...rest rate risk do not involve capital charges because they adress only teh measurement of interst rate risk.

2 KB (289 words) - 11:39, 26 March 2021
BCBS 111
...em>, including the June 2004 Basel II Framework, the 1996 Amendment to the Capital Accord to Incorporate Market Risks, and the 2005 paper on The Application o ...Framework describes a more comprehensive measure and minimum standard for capital adequacy that national supervisory authorities represented on the BCBS are

7 KB (1,008 words) - 11:43, 26 March 2021
BCBS 112
...implementation of the International Convergence of Capital Measurement and Capital Standards: A Revised Framework (hereafter the Revised Framework), especiall ...nt Group deemed it appropriate to review the risk-sensitivity and level of capital required under the current trading book regime. In this survey, special emp

6 KB (842 words) - 11:43, 26 March 2021
BCBS 114
...ound risk management and controls and maintain the integrity of regulatory capital measures. ...option when assessing the adequacy of bank risk management and regulatory capital.</li>

3 KB (504 words) - 11:43, 26 March 2021
BCBS 115
...he quantification of loss-given-default (LGD) parameters used for Pillar 1 capital calculations. In particular, the Committee was asked to further elaborate o ...etween default rates and recovery rates are reflected in internal economic capital models varies considerably across institutions.

6 KB (813 words) - 11:43, 26 March 2021
BCBS 116
...were not revised during the Basel II process and the 1996 Amendment to the Capital Accord to Incorporate Market Risks. ...Framework2 describes a more comprehensive measure and minimum standard for capital adequacy that national supervisory authorities represented on the BCBS are

6 KB (932 words) - 11:43, 26 March 2021
BCBS 118
''International Convergence of Capital Measurement and Capital Standards - A Revised Framework''. ...at were not revised during the Basel II process, the 1996 Amendment to the Capital Accord to Incorporate Market Risks, and the 2005 paper on the Application o

19 KB (2,931 words) - 12:29, 26 March 2021
BCBS 119
''Amendment to the Capital Accord to incorporate market risks''. ...ensive version of International Convergence of Capital Measurement and Capital Standards: A Revised Framework, including the June 2004 Basel II Frame

3 KB (453 words) - 11:43, 26 March 2021
BCBS 121
...data and processes may be used for credit risk assessment, accounting and capital adequacy purposes and highlights provisioning concepts that are consistent ...n assessing the adequacy of a bank's credit risk assessment and regulatory capital. </li>

7 KB (1,077 words) - 11:43, 26 March 2021
BCBS 126
...ing credit risk, accounting for loan impairment and determining regulatory capital requirements. The guidance supersedes Sound practices for loan accounting a ...ment and reasonable estimates are an essential part of the recognition and measurement of loan losses.</li>

4 KB (589 words) - 11:43, 26 March 2021
BCBS 128
''International Convergence of Capital Measurement and Capital Standards: A Revised Framework - Comprehensive Version''. ...05 paper on Basel II: International Convergence of Capital Measurement and Capital Standards: A Revised Framework. No new elements have been introduced in thi

3 KB (386 words) - 14:45, 9 April 2021
BCBS 131
''Observed range of practice in key elements of Advanced Measurement Approaches (AMA)''. ...ents of Basel II1 , particularly as they relate to the Advanced Measurement Approaches (AMA). The AIGOR has been specifically mandated to, among other

7 KB (1,148 words) - 11:43, 26 March 2021
BCBS 133
...pervisory cooperation and allocation mechanisms in the context of Advanced Measurement Approaches (AMA)''. ...paper Principles for the home-host recognition of AMA operational risk capital (Hybrid AMA paper) and specifically addresses allocation mechanisms de

4 KB (601 words) - 11:43, 26 March 2021
BCBS 134
''Guidelines for Computing Capital for Incremental Default Risk in the Trading Book''. ...remental default risk charge (IDRC) was incorporated into the trading book capital regime in response to the increasing amount of exposure in banks' trading b

4 KB (627 words) - 11:43, 26 March 2021
BCBS 135
...pervisory cooperation and allocation mechanisms in the context of Advanced Measurement Approaches (AMA)''. ...paper Principles for the home-host recognition of AMA operational risk capital (Hybrid AMA paper) and specifically addresses allocation mechanisms de

4 KB (525 words) - 11:43, 26 March 2021
BCBS 137
''Fair value measurement and modelling: An assessment of challenges and lessons learned from the mar ...the related control, audit and governance practices surrounding fair value measurement. In response to the market turmoil that emerged during mid-2007, the scope

3 KB (431 words) - 11:43, 26 March 2021
BCBS 148
...ion risk, for unsecuritised credit products. For securitised products, the capital charges of the banking book would apply. Once implemented, the IRC will red ...tressed VaR requirement will help reduce the procyclicality of the minimum capital requirements for market risk.

3 KB (471 words) - 11:43, 26 March 2021
BCBS 159
''Guidelines for computing capital for incremental risk in the trading book''. ...2008, it reviewed comments received and decided to expand the scope of the capital charge. The decision was taken in light of the recent credit market turmoil

7 KB (1,041 words) - 12:46, 26 March 2021
BCBS 16
''Planned supplement to the Capital Accord to incorporate market risks''. ...he use of banks' internal risk measurement systems as a basis for applying capital charges.

2 KB (319 words) - 11:44, 26 March 2021
BCBS 165
''International framework for liquidity risk measurement, standards and monitoring – consultative document''. ...on has issued for consultation a package of proposals to strengthen global capital and liquidity regulations with the goal of promoting a more resilient banki

6 KB (943 words) - 11:44, 26 March 2021
BCBS 181
...surance to mitigate the operational risk capital charge under the advanced measurement approach (AMA). The implementation of this provision has raised some challe

2 KB (273 words) - 11:44, 26 March 2021
BCBS 183
...sk and Operational Risk - Supervisory Guidelines for the Advanced Measurement Approaches. ...ture and converge towards a narrower band of effective risk management and measurement practices. The guidance seeks to better achieve this by setting out supervi

3 KB (385 words) - 11:44, 26 March 2021