Credit risk: Difference between revisions
From ACT Wiki
Jump to navigationJump to search
imported>Doug Williamson (Add link.) |
imported>Doug Williamson (Add links.) |
||
| Line 19: | Line 19: | ||
* [[Credit derivative]] | * [[Credit derivative]] | ||
* [[Credit exposure]] | * [[Credit exposure]] | ||
* [[Credit rating]] | |||
* [[Credit rating agency]] | |||
* [[Credit risk diversification]] | * [[Credit risk diversification]] | ||
* [[Capital risk]] | * [[Capital risk]] | ||
Revision as of 11:21, 3 November 2021
1.
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.
2.
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
- CCR
- Counterparty risk
- Covenant
- Credit default swap
- Credit derivative
- Credit exposure
- Credit rating
- Credit rating agency
- Credit risk diversification
- Capital risk
- ECL
- Event risk
- Exchange-for-value system
- High-yield
- KMV
- Merton distance-to-default
- Operational risk
- Pre-settlement risk
- Price risk
- Prime bank
- Principal risk
- Putting a limit on losses
- Replacement cost risk
- Reputational risk
- Risk mitigation
- Sovereign risk
- TED spread
- Transaction risk
