Credit risk

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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


Other links

Credit risk, Will Spinney, ACT 2008