Credit risk

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Revision as of 11:21, 3 November 2021 by imported>Doug Williamson (Add links.)
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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