Credit risk: Difference between revisions
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#The risk that a counterparty will not settle an obligation for full value, either when due or at any time thereafter. In exchange-for-value settlement systems, the risk is generally defined to include both replacement cost risk and principal risk. | #The risk that a counterparty will not settle an obligation for full value, either when due or at any time thereafter. In exchange-for-value settlement systems, the risk is generally defined to include both replacement cost risk and principal risk. | ||
#A weighted measure reflecting both the maximum possible amount of the credit loss (also known as the credit exposure), and the likelihood of such loss. | #A weighted measure reflecting both the maximum possible amount of the credit loss (also known as the credit exposure), and the likelihood of such loss. | ||
== See also == | == See also == | ||
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* [[Risk mitigation]] | * [[Risk mitigation]] | ||
* [[Sovereign risk]] | * [[Sovereign risk]] | ||
==Other links== | |||
[http://www.treasurers.org/node/4351 Credit risk, Will Spinney, ACT 2008] | |||
Revision as of 11:57, 2 October 2013
- The risk that a counterparty will not settle an obligation for full value, either when due or at any time thereafter. In exchange-for-value settlement systems, the risk is generally defined to include both replacement cost risk and principal risk.
- A weighted measure reflecting both the maximum possible amount of the credit loss (also known as the credit exposure), and the likelihood of such loss.
See also
- Banker's payment
- Credit default swap
- Credit derivative
- Credit exposure
- Event risk
- Exchange-for-value system
- Pre-settlement risk
- Price risk
- Prime bank
- Principal risk
- Replacement cost risk
- Risk mitigation
- Sovereign risk
