CCF: Difference between revisions

Latest revision as of 15:41, 26 June 2022

Bank supervision - capital adequacy.

Credit Conversion Factor.

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 Credit Conversion Factor.
-The CCF converts an off balance sheet exposure to its credit exposure (Risk Weighted Assets) equivalent.
-Off balance sheet exposures - like a guarantee - have a probability of becoming a credit exposure and shifting onto the balance sheet, for example if the guarantee is called.
-The CCF is an estimate of this probability.
-By multiplying the CCF with the value of the guarantee or other off balance sheet exposure, you get the expected value of the credit exposure.
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 *[[Capital adequacy]]
 *[[Credit Conversion Factor]]
-*[[Guarantee]]
-*[[Off balance sheet risk]]
+[[Category:Accounting,_tax_and_regulation]]
-*[[Risk Weighted Assets]]