Difference between revisions of "Credit risk"

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* [[Event risk]]
 
* [[Event risk]]
 
* [[Exchange-for-value system]]
 
* [[Exchange-for-value system]]
 +
* [[High-yield]]
 
* [[KMV]]
 
* [[KMV]]
 
* [[Merton distance-to-default]]
 
* [[Merton distance-to-default]]

Revision as of 11:13, 24 October 2021

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