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
• 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