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Credit Conversion Factor.
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.




==See also==
==See also==
*[[Capital adequacy]]
*[[Capital adequacy]]
*[[Guarantee]]
*[[Credit Conversion Factor]]
*[[Off balance sheet risk]]
 
*[[Risk Weighted Assets]]
[[Category:Accounting,_tax_and_regulation]]

Latest revision as of 15:41, 26 June 2022

Bank supervision - capital adequacy.

Credit Conversion Factor.


See also

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