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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
• Scenario Analysis
  ...he context of [[Risk Management]] to produce a forward-looking view of the risk (and opportunities) facing an organization. Scenario analysis is a process === Usage in Credit Risk ===
  3 KB (372 words) - 16:16, 11 May 2023
• Concentration Risk
  ...in its various manifestations is typically one of the key objectives of [[Risk Management]] or [[Portfolio Management]]. === Concentration Risk Taxonomy ===
  4 KB (601 words) - 11:01, 24 September 2020
• Total Eligibile Provisions
  ...country risk provisions or [[General Provisions]]) that are attributed to exposures treated under the IRB approach. In addition, total eligible provisions may Specific provisions set aside against equity and securitisation exposures must not be included in total eligible provisions.
  2 KB (229 words) - 14:11, 8 October 2018
• Regulatory Expected Loss
  ...ociated with equity exposures under the PD/LGD approach and securitisation exposures) to obtain a total EL amount. ...bank’s best 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
• 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 ...ge 1 Asset]] or a [[Stage 2 Asset]], depending on the assessment of credit risk taking the entire history into account. More specifically the standard stip
  7 KB (1,026 words) - 12:28, 9 June 2021
• Perfect Foresight Assumption
  ...s must be included in the LGD calculation for Stage 1, Stage 2 and Stage 3 exposures in year 1. Future property prices for realising collateral will evolve as * This methodological assumption is part of the EBA Credit risk: Questions for participating banks
  2 KB (271 words) - 14:59, 23 June 2017
• NPL Strategy
  ## [[NPL Risk Factors | external factors]] impacting NPL workout and ## [[NPL Risk Capital | capital implications]]
  4 KB (481 words) - 12:40, 23 January 2021
• NPL Risk Factors
  '''NPL Risk Factors''' denotes, in broad terms, the risk factors affecting the eventual performance of [[Non-Performing Loan]] portf ...ors may be common with those affecting the [[Credit Risk]] of ''performing exposures'', whereas other might be specific to credit obligations that are already n
  4 KB (608 words) - 16:57, 1 September 2020
• Loss Given Loss
  '''Loss Given Loss''' (LGL) is a [[Risk Parameters | Risk Parameter]] that captures the uncertainty about the actual loss that will b ...tances where there is a non-negligible probability that problematic credit exposures will return to performing status. In other words in circumstances where the
  1 KB (201 words) - 16:48, 1 September 2020
• Troubled Debt Restructuring
  Under US GAAP, forborne exposures as defined by<ref>BIS-D403, Prudential treatment of problem assets, Apr 201 [[Category:NPL Risk Management]]
  1 KB (202 words) - 21:39, 8 November 2019
• Default Rate
  '''Default Rate''' (also ''Default Frequency'') in the context of [[Credit Risk]] management is an empirically measured [[Credit Event]] realization rate. * A credit event is also always associated with an exposure at risk (although the definition of that may vary). Volume based approaches focus o
  11 KB (1,612 words) - 14:40, 6 September 2020
• Credit Rating System
  ...a rating system is to rank borrowers systematically with meaningful credit risk quality differentiation * A [[Credit Rating Scale]], a limited set of states to which all exposures are classified
  3 KB (358 words) - 16:06, 22 February 2021
• Expected Loss Best Estimate
  '''Expected Loss Best Estimate''' (EL_BE) is a regulatory term and risk parameter, denoting the credit loss expectation on defaulted assets<ref>EBA ...d use the same estimation methods used for estimating LGD on non-defaulted exposures as they are in fact part of the LGD model
  4 KB (570 words) - 09:59, 14 May 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
• Conservative Constraints in Stress Testing
  === Credit Risk === ...EBA ITS 2, defaulted exposures as per Article 178 of the CRR, or impaired exposures as per the applicable accounting standard shall be classified as S3 under I
  4 KB (605 words) - 18:39, 4 May 2018
• EBA 2018 Stress Test Definitions
  === Risk Parameters and Other Variables === Risk Parameters are defined first, to enable expressing subsequent definitions
  17 KB (2,890 words) - 23:45, 4 May 2018
• Credit Risk Monitoring
  ...Risk]] to assess the ongoing development of the borrower (obligor) credit risk profile ...a Infrastructure]], to ensure that information regarding their credit risk exposures, borrowers and collateral is relevant and up to date, and that the external
  6 KB (870 words) - 18:10, 4 June 2020
• IFRS 9 versus IRB Models
  ...nternal Rating Based]] frameworks require the use of quantitative [[Credit Risk]] estimates. This entry summarizes their relationship<ref>ESRB, Financial || Consistent with [[Credit Risk Management]] practice plus rebuttable presumption that default does not occ
  2 KB (250 words) - 14:14, 29 March 2021
• Risk Measure
  ...[[Risk Metric]] derived from a [[Risk Distribution]] (a representation of risk in terms of a [[Random Variable]]). ...ny mapping <math>\rho : V \rightarrow R \cup \{\infty\}</math> is called a risk measure.
  3 KB (521 words) - 13:52, 16 April 2021
• EBA 2018 Credit Risk Stress Test
  ...xpected credit losses. This means that ECL for initial Stage 2 and Stage 3 exposures will be calculated once at the beginning of each scenario. ECL does not cha * For exposures in S2 and S3, banks are expected to provide stressed lifetime expected loss
  12 KB (1,891 words) - 18:43, 4 May 2018
• EBA 2018 Net Interest Income Stress Test
  ...e of the repricing of their portfolio, together with their projections for risk-free reference rates and margins both under the baseline and the adverse sc * The risk related to a change in the general ‘risk-free’ yield curves to be captured via the changes in the reference rate c
  4 KB (582 words) - 16:51, 4 May 2018
• Sovereign Credit Rating
  ...with the liabilities of Sovereign entities, thus a measure of [[Sovereign Risk]] * Internal policies, risk appetite, limits, credit risk assessment and other risk management applications
  1 KB (191 words) - 12:27, 22 February 2021
• Credit Risk Modelling
  ...ent of [[Credit Risk]]. Credt risk modelling is a ubset of [[Quantitative Risk Management]]. ...odelling domain can be subdivided in two major branches depending on the [[Risk Aggregation]] level:
  2 KB (208 words) - 14:27, 3 June 2020
• 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
• LGD In-Default
  Loss given default for defaulted exposures as referred to in Article 181(1)(h) of Regulation (EU) No 575/2013. ...d use the same estimation methods used for estimating LGD on non-defaulted exposures as they are in fact part of the LGD model.
  3 KB (422 words) - 10:16, 14 May 2021
• Berger-Parker Index
  ...'' for the purpose of measuring credit portfolio or market [[Concentration Risk]], diversity or inequality metrics the Berger-Parker Index is a measure of ...ion ratio is simply the percentage of portfolio exposure by the n largest exposures.
  2 KB (279 words) - 13:43, 16 April 2020
• IFRS 9 Modeling Challenges
  ...regulatory guidance on the subject is provided in <ref>Guidance on credit risk and accounting for expected credit losses BIS-D350, Dec 2015</ref> and <re | Adequate selection of Credit Risk drivers, including impact of underwriting standards || ||
  2 KB (295 words) - 16:51, 1 September 2020
• EBA NPL Template
  institutions in order to provide detailed information on their credit exposures in the banking book to credit purchasers for the analysis, financial due di ...heet versions of the current proposed templates are [https://eba.europa.eu/risk-analysis-and-data/npls available here].
  6 KB (840 words) - 16:20, 3 February 2023
• Non-Performing Loan Valuation
  NPL assets are [[Liquidity Risk | illiquid assets]] held by banks or other credit granting institutions as ...ts that are formalized into ''subjective'' projections of how NPL specific risk factors will materialize and therefore affect the realisation of contractua
  16 KB (2,148 words) - 11:27, 18 October 2020
• Credit Portfolio Information
  ...collects and / or produces about its portfolio of credit assets or credit exposures. * [[Risk Limit]] exceptions
  2 KB (258 words) - 11:14, 15 June 2019
• Credit Origination
  ...or other credit granting institution approves for a new credit product or exposures (such as a new loan, mortgage, credit card etc) and performs initial proces ...the credit origination process may have significant repercussions for the risk profile of such liabilities
  3 KB (387 words) - 18:15, 2 March 2023
• Downturn LGD
  ...n LGD''' is a specific measure of [[Loss Given Default]] that is used as [[Risk Parameter]] in the Basel II/III regulatory framework for banks ...subject to specific requirements<ref>ECB guide to internal models - Credit Risk, Sep 2018</ref>
  6 KB (861 words) - 18:45, 7 November 2019
• 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
• 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
• Hoover Index
  More precisely, if we have n exposures <math>E_i</math> summing up to a total exposure of and fractional exposures <math>w_i</math> are defined as
  1 KB (180 words) - 14:09, 16 April 2020
• Ellison-Glaeser Index
  ...ps are adjusted versus the original publication to typical [[Concentration Risk]] applications) === Exposures ===
  4 KB (620 words) - 16:59, 27 January 2020
• Portfolio Homogeneity
  * A portfolio with homogeneous underlying exposures that exhibit similar risk profiles and cash flow characteristics should allow investors to assess the ...ifferent risk profiles and cash flow characteristics when carrying out the risk analysis and due diligence.
  2 KB (286 words) - 12:15, 10 June 2021
• Independent Risk Management
  ...he business''). Organizationally it falls under the direction of a [[Chief Risk Officer]] (CRO), a senior position with sufficient stature, independence, r ...s '''second line of defence'''. The function is responsible for overseeing risk-taking activities across the enterprise and should have authority within th
  3 KB (366 words) - 23:04, 25 November 2020
• 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
• Sources of Uncertainty
  * Uncertain Credit Exposures [[Risk Factor]] variables (risk drivers), which in turn are classified as
  2 KB (348 words) - 18:14, 24 October 2018
• Data Maintenance Requirements
  ...ect and store all relevant data to provide effective support to its credit risk measurement and management processes. In order to comply with these require ...e grouped along three elements<ref>ECB guide to internal models − Credit risk, Sep 2018</ref>:
  1 KB (175 words) - 22:44, 18 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
• 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 Rating Philosophy
  ...ulted exposures, Nov 2017</ref>,<ref>ECB guide to internal models - Credit Risk, Sep 2018</ref> : ...igors or exposures to grades or pools (‘rating assignment’) and of the risk parameter estimates that result from the method used.
  5 KB (700 words) - 10:27, 22 February 2021
• 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
• Long-run Default Rate
  ...Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures, Nov 2017</ref> ...o reflect the likely range of variability of default rates of that type of exposures as referred to in Article 49(3) of the RTS on IRB assessment methodology.
  3 KB (442 words) - 15:28, 19 November 2018
• Realised LGD
  ...ination of own fund requirements<ref>ECB guide to internal models - Credit Risk, Sep 2018</ref> . ...is for the [[Long-run Loss Given Default]] which is one of the key Basel [[Risk Parameters]]
  15 KB (2,397 words) - 10:24, 14 May 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
• ESMA Securitisation Template
  ...duce draft RTS and ITS specifying information on securitisation underlying exposures and investor reports as well as standardised templates for the submission o ...esidential Real Estate || [[ESMA Residential Real Estate Exposures Table | Exposures ]] || [[ESMA Residential Real Estate Collateral Table | Collateral ]] ||
  3 KB (337 words) - 21:12, 12 February 2019
• ESMA Residential Real Estate.Exposures.Credit Impaired Obligor
  == Definition of ESMA Residential Real Estate.Exposures.Credit Impaired Obligor == <b>ESMA Residential Real Estate.Exposures.Credit Impaired Obligor</b>
  4 KB (539 words) - 20:14, 12 February 2019
• ESMA Commercial Real Estate.Exposures.Participation Of SSPE
  == Definition of ESMA Commercial Real Estate.Exposures.Participation Of SSPE == <b>ESMA Commercial Real Estate.Exposures.Participation Of SSPE</b>
  2 KB (248 words) - 20:17, 12 February 2019
• ESMA Corporate.Exposures.Credit Impaired Obligor
  == Definition of ESMA Corporate.Exposures.Credit Impaired Obligor == <b>ESMA Corporate.Exposures.Credit Impaired Obligor</b>
  3 KB (531 words) - 20:21, 12 February 2019
• ESMA Automobile.Exposures.Credit Impaired Obligor
  == Definition of ESMA Automobile.Exposures.Credit Impaired Obligor == <b>ESMA Automobile.Exposures.Credit Impaired Obligor</b>
  3 KB (531 words) - 20:24, 12 February 2019
• ESMA Consumer.Exposures.Credit Impaired Obligor
  == Definition of ESMA Consumer.Exposures.Credit Impaired Obligor == <b>ESMA Consumer.Exposures.Credit Impaired Obligor</b>
  3 KB (531 words) - 20:26, 12 February 2019
• ESMA Credit Cards.Exposures.Credit Impaired Obligor
  == Definition of ESMA Credit Cards.Exposures.Credit Impaired Obligor == <b>ESMA Credit Cards.Exposures.Credit Impaired Obligor</b>
  3 KB (535 words) - 20:27, 12 February 2019
• ESMA Leasing.Exposures.Credit Impaired Obligor
  == Definition of ESMA Leasing.Exposures.Credit Impaired Obligor == <b>ESMA Leasing.Exposures.Credit Impaired Obligor</b>
  3 KB (531 words) - 20:28, 12 February 2019
• ESMA Esoteric Assets.Exposures.Credit Impaired Obligor
  == Definition of ESMA Esoteric Assets.Exposures.Credit Impaired Obligor == <b>ESMA Esoteric Assets.Exposures.Credit Impaired Obligor</b>
  3 KB (533 words) - 20:30, 12 February 2019
• ESMA Leasing Exposures Table
  | [[ESMA Leasing.Exposures.Unique Identifier|ESMA Leasing.Exposures.Unique Identifier]] || ALPHANUM-28 || The unique identifier assigned by th ...SMA Leasing.Exposures.Original Underlying Exposure Identifier|ESMA Leasing.Exposures.Original Underlying Exposure Identifier]] || ALPHANUM-1000 || Unique under
  26 KB (3,745 words) - 20:58, 12 February 2019
• ESMA Consumer Exposures Table
  | [[ESMA Consumer.Exposures.Unique Identifier|ESMA Consumer.Exposures.Unique Identifier]] || ALPHANUM-28 || The unique identifier assigned by th ...A Consumer.Exposures.Original Underlying Exposure Identifier|ESMA Consumer.Exposures.Original Underlying Exposure Identifier]] || ALPHANUM-1000 || Unique under
  24 KB (3,380 words) - 21:23, 12 February 2019
• ESMA Corporate Exposures Table
  | [[ESMA Corporate.Exposures.Unique Identifier|ESMA Corporate.Exposures.Unique Identifier]] || ALPHANUM-28 || The unique identifier assigned by th ...Corporate.Exposures.Original Underlying Exposure Identifier|ESMA Corporate.Exposures.Original Underlying Exposure Identifier]] || ALPHANUM-1000 || Unique under
  33 KB (4,716 words) - 21:22, 12 February 2019
• ESMA Residential Real Estate Exposures Table
  ...ntial Real Estate.Exposures.Unique Identifier|ESMA Residential Real Estate.Exposures.Unique Identifier]] || ALPHANUM-28 || The unique identifier assigned by th ...sures.Original Underlying Exposure Identifier|ESMA Residential Real Estate.Exposures.Original Underlying Exposure Identifier]] || ALPHANUM-1000 || Unique under
  32 KB (4,544 words) - 21:15, 12 February 2019
• ESMA Esoteric Assets Exposures Table
  | [[ESMA Esoteric Assets.Exposures.Unique Identifier|ESMA Esoteric Assets.Exposures.Unique Identifier]] || ALPHANUM-28 || The unique identifier assigned by th ...ets.Exposures.Original Underlying Exposure Identifier|ESMA Esoteric Assets.Exposures.Original Underlying Exposure Identifier]] || ALPHANUM-1000 || Unique under
  23 KB (3,212 words) - 21:24, 12 February 2019
• ESMA Automobile Exposures Table
  | [[ESMA Automobile.Exposures.Unique Identifier|ESMA Automobile.Exposures.Unique Identifier]] || ALPHANUM-28 || The unique identifier assigned by th ...tomobile.Exposures.Original Underlying Exposure Identifier|ESMA Automobile.Exposures.Original Underlying Exposure Identifier]] || ALPHANUM-1000 || Unique under
  27 KB (3,842 words) - 21:04, 12 February 2019
• ESMA Credit Cards Exposures Table
  | [[ESMA Credit Cards.Exposures.Unique Identifier|ESMA Credit Cards.Exposures.Unique Identifier]] || ALPHANUM-28 || The unique identifier assigned by th ...Cards.Exposures.Original Underlying Exposure Identifier|ESMA Credit Cards.Exposures.Original Underlying Exposure Identifier]] || ALPHANUM-1000 || Unique under
  16 KB (2,342 words) - 21:23, 12 February 2019
• Credit Risk Mitigation
  ...dit Institution]] to reduce the credit risk associated with an exposure or exposures which the credit institution continues to hold<ref>Directive 2006/48/EC Of Similar to more general [[Risk Mitigation]], the options are broadly:
  676 bytes (96 words) - 13:42, 28 March 2019
• Transferred Receivable
  ...ky assets subject to [[Credit Risk]] and potentially other [[Risk Factor | risk factors]] * [[ESMA Residential Real Estate Exposures Table ]]
  2 KB (273 words) - 16:01, 19 April 2019
• Climate-Related Risk
  '''Climate-Related Risk''' refers to the potential negative impacts of [[Climate Change]] on an org ...ext climate-related risks form a collection of fundamental [[Risk Factor | risk factors]] or underlying causes which are expressed (realised) as more speci
  3 KB (484 words) - 15:10, 22 March 2021
• Calibration Segment
  ...Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures, Nov 2017</ref>. A calibration segment is thus the collection of rating gra Where all obligors or exposures within the range of application of the PD or LGD model are jointly calibrat
  1 KB (195 words) - 00:11, 24 May 2019
• 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 Lending
  ...requirements for SME exposures are set separately from corporate or retail exposures (see [[ASRF]]) == SME Credit Risk Models ==
  2 KB (216 words) - 21:07, 31 March 2021
• 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
• 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
• Risk Transfer
  ...se or State authority will obtain resources from the other party after a [[Risk Event]] of [[Disaster]] occurs, in exchange for ongoing or compensatory soc ...insurance or other means. It can also refer to the shifting of a physical risk or part thereof elsewhere.
  2 KB (280 words) - 16:23, 10 August 2021
• Securitisation
  ...ns and credit card receivables. Although initially used to transfer credit risk, securitization techniques are also ...the ''investors'' in securitization bonds (tranches) the list of principal risk factors includes a combination of the following
  2 KB (313 words) - 13:03, 21 September 2020
• Synthetic versus Traditional Securitisation
  ...uctures, there is an important difference between the ways of transferring risk from the originator to the investor<ref>EBA/DP/2019/01</ref> ...contract]] between the originator and the investor, leaving the underlying exposures in the ownership of the originator and on its balance sheet
  5 KB (650 words) - 12:50, 12 October 2019
• Criteria for STS Synthetic Securitisation
  ...plicity ||[[STS Criterion 1. Balance sheet synthetic securitisation credit risk mitigation]] | ||[[STS Criterion 11. No defaulted exposures or exposures subject to outstanding disputes]]
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• BCBS 239
  ...ng Supervision]] on January 2013 in the [[:Category:BCBS Risk Management | Risk Management]] category. ''Principles for effective risk data aggregation and risk reporting''.
  2 KB (331 words) - 11:45, 26 March 2021
• CRD IV Regulation
  ...ts of [[Credit Risk]], [[Market Risk]], [[Operational Risk]], [[Settlement Risk]] and leverage;</li> <li>requirements limiting large exposures;</li>
  1 KB (136 words) - 11:30, 1 November 2019
• Standardized Exposure Classes
  ...Classes''' are the eligible classification categories for all [[Exposure | exposures]] of Each exposure shall be assigned to one of the following exposure clas <li> exposures to central governments or central banks;
  1 KB (154 words) - 23:00, 31 October 2019
• Watch List
  ...or more intense monitoring. This is typically for the purpose of better [[Risk Management]], but potentially also as a means to identify upside opportunit ...and monitoring</ref>, watch lists are an essential element of the [[Credit Risk Monitoring]] framework:
  2 KB (253 words) - 12:36, 16 September 2021
• STS Criterion 1. Balance sheet synthetic securitisation credit risk mitigation
  Balance sheet synthetic securitisation, credit risk mitigation <ref>EBA STS Framework for Synthetic Securitisation, EBA/DP/2019 ...ritisation Regulation, and is an originator with respect to the underlying exposures as defined in Article 2(3) of the Securitisation Regulation.
  4 KB (635 words) - 18:24, 12 November 2019
• STS Criterion 2. Representations and warranties
  ...tection buyer that the following requirements in respect of the underlying exposures of a synthetic securitisation are met: ...he protection buyer has full right, good and valid title to the underlying exposures and their associated ancillary rights.
  3 KB (414 words) - 20:45, 12 November 2019
• STS Criterion 3. Eligibility criteria no active portfolio management
  The underlying exposures should at all times be subject to predetermined, clear and well documented ...active portfolio management on a discretionary basis including the sale of exposures being protected under the credit protection agreement. The following should
  4 KB (532 words) - 20:45, 12 November 2019
• STS Criterion 6. No resecuritisation
  The underlying exposures should not include any securitisation position. ...dit quality of the re-securitisation tranches. The modelling of the credit risk arising in these bonds proved very difficult, due to high correlations aris
  1 KB (180 words) - 20:46, 12 November 2019
• STS Criterion 11. No defaulted exposures or exposures subject to outstanding disputes
  No defaulted exposures or exposures subject to outstanding disputes <ref>EBA STS Framework for Synthetic Securi The underlying exposures should not include, at the time of selection:
  2 KB (314 words) - 20:46, 12 November 2019
• STS Criterion 12. At least one payment made
  ...one payment. This is with exception of revolving securitisations backed by exposures payable in a single instalment or having a maturity of less than one year, ...sures payable in single instalment or with an initial legal maturity of an exposures of below one year.
  2 KB (235 words) - 20:46, 12 November 2019
• STS Criterion 13. No embedded maturity transformation
  ...he re-sale value of the assets that are being financed by those underlying exposures. ...ion risks to which the securitisation is exposed. It also makes the credit risk of the securitisation more difficult for the investors to model and assess.
  1 KB (169 words) - 20:46, 12 November 2019
• STS Criterion 29. Credit events
  ...stitutions according to Regulation (EU) No 575/2013, applied to underlying exposures shall not preclude the trigger of eligible credit events. ...vided in the CRR shape the way prudential regulation quantifies the credit risk to be covered by regulatory capital and such well-established definitions s
  3 KB (485 words) - 20:46, 12 November 2019
• STS Criterion 36. Eligible credit protection agreement counterparties and collateral
  ...R, provided that the exposures to the protection provider qualify for a 0% risk weight under Chapter Two of Part Three Title II of the CRR, or; * collateral is in the form of 0% risk weighted debt securities, held in a trust or entity set up for the sole pur
  5 KB (771 words) - 20:46, 12 November 2019
• STS Criterion 15. Appropriate mitigation of interest rate and currency risks
  === Currency risk === ...t effect should be disclosed. The protection buyer should bear no currency risk in relation to the credit protection it receives. This may be done in eithe
  5 KB (720 words) - 20:46, 12 November 2019
• STS Criterion 20. Transaction documentation
  * the servicing procedures that apply to the underlying exposures at the closing date and thereafter and the circumstances under which these ...standards the servicer will have to adhere to in servicing the underlying exposures within the entire maturity of the synthetic securitisation.
  2 KB (357 words) - 20:46, 12 November 2019
• STS Criterion 21. Servicers expertise
  The servicer should have expertise in servicing exposures of a similar nature to those securitised, supported by a management team wi ...ies, procedures and risk- management controls relating to the servicing of exposures.
  2 KB (253 words) - 20:46, 12 November 2019
• IRRBB
  ...g [[Interest Rate Risk]] of regulated financial services firms (Banks) for exposures that are not accounted on a [[Mark-to-Market]] basis ...banks ́ IRRBB management frameworks and the level of their interest rate exposures are key factors taken into account by supervisors when evaluating banks ́
  3 KB (359 words) - 14:21, 5 February 2020
• 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
• Vasicek Distribution
  ...rsions, the finite portfolio case and its limiting case wher the number of exposures in a portfolio assumed infinitely many / infinitely small. * [[Risk Distribution]]
  1 KB (167 words) - 14:16, 19 February 2022
• BCBS 34
  ...xposures. The Joint Forum also intends to pursue work in the area of large exposures.</p> The above regulatory document ''abstract'' is quoted verbatim in this Open Risk Manual entry and provided free of charge for the convenience of all interne
  7 KB (1,036 words) - 11:46, 26 March 2021
• BCBS 258
  ''The regulatory framework: balancing risk sensitivity''. ...t banks (G-SIBs), a proposed framework for measuring and controlling large exposures, and minimum liquidity and funding standards. The Committee has also introd
  5 KB (796 words) - 11:45, 26 March 2021
• EBA Guidelines on Loan Origination and Monitoring
  ...r to ensure that institutions have robust and prudent approaches to credit risk taking, management and monitoring. | Credit Risk Governance and Culture
  8 KB (957 words) - 15:48, 31 March 2022
• Credit Risk Policy
  ...il an organization's perception and attitude towards the range or [[Credit Risk | credit risks]] it faces and desires to manage The Credit Risk policy is a key part of an organization's [[Risk Framework]]
  7 KB (921 words) - 22:02, 25 October 2021
• Leveraged Transaction
  * all types of loan or credit exposures where the borrower is owned by one or more [[Sponsor | financial sponsors]] This definition should encompass all business lines and units bearing credit risk.
  3 KB (396 words) - 14:49, 3 June 2020
• Credit Decision Making
  ...nt of an institution in relation to its [[Credit Risk Management]] (e.g. [[Risk Acceptance]], [[Credit Portfolio Management]]) etc. ...imits within an organisation and be based on objective criteria, including risk indicators.
  3 KB (492 words) - 14:02, 4 June 2020
• Corporate Credit Risk Analysis
  '''Corporate Credit Risk Analysis''' denotes [[Credit Risk Analysis]] as it applies to medium-to-large sized enterprizes. ...to ensure that the application is in line with the institution’s credit risk appetite, policies, credit-granting criteria, limits and relevant metrics,
  12 KB (1,843 words) - 14:46, 1 September 2020
• SME Credit Risk Analysis
  '''SME Credit Risk Analysis''' is the specialization of [[Credit Risk Analysis]] to the particular context of [[SME Lending]]. General requirements for the analysis of SME Credit Risk are set in<ref>EBA, Guidelines on loan origination and monitoring EBA/GL/20
  11 KB (1,537 words) - 22:17, 31 March 2021
• Monitoring of Credit Exposures and Borrowers
  ...onitoring of Credit Exposures and Borrowers''' is a subset of the [[Credit Risk Monitoring]] framework that focuses on the monitoring of [[Outstanding Amou As part of the monitoring of credit exposures and borrowers, institutions should monitor all outstanding amounts and limi
  3 KB (364 words) - 18:22, 4 June 2020
• Early Warning Indicators for Credit Risk
  ...g Indicators]] that are used specifically for the anticipation of [[Credit Risk]] events. ...ty, profitability, market and macroeconomic metrics. In the context of the risk control framework, an institution can use progressive metrics (“traffic l
  6 KB (922 words) - 11:13, 22 December 2020
• Credit Scoring System
  ...scoring system is to rank borrowers systematically with meaningful credit risk quality differentiation. ...it Scoring Scale]], a delimited range of credit scores to which all credit exposures must be classified
  1 KB (162 words) - 21:01, 11 September 2020
• How to Create a Credit Risk Rating System
  == How to Create a Credit Risk Rating System == ...a rating system is to rank borrowers systematically with meaningful credit risk quality differentiation, thereby assisting effective [[Credit Portfolio Man
  2 KB (296 words) - 12:24, 22 February 2021
• Portfolio Risk Manager
  A '''Portfolio Risk Manager''' is an individual that has formal [[Risk Management]] responsibilities in the context of [[Portfolio Management]] * [[Market Risk Management]] as [[Market Risk Manager]]
  2 KB (279 words) - 23:25, 25 November 2020
• Market Risk Controller
  ...]] function that actively assesses market risk and approves of market risk exposures within a firm. ...more analytic aspects of market risk management being termed the [[Market Risk Analyst]] function.
  2 KB (254 words) - 23:25, 25 November 2020
• ALM Manager
  ...s the starting point for defining a more specific [[Risk Management Jobs | risk management job profile]]. This is NOT a template for a job vacancy advertis ...or financial institutions, an ALM Manager may encompass managing risks and exposures in some of the following areas:
  2 KB (323 words) - 13:50, 1 December 2022
• Country Risk Manager
  ...alized [[Risk Manager]] that focuses on the management of [[Country Risk]] exposures. * Collect and update information about the evolving [[Risk Exposure]] of an institution to any specific country
  2 KB (221 words) - 23:25, 25 November 2020
• Asset and Liability Management
  ...ss model. For financial institutions, ALM may encompass managing risks and exposures in some of the following areas: * [[Interest Rate Risk]]
  874 bytes (119 words) - 13:50, 1 December 2022
• BCBS JOINT29
  ...ity and guidance for supervisors on the governance, capital, liquidity and risk management frameworks of financial conglomerates. Importantly, these update ...ensure that financial conglomerates properly measure and manage liquidity risk.</p>
  6 KB (841 words) - 11:50, 26 March 2021
• BCBS 105
  ...Supervision]] on January 2004 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ...lans to revise the internal ratings-based (IRB) approach to securitisation exposures.</p>
  4 KB (614 words) - 11:39, 26 March 2021
• BCBS 107
  ...r improving capital regulation to take into account changes in banking and risk management practices while at the same time preserving the benefits of a fr ...ucture of the 1996 Market Risk Amendment regarding the treatment of market risk; and the definition of eligible capital.</p>
  20 KB (3,034 words) - 11:39, 26 March 2021
• BCBS 11 C
  ...g Supervision]] on April 1993 in the [[:Category:BCBS Market Risk | Market Risk]] category. ...ddition to netting by novation, other forms of bilateral netting of credit exposures to the extent that such arrangements are effective under relevant laws and
  2 KB (239 words) - 15:46, 11 August 2021
• BCBS 111
  ...g Supervision]] on April 2005 in the [[:Category:BCBS Market Risk | Market Risk]] category. ...to be more flexible and better able to evolve with advances in markets and risk management practices.</p>
  7 KB (1,008 words) - 11:43, 26 March 2021
• BCBS 112
  ...g Supervision]] on April 2005 in the [[:Category:BCBS Market Risk | Market Risk]] category. ...h less emphasis on the market risks, previously tackled in the 1996 Market Risk Amendment. In comments received on the third consultative paper on the Revi
  6 KB (842 words) - 11:43, 26 March 2021
• BCBS 115
  ...ng Supervision]] on July 2005 in the [[:Category:BCBS Market Risk | Market Risk]] category. ...efault rates may be a material source of unexpected credit losses for some exposures or portfolios. Failing to account for this possibility risks understating t
  6 KB (813 words) - 11:43, 26 March 2021
• BCBS 116
  ...nking Supervision]] on July 2005 in the [[:Category:BCBS Risk Management | Risk Management]] category. ...to be more flexible and better able to evolve with advances in markets and risk management practices.</p>
  6 KB (932 words) - 11:43, 26 March 2021
• BCBS 118
  ...r improving capital regulation to take into account changes in banking and risk management practices while at the same time preserving the benefits of a fr ...ucture of the 1996 Market Risk Amendment regarding the treatment of market risk; and the definition of eligible capital.</p>
  19 KB (2,931 words) - 12:29, 26 March 2021
• BCBS 119
  ...upervision]] on November 2005 in the [[:Category:BCBS Market Risk | Market Risk]] category. .... The other papers in the three-part package are an overview of the market risk amendment and a technical paper on the backtesting of models.</p>
  3 KB (453 words) - 11:43, 26 March 2021
• BCBS 121
  ''Sound Credit Risk Assessment and Valuation for Loans - consultative paper''. ...Basel Committee on Banking Supervision believes will promote sound credit risk assessment and controls. </li>
  7 KB (1,077 words) - 11:43, 26 March 2021
• BCBS 138
  ''Principles for Sound Liquidity Risk Management and Supervision''. ...blished for public comment </span><em><span>Principles for Sound Liquidity Risk Management and Supervision</span></em><span>.</span></p>
  5 KB (745 words) - 11:43, 26 March 2021
• BCBS 149
  ''Guidelines for computing capital for incremental risk in the trading book''. ...banking organisations have experienced large losses resulting from trading exposures. The IRC proposal follows the Committee's efforts, in collaboration with th
  3 KB (364 words) - 11:43, 26 March 2021
• BCBS 150
  ...so-called "resecuritisations") are more highly correlated with systematic risk than are traditional securitisations. Resecuritisations, therefore, warrant <p>Prior to the onset of the financial crisis, banks built up significant exposures to off-balance sheet conduits, which were not adequately reflected in the c
  7 KB (993 words) - 11:43, 26 March 2021
• BCBS 157
  ...s conduct more rigorous credit analyses of externally rated securitisation exposures. </span></p> ...pan>addresses several notable weaknesses that have been revealed in banks' risk management processes during the financial turmoil that began in 2007. The a
  4 KB (539 words) - 11:44, 26 March 2021
• BCBS 164
  ...from financial and economic stress, whatever the source, thus reducing the risk of spillover from the financial sector to the real economy.</p> ...the crisis. Through its reform package, the Committee also aims to improve risk management and governance as well as strengthen banks' transparency and dis
  11 KB (1,648 words) - 11:44, 26 March 2021
• BCBS 165
  ...sion]] on December 2009 in the [[:Category:BCBS Liquidity Risk | Liquidity Risk]] category. ''International framework for liquidity risk measurement, standards and monitoring – consultative document''.
  6 KB (943 words) - 11:44, 26 March 2021
• BCBS 171
  ...king Supervision]] on April 2010 in the [[:Category:BCBS Risk Management | Risk Management]] category. ''Sound practices for backtesting counterparty credit risk models''.
  3 KB (396 words) - 11:44, 26 March 2021
• BCBS 185
  ...g Supervision]] on December 2010 in the [[:Category:BCBS Risk Management | Risk Management]] category. ''Sound practices for backtesting counterparty credit risk models - final document''.
  2 KB (320 words) - 11:44, 26 March 2021
• BCBS 186
  ...sion]] on December 2010 in the [[:Category:BCBS Liquidity Risk | Liquidity Risk]] category. ...r risk coverage, the introduction of a leverage ratio as a backstop to the risk-based requirement, measures to promote the build up of capital that can be
  9 KB (1,436 words) - 11:44, 26 March 2021
• BCBS 187
  ...r risk coverage, the introduction of a leverage ratio as a backstop to the risk-based requirement, measures to promote the build up of capital that can be <p>Including the effect of all changes to the definition of capital and risk-weighted assets, as well as assuming full implementation as of 31 December
  9 KB (1,415 words) - 11:44, 26 March 2021
• BCBS 188
  ...sion]] on December 2010 in the [[:Category:BCBS Liquidity Risk | Liquidity Risk]] category. ''Basel III: International framework for liquidity risk measurement, standards and monitoring''.
  9 KB (1,428 words) - 11:44, 26 March 2021
• BCBS 189
  ...to the credit valuation adjustments applied to address counterparty credit risk in bilateral trades) represents the initial phase of Basel III reforms, whi ...rated, including the global standards for market risk, counterparty credit risk and securitisation;</li>
  4 KB (567 words) - 17:26, 8 June 2021
• BCBS 190
  ''Capitalisation of bank exposures to central counterparties - consultative document''. ...e capitalised according to a method that consistently and simply estimates risk arising from such default fund.</p>
  3 KB (465 words) - 11:44, 26 March 2021
• BCBS 191
  ...rparty Credit Risk]], [[Disclosure]], [[Sound Incentives]], [[Default Fund Exposures]] The above regulatory document ''abstract'' is quoted verbatim in this Open Risk Manual entry and provided free of charge for the convenience of all interne
  3 KB (380 words) - 11:44, 26 March 2021
• BCBS 197
  ...rparty Credit Risk]], [[Disclosure]], [[Sound Incentives]], [[Default Fund Exposures]] The above regulatory document ''abstract'' is quoted verbatim in this Open Risk Manual entry and provided free of charge for the convenience of all interne
  2 KB (311 words) - 11:44, 26 March 2021
• BCBS 206
  ...g Supervision]] on November 2011 in the [[:Category:BCBS Risk Management | Risk Management]] category. ''Capitalisation of bank exposures to central counterparties - consultative document''.
  3 KB (382 words) - 11:44, 26 March 2021
• BCBS 222
  ''Principles for effective risk data aggregation and risk reporting - consultative document''. ...sk reporting - consultative document</em>are intended to strengthen banks' risk management capabilities. This should ensure banks are better prepared to co
  3 KB (357 words) - 11:44, 26 March 2021
• BCBS 227
  ...nking Supervision]] on July 2012 in the [[:Category:BCBS Risk Management | Risk Management]] category. ''Capital requirements for bank exposures to central counterparties''.
  4 KB (519 words) - 11:45, 26 March 2021
• BCBS 229
  ...ragraph">Since the BCBS's <em>Supervisory guidance for managing settlement risk in foreign exchange transactions</em> (2000) was published, the foreign exc ...ayment-versus-payment arrangements, where practicable, to reduce principal risk.</p>
  4 KB (535 words) - 13:39, 15 June 2021
• BCBS 234
  ...of banks' calculation of risk-weighted assets for banking and trading book exposures relevant for the implementation of the Basel III framework is underway and The above regulatory document ''abstract'' is quoted verbatim in this Open Risk Manual entry and provided free of charge for the convenience of all interne
  3 KB (368 words) - 11:45, 26 March 2021
• BCBS 236
  ...upervision]] on December 2012 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ...e Committee's objectives are to make capital requirements more prudent and risk-sensitive; to mitigate mechanistic reliance on external credit ratings; and
  4 KB (561 words) - 11:45, 26 March 2021
• BCBS 237
  ...g Supervision]] on December 2012 in the [[:Category:BCBS Risk Management | Risk Management]] category. ''Basel III counterparty credit risk and exposures to central counterparties - Frequently asked questions''.
  3 KB (359 words) - 11:45, 26 March 2021
• BCBS 241
  ...places, the Basel Committee's Supervisory guidance for managing settlement risk in foreign exchange transactions published in 2000.</p> <p>Since the original FX settlement risk guidance was published, the FX market has made significant strides in reduc
  4 KB (535 words) - 11:45, 26 March 2021
• BCBS 246
  ...g Supervision]] on March 2013 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ''Supervisory framework for measuring and controlling large exposures''.
  4 KB (589 words) - 11:45, 26 March 2021
• BCBS 250
  ...ng Supervision]] on June 2013 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ''Frequently asked questions on Large Exposures QIS''.
  2 KB (281 words) - 11:45, 26 March 2021
• BCBS 251
  ...isk based leverage ratio to act as a credible supplementary measure to the risk-based capital requirements. The leverage ratio is intended to:</p> <li>reinforce the risk-based requirements with a simple, non-risk-based "backstop" measure.</li>
  4 KB (520 words) - 11:45, 26 March 2021
• BCBS 253
  ''Capital treatment of bank exposures to central counterparties - consultative document''. ...priate measurement, monitoring and management of banks' exposures to CCPs, exposures which had previously attracted no regulatory capital charge.</p>
  4 KB (586 words) - 11:45, 26 March 2021
• BCBS 254
  ...ng Supervision]] on June 2013 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ''The non-internal model method for capitalising counterparty credit risk exposures - consultative document''.
  3 KB (468 words) - 11:45, 26 March 2021
• BCBS 257
  ...ommittee believes the revised standard will more appropriately reflect the risk of a fund's underlying investments and its leverage.</p> ...nt risk-sensitive capital framework which provides incentives for improved risk management practices.</p>
  4 KB (588 words) - 11:45, 26 March 2021
• BCBS 265
  ...ng Supervision]] on October 2013 in the [[:Category:BCBS Risk Management | Risk Management]] category. ''Fundamental review of the trading book: A revised market risk framework – consultative document''.
  5 KB (782 words) - 13:07, 16 April 2021
• BCBS 269
  ...nformed by the Committee's desire to strike an appropriate balance between risk sensitivity, simplicity and comparability.</p> ...the Committee has proposed a simple framework akin to that used for credit risk:</p>
  4 KB (630 words) - 14:25, 9 April 2021
• BCBS 270
  ...the on- and off-balance sheet sources of banks' leverage. This simple, non-risk based "backstop" measure will restrict the build-up of excessive leverage i ...d in the Basel framework's Standardised Approach for credit risk under the risk-based requirements, subject to a floor of 10%.</li>
  6 KB (825 words) - 11:45, 26 March 2021
• BCBS 279
  ''The standardised approach for measuring counterparty credit risk exposures''. ...s a comprehensive, non-modelled approach for measuring counterparty credit risk associated with OTC derivatives, exchange-traded derivatives, and long sett
  5 KB (708 words) - 12:42, 31 March 2021
• BCBS 28 A
  ...on January 1997 in the [[:Category:BCBS Interest Rate Risk | Interest Rate Risk]] category. ''Consultative document - Principles for the management of interest rate risk''.
  2 KB (318 words) - 11:45, 26 March 2021
• BCBS 282
  ''Capital requirements for bank exposures to central counterparties''. <p>The Basel Committee completed its work on the capital treatment of bank exposures to central counterparties, following a collaborative effort between the BCB
  4 KB (530 words) - 12:02, 26 March 2021
• BCBS 283
  ''Supervisory framework for measuring and controlling large exposures''. ...ndard for measuring, aggregating and controlling single name concentration risk across jurisdictions.</p>
  4 KB (645 words) - 12:04, 26 March 2021
• BCBS 46
  ...Supervision]] on January 1999 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ...LI counterparties involved and the effective measurement and management of exposures. Moreover, in some cases, competitive forces and the desire to conduct busi
  2 KB (337 words) - 11:46, 26 March 2021
• BCBS 48
  ...upervision]] on February 1999 in the [[:Category:BCBS Market Risk | Market Risk]] category. ...rong market discipline on an institution to manage its activities and risk exposures in a manner that is both prudent and consistent with its stated business ob
  5 KB (683 words) - 11:46, 26 March 2021
• BCBS 52
  ''Supervisory Guidance for Managing Settlement Risk in Foreign Exchange Transactions''. ...ures amounting to tens of billions of dollars each day, and in some cases, exposures to a single counterparty in excess of an institution's capital.</p>
  4 KB (546 words) - 12:16, 7 September 2021
• BCBS 53
  ...ng Supervision]] on July 1999 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ''Best Practices for Credit Risk Disclosure''.
  5 KB (759 words) - 15:42, 6 October 2021
• BCBS 62
  ''Intra-Group Transactions and Exposures Principles''. ...trol of (1) risk concentrations (RCs) and (2) intra-group transactions and exposures (ITEs).</p>
  2 KB (330 words) - 11:46, 26 March 2021
• BCBS 63
  ''Risk Concentrations Principles''. ...trol of (1) risk concentrations (RCs) and (2) intra-group transactions and exposures (ITEs).</p>
  2 KB (329 words) - 11:46, 26 March 2021
• BCBS 64
  ...cipline and can reinforce supervisory efforts to promote high standards in risk management. The two committees consider the transparency of banks' and secu ...disclosed information on the management of liquidity risk and operational risk.</p>
  4 KB (609 words) - 11:46, 26 March 2021
• BCBS 65
  ...mendations in this paper fall into three areas: structure of capital, risk exposures and capital adequacy. The Basel Committee is firmly committed to improving * Keywords: [[Disclosure]], [[Risk Exposures]]
  3 KB (440 words) - 11:46, 26 March 2021
• BCBS 68
  ...Highly Leveraged Institutions (HLIs) which analysed the quality of banks' risk management practices with regard to HLIs and discussed the related supervis ...d by the Committee were prompted by the experience of weaknesses in banks' risk management practices with respect to HLIs such as hedge funds, as witnessed
  6 KB (868 words) - 11:46, 26 March 2021
• BCBS 73
  ''Supervisory Guidance for Managing Settlement Risk in Foreign Exchange Transactions''. ...he largest banks. Most significantly, for banks of any size, the amount at risk to even a single counterparty could in some cases exceed their capital.</p>
  4 KB (625 words) - 11:46, 26 March 2021
• BCBS 74
  ...pervision]] on September 2000 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ''Best Practices for Credit Risk Disclosure''.
  5 KB (804 words) - 11:46, 26 March 2021
• BCBS 79
  ...sup style="font-size: 70%;">1 2</sup> This evaluated the quality of banks' risk management practices toward HLIs and the related supervisory and regulatory ...the IOSCO Task Force on HLIs met to establish common areas of interest in risk management practices of banks and securities firms with respect to their de
  6 KB (861 words) - 11:46, 26 March 2021
• BCBS 80
  ...losure relating to key elements of the New Basel Capital Accord - capital, risk exposure and assessment and capital adequacy - will assist participants in ...>Market Risk Internal Modelling</strong>; disclosure of the type of market risk models used (e.g. VAR), the model's parameters, the bank's policies and pro
  6 KB (872 words) - 11:46, 26 March 2021
• BCBS 90
  ...ritisation activities, credit risk, credit derivatives, other derivatives, risk diversification, accounting and presentation policies, and other risks.</p> ...of proprietary of the information increases, with information about credit risk modelling, credit derivatives, and securitisation disclosed by fewer than h
  7 KB (1,011 words) - 11:46, 26 March 2021
• BCBS C121
  ...Supervision]] on January 1991 in the [[:Category:BCBS Market Risk | Market Risk]] category. ''Measuring and controlling large credit exposures''.
  2 KB (299 words) - 11:47, 26 March 2021
• BCBS C134
  ''The management of banks' off-balance-sheet exposures''. ...nd pay special attention to the possible correlation of different types of risk, both within the individual bank and the banking group as a whole.</p>
  2 KB (296 words) - 11:47, 26 March 2021
• BCBS C211
  ...nking Supervision]] on July 1994 in the [[:Category:BCBS Risk Management | Risk Management]] category. ''Risk management guidelines for derivatives''.
  3 KB (416 words) - 11:47, 26 March 2021
• BCBS D295
  ...ision]] on October 2014 in the [[:Category:BCBS Liquidity Risk | Liquidity Risk]] category. ...funding will erode its liquidity position in a way that could increase the risk of its failure and potentially lead to broader systemic stress. The NSFR wi
  3 KB (504 words) - 11:47, 26 March 2021
• BCBS D300
  ...ework's credit valuation adjustment capital charge for certain derivatives exposures.</p> ...er time the application of standardised risk weights to central government exposures.</p>
  3 KB (475 words) - 11:47, 26 March 2021
• BCBS D303
  ...upervision]] on December 2014 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ...ation framework and to strengthen the capital standards for securitisation exposures held in the banking book.</p>
  3 KB (490 words) - 11:47, 26 March 2021
• BCBS D307
  ...upervision]] on December 2014 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ''Revisions to the standardised approach for credit risk''.
  5 KB (715 words) - 11:47, 26 March 2021
• BCBS D309
  ...Supervision]] on January 2015 in the [[:Category:BCBS Market Risk | Market Risk]] category. ...ts will enable market participants to better compare banks' disclosures of risk-weighted assets. They form part of the Committee's broader agenda to reform
  3 KB (455 words) - 11:47, 26 March 2021
• BCBS D319
  ...ng Supervision]] on June 2015 in the [[:Category:BCBS Market Risk | Market Risk]] category. ''Interest rate risk in the banking book''.
  3 KB (437 words) - 11:47, 26 March 2021
• BCBS D327
  ...ia for the recognition of cash variation margin associated with derivative exposures;</p> <p style="padding-left: 30px;">(ii) centrally cleared client derivative exposures;</p>
  3 KB (378 words) - 11:47, 26 March 2021
• BCBS D333
  ...Supervision]] on August 2015 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ''Basel III: The standardised approach for measuring counterparty credit risk exposures: Frequently asked questions''.
  2 KB (285 words) - 11:47, 26 March 2021
• BCBS D343
  ...upervision]] on November 2015 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ...omply with these criteria should therefore have lower structural and model risk.</p>
  4 KB (528 words) - 11:47, 26 March 2021
• BCBS D347
  ...upervision]] on December 2015 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ''Revisions to the Standardised Approach for credit risk - second consultative document''.
  4 KB (572 words) - 11:47, 26 March 2021
• BCBS D362
  ...g Supervision]] on March 2016 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ''Reducing variation in credit risk-weighted assets - constraints on the use of internal model approaches - con
  3 KB (465 words) - 11:48, 26 March 2021
• BCBS D363
  ...g Supervision]] on April 2016 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ...assessment programme (RCAP) - Analysis of risk-weighted assets for credit risk in the banking book''.
  3 KB (383 words) - 11:48, 26 March 2021
• BCBS D364
  <p>(i) on-balance sheet exposures;</p> <p>(ii) derivative exposures;</p>
  3 KB (434 words) - 11:48, 26 March 2021
• BCBS D365
  ...hat a simple leverage ratio framework is critical and complementary to the risk-based capital framework and that a credible leverage ratio is one that ensu <li> <p>measurement of derivative exposures;</p> </li>
  3 KB (503 words) - 11:48, 26 March 2021
• BCBS D367
  ...g Supervision]] on April 2016 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ''Prudential treatment of problem assets - definitions of non-performing exposures and forbearance''.
  4 KB (513 words) - 11:48, 26 March 2021
• BCBS D374
  ...ng Supervision]] on July 2016 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ...an updated standard for the regulatory capital treatment of securitisation exposures that includes the regulatory capital treatment for "simple, transparent and
  3 KB (464 words) - 11:48, 26 March 2021
• BCBS D384
  ...pervision]] on September 2016 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ...questions on the supervisory framework for measuring and controlling large exposures''.
  3 KB (394 words) - 11:48, 26 March 2021
• BCBS D403
  ...g Supervision]] on April 2017 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ''Prudential treatment of problem assets - definitions of non-performing exposures and forbearance''.
  2 KB (309 words) - 11:48, 26 March 2021
• BCBS D425
  ...upervision]] on December 2017 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ''The regulatory treatment of sovereign exposures - discussion paper''.
  2 KB (362 words) - 11:48, 26 March 2021
• BCBS D434
  ...ce on the assessments of the net stable funding ratio (NSFR) and the large exposures framework. It is designed to be a flexible compendium, with its guidance an The above regulatory document ''abstract'' is quoted verbatim in this Open Risk Manual entry and provided free of charge for the convenience of all interne
  2 KB (308 words) - 11:49, 26 March 2021
• BCBS D435
  ...regulatory categories of general and specific provisions for standardised exposures during the interim period.</p> The above regulatory document ''abstract'' is quoted verbatim in this Open Risk Manual entry and provided free of charge for the convenience of all interne
  2 KB (340 words) - 11:49, 26 March 2021
• BCBS D436
  ...g Supervision]] on March 2018 in the [[:Category:BCBS Market Risk | Market Risk]] category. ''Revisions to the minimum capital requirements for market risk - consultative document, March 2018''.
  3 KB (440 words) - 11:49, 26 March 2021
• BCBS D438
  ...g Supervision]] on March 2018 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ...the Basel III standardised approach for measuring counterparty credit risk exposures, March 2018''.
  2 KB (322 words) - 11:49, 26 March 2021
• BCBS D440
  ...n the banking book (IRRBB), the net stable funding ratio (NSFR), the large exposures framework and the disclosure requirements. The report includes for the firs The above regulatory document ''abstract'' is quoted verbatim in this Open Risk Manual entry and provided free of charge for the convenience of all interne
  2 KB (362 words) - 11:49, 26 March 2021
• BCBS D442
  ...ing Supervision]] on May 2018 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ...include setting the minimum performance history for non-retail and retail exposures at five years and three years, respectively, and clarifying that the provis
  3 KB (456 words) - 17:13, 30 June 2021
• BCBS D446
  ...regulatory categories of general and specific provisions for standardised exposures during the interim period.</p> * Keywords: [[Disclosure]], [[Credit Risk]]
  2 KB (344 words) - 11:49, 26 March 2021
• BCBS D447
  ...pervision]] on September 2018 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ...latory Consistency Assessment Programme (RCAP) - Assessment of Basel large exposures framework - Kingdom of Saudi Arabia''.
  2 KB (276 words) - 11:49, 26 March 2021
• BCBS D451
  ...asurement approaches. By design, the leverage ratio does not differentiate risk across different asset classes.</p> ...ives with the standardised approach for measuring counterparty credit risk exposures. This would have the effect of allowing both cash and non-cash forms of ini
  4 KB (536 words) - 11:49, 26 March 2021
• BCBS D452
  ...n the banking book (IRRBB), the Net Stable Funding Ratio (NSFR), the large exposures framework and the disclosure requirements.</p> The above regulatory document ''abstract'' is quoted verbatim in this Open Risk Manual entry and provided free of charge for the convenience of all interne
  2 KB (337 words) - 11:49, 26 March 2021
• BCBS D457
  ...Supervision]] on January 2019 in the [[:Category:BCBS Market Risk | Market Risk]] category. ''Minimum capital requirements for market risk''.
  4 KB (645 words) - 09:51, 31 March 2021
• BCBS D459
  ...g Supervision]] on March 2019 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ...latory Consistency Assessment Programme (RCAP) - Assessment of Basel large exposures framework – Brazil''.
  2 KB (273 words) - 11:49, 26 March 2021
• BCBS D464
  ...n the banking book (IRRBB), the Net Stable Funding Ratio (NSFR), the large exposures framework and the disclosure requirements.</p> The above regulatory document ''abstract'' is quoted verbatim in this Open Risk Manual entry and provided free of charge for the convenience of all interne
  2 KB (340 words) - 11:49, 26 March 2021
• BCBS D467
  ...roach to measuring counterparty credit risk exposures (SA-CCR) as used for risk-based capital requirements. This treatment will permit both cash and non-ca ...learing services and of quantitative and qualitative information on banks' exposures to client cleared derivatives. The Committee also took into consideration a
  3 KB (479 words) - 11:49, 26 March 2021
• BCBS D472
  ...ng Supervision]] on July 2019 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ...gulatory Consistency Assessment Programme (RCAP) Assessment of Basel large exposures regulations – Australia''.
  2 KB (272 words) - 11:49, 26 March 2021
• BCBS D473
  ...ng Supervision]] on July 2019 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ...gulatory Consistency Assessment Programme (RCAP) Assessment of Basel large exposures regulations – Canada''.
  2 KB (272 words) - 11:49, 26 March 2021
• BCBS D474
  ...ng Supervision]] on July 2019 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ...gulatory Consistency Assessment Programme (RCAP) Assessment of Basel large exposures regulations – India''.
  2 KB (272 words) - 11:49, 26 March 2021
• BCBS D478
  ...n the banking book (IRRBB), the Net Stable Funding Ratio (NSFR), the large exposures framework and the disclosure requirements.</p> The above regulatory document ''abstract'' is quoted verbatim in this Open Risk Manual entry and provided free of charge for the convenience of all interne
  2 KB (339 words) - 11:49, 26 March 2021
• BCBS D481
  ...ulatory Consistency Assessment Programme (RCAP): Assessment of Basel large exposures regulations - Argentina''. ...of the Basel Committee's large exposures framework. The Argentina's large exposures framework has been assessed as compliant.</p>
  2 KB (268 words) - 11:49, 26 March 2021
• BCBS D482
  ...ulatory Consistency Assessment Programme (RCAP): Assessment of Basel large exposures regulations - China''. ...tion of the Basel Committee's large exposures framework. The China's large exposures framework has been assessed as compliant.</p>
  2 KB (268 words) - 11:49, 26 March 2021
• BCBS D485
  ...upervision]] on November 2019 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ''Voluntary disclosure of sovereign exposures''.
  3 KB (395 words) - 11:49, 26 March 2021
• BCBS D488
  ...upervision]] on November 2019 in the [[:Category:BCBS Market Risk | Market Risk]] category. ''Credit Valuation Adjustment risk - targeted revisions''.
  2 KB (353 words) - 11:49, 26 March 2021
• BCBS D490
  ...should inform the design of a prudential treatment for banks' crypto-asset exposures</li> ...mple of potential capital and liquidity requirements for exposures to high-risk crypto-assets</li>
  2 KB (333 words) - 11:49, 26 March 2021
• BCBS D492
  ''Assessment of Basel large exposures regulations - Hong Kong SAR''. ...ssessment of Hong Kong SAR's implementation of the Basel Committee's large exposures framework (LEX). Hong Kong's LEX framework has been assessed as compliant.<
  2 KB (274 words) - 11:49, 26 March 2021
• BCBS D493
  ''Assessment of Basel large exposures regulations - Singapore''. ...'s assessment of Singapore's implementation of the Basel Committee's large exposures framework (LEX). Singapore's LEX framework has been assessed as compliant.<
  2 KB (259 words) - 11:49, 26 March 2021
• BCBS D494
  ''Assessment of Basel large exposures regulations - Indonesia''. ...'s assessment of Indonesia's implementation of the Basel Committee's large exposures framework (LEX). Indonesia's LEX framework has been assessed as compliant.<
  2 KB (259 words) - 11:49, 26 March 2021
• BCBS D506
  ...in December 2017 and the finalised minimum capital requirements for market risk in January 2019, to ensure that they are transposed into national law or re ...n the banking book (IRRBB), the Net Stable Funding Ratio (NSFR), the large exposures framework and the disclosure requirements.</p>
  2 KB (351 words) - 11:49, 26 March 2021
• BCBS D511
  ...upervision]] on November 2020 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ...9 pandemic, closes a gap in the Basel framework by setting out prudent and risk sensitive capital requirements for non-performing loan securitisations.</p>
  2 KB (319 words) - 11:49, 26 March 2021
• BCBS JOINT1
  ...fill an important gap in disclosures, but for which further development of risk assessment concepts and methods are necessary before practical disclosures ...re of the financial risks a firm incurs, and of the efficacy of the firm's risk management practices, it is necessary that there be a healthy balance betwe
  6 KB (835 words) - 11:50, 26 March 2021
• BCBS JOINT18
  ...g Supervision]] on April 2008 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ''Credit Risk Transfer; developments from 2005-2007 - consultative document''.
  5 KB (728 words) - 11:50, 26 March 2021
• BCBS JOINT19
  ...king Supervision]] on April 2008 in the [[:Category:BCBS Risk Management | Risk Management]] category. ''Cross-sectoral review of group-wide identification and management of risk concentrations''.
  4 KB (656 words) - 11:50, 26 March 2021
• BCBS JOINT2
  <p><strong>Intra-Group Transactions and Exposures Principles:</strong><br/>Compendium (PDF): Pages 129-138 | PDF Dec 1999: 12 ...process the prudent management and control of intragroup transactions and exposures by financial conglomerates. </p>
  7 KB (956 words) - 11:50, 26 March 2021
• BCBS JOINT21
  ...ng Supervision]] on July 2008 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ''Credit Risk Transfer Developments from 2005 to 2007''.
  5 KB (709 words) - 11:50, 26 March 2021
• BCBS JOINT27
  ...ensure that financial conglomerates properly measure and manage liquidity risk.</p> <h4>Risk management</h4>
  5 KB (738 words) - 11:50, 26 March 2021
• BCBS JOINT34
  ''Longevity risk transfer markets: market structure, growth drivers and impediments, and pot ...</em> is a forward-looking report released by the Joint Forum on longevity risk transfer (LRT) markets. It makes the following recommendations to policymak
  5 KB (691 words) - 13:10, 16 April 2021
• BCBS JOINT37
  ...upervision]] on February 2015 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ''Developments in credit risk management across sectors: current practices and recommendations - consulta
  4 KB (543 words) - 11:50, 26 March 2021
• BCBS JOINT38
  ...ng Supervision]] on June 2015 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ''Developments in credit risk management across sectors: current practices and recommendations''.
  4 KB (534 words) - 11:50, 26 March 2021
• BCBS WP11
  ...Supervision]] on October 2002 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ...a few observable characteristics, such as the presence of an issue rating. Risk transfer requirements for traditional securitisations were also provided.</
  5 KB (767 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
• BCBS WP17
  ...g Supervision]] on February 2010 in the [[:Category:BCBS Risk Management | Risk Management]] category. ''Vendor models for credit risk measurement and management''.
  3 KB (391 words) - 11:50, 26 March 2021
• BCBS WP22
  ...Supervision]] on January 2013 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ...tent with the Basel's Internal Ratings-Based (IRB) framework for wholesale exposures.</p>
  2 KB (292 words) - 11:50, 26 March 2021
• BCBS WP23
  ...Supervision]] on January 2013 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ...(EL). Given an assumed risk profile for an underlying homogeneous pool of exposures - characterised by maturity, probability of default, loss given default and
  3 KB (359 words) - 11:50, 26 March 2021
• BCBS WP26
  ...ations of the standardised approach for measuring counterparty credit risk exposures''. ...eveloping the standardised approach for measuring counterparty credit risk exposures (SA-CCR). Thefinal standard was published in March 2014 (revised April 2014
  2 KB (238 words) - 11:50, 26 March 2021
• BCBS WP6
  ''Risk Sensitive Approaches for Equity Exposures in the Banking Book for IRB Banks''. ...the Committee's dialogue with the industry on the IRB treatment of equity exposures in the banking book. Comments on the issues outlined in this paper would be
  2 KB (259 words) - 11:51, 26 March 2021
• BCBS WP7
  ...apital base as a cushion against potential future losses arising from risk exposures. This paper sets out the current thinking of the Transparency Group (the Gr ...ies: scope of application of the Accord, capital and capital adequacy, and risk exposure and assessment. Reflecting the objective to limit the burden assoc
  6 KB (855 words) - 11:51, 26 March 2021
• BCBS WP9
  ...Supervision]] on October 2001 in the [[:Category:BCBS Credit Risk | Credit Risk]] category. ''Internal Ratings-Based Approach to Specialised Lending Exposures''.
  4 KB (699 words) - 11:51, 26 March 2021
• Stratified Sampling
  ...es other than retail mortgages (i.e. retail SMEs and retail others). These exposures will be reviewed through the collective provisioning review (see AQR Manual ...redit Quality Step 4, as defined in the loan tape descriptive Excel –The risk of material misstatements is negligible;
  17 KB (2,574 words) - 16:42, 10 June 2021
• ESG Risk Integration Challenges
  ...r example, it is difficult to take ESG risks into account when calculating risk parameters such as the probability of default (PD) of borrowers or loss giv ...flect shareholder pressure or macroeconomic factors. (See [[Tragedy of the Risk Horizon]])
  5 KB (730 words) - 16:26, 11 August 2021
• ESG Risk Identification
  '''ESG Risk Identification''' is the classification of assets according to their ESG ch ...then justifies a more granular analysis on the most relevant categories of exposures (e.g. a given geography, sector), if needed.
  1 KB (206 words) - 16:42, 11 August 2021
• ESG Risk Measurement
  ...the institution’s exposures. The outcome of an evaluation of classified exposures through the use of methodological tools would be a deeper understanding of [[Category:ESG Risk Management]]
  805 bytes (116 words) - 17:06, 11 August 2021