Credit risk

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
• 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

Other links

Credit risk, Will Spinney, ACT 2008