47:
813:) to rank potential and existing customers according to risk, and then apply appropriate strategies. With products such as unsecured personal loans or mortgages, lenders charge a higher price for higher-risk customers and vice versa. With revolving products such as credit cards and overdrafts, the risk is controlled through the setting of credit limits. Some products also require
801:
Significant resources and sophisticated programs are used to analyze and manage risk. Some companies run a credit risk department whose job is to assess the financial health of their customers, and extend credit (or not) accordingly. They may use in-house programs to advise on avoiding, reducing and
871:
The probability of rescheduling is an increasing function of debt service ratio, import ratio, the variance of export revenue and domestic money supply growth. The likelihood of rescheduling is a decreasing function of investment ratio due to future economic productivity gains. Debt rescheduling
820:
Credit scoring models also form part of the framework used by banks or lending institutions to grant credit to clients. For corporate and commercial borrowers, these models generally have qualitative and quantitative sections outlining various aspects of the risk including, but not limited to,
916:
or, particularly in the context of derivatives, require the posting of collateral. Offsetting counterparty risk is not always possible, e.g. because of temporary liquidity issues or longer-term systemic reasons. Further, counterparty risk increases due to positively correlated risk factors;
805:
For large companies with liquidly traded corporate bonds or Credit
Default Swaps, bond yield spreads and credit default swap spreads indicate market participants assessments of credit risk and may be used as a reference point to price loans or trigger collateral calls.
840:. The existence of such risk means that creditors should take a two-stage decision process when deciding to lend to a firm based in a foreign country. Firstly one should consider the sovereign risk quality of the country and then consider the firm's credit quality.
762:– The risk of loss arising from a debtor being unlikely to pay its loan obligations in full or the debtor is more than 90 days past due on any material credit obligation; default risk may impact all credit-sensitive transactions, including loans, securities and
772:– The risk associated with any single exposure or group of exposures with the potential to produce large enough losses to threaten a bank's core operations. It may arise in the form of single-name concentration or industry concentration.
825:, respectively. Once this information has been fully reviewed by credit officers and credit committees, the lender provides the funds subject to the terms and conditions presented within the contract (as outlined above).
872:
likelihood can increase if the investment ratio rises as the foreign country could become less dependent on its external creditors and so be less concerned about receiving credit from these countries/investors.
639:. The loss may be complete or partial. In an efficient market, higher levels of credit risk will be associated with higher borrowing costs. Because of this, measures of borrowing costs such as
928:. This framework replaced both non-internal model approaches - Current Exposure Method (CEM) and Standardised Method (SM). It is a "risk-sensitive methodology", i.e. conscious of
743:
from a third party. The lender can also take out insurance against the risk or on-sell the debt to another company. In general, the higher the risk, the higher will be the
836:
is the risk of a government being unwilling or unable to meet its loan obligations, or reneging on loans it guarantees. Many countries have faced sovereign risk in the
759:
1725:
1251:
802:
transferring risk. They also use the third party provided intelligence. Nationally recognized statistical rating organizations provide such information for a fee.
1493:
Altman, Edward I., and
Anthony Saunders. "Credit risk measurement: Developments over the last 20 years." Journal of Banking & Finance 21.11 (1997): 1721–1742.
1624:
Counterparty Risk under
Correlation between Default and Interest Rates. In: Miller, J., Edelman, D., and Appleby, J. (Editors), Numerical Methods for Finance
1369:
1411:
1317:
Credit risk is most simply defined as the potential that a bank borrower or counterparty will fail to meet its obligations in accordance with agreed terms.
778:– The risk of loss arising from a sovereign state freezing foreign currency payments (transfer/conversion risk) or when it defaults on its obligations (
1342:
1221:
925:
460:
623:
on a debt that may arise from a borrower failing to make required payments. In the first resort, the risk is that of the lender and includes lost
1112:
to guarantee bank deposits in the event of insolvency and to encourage consumers to hold their savings in the banking system instead of in cash.
1764:
Risk
Neutral Pricing of Counterparty Risk, in: Pykhtin, M. (Editor), Counterparty Credit Risk Modeling: Risk Management, Pricing and Regulation
276:
1052:. These contracts transfer the risk from the lender to the seller (insurer) in exchange for payment. The most common credit derivative is the
438:
917:
accounting for this correlation between portfolio risk factors and counterparty default in risk management methodology is not trivial.
603:
343:
1064:– Lenders can reduce credit risk by reducing the amount of credit extended, either in total or to certain borrowers. For example, a
1915:
521:
1441:
Berger, Allen N., and
Gregory F. Udell. "Collateral, loan quality and bank risk."Journal of Monetary Economics 25.1 (1990): 21–42.
487:
338:
303:
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1809:
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1771:
1749:
1671:
1631:
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747:
that the debtor will be asked to pay on the debt. Credit risk mainly arises when borrowers are unable or unwilling to pay.
482:
433:
782:); this type of risk is prominently associated with the country's macroeconomic performance and its political stability.
1172:
269:
1011:, borrowing further, or other specific, voluntary actions that negatively affect the company's financial position, and
1609:
17:
1451:
Jarrow, R. A.; Lando, D.; Turnbull, S. M. (1997). "A Markov Model for the Term
Structure of Credit Risk Spreads".
2588:
2230:
1376:
1418:
2509:
2312:
596:
579:
526:
262:
1888:
Soft Data
Modeling Via Type 2 Fuzzy Distributions for Corporate Credit Risk Assessment in Commercial Banking
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494:
2583:
2259:
1399:
2347:
1928:
1875:
1271:
1213:
1097:
1039:
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Repay the loan in full, at the lender's request, in certain events such as changes in the borrower's
941:
1710:
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1131:
1087:
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516:
470:
333:
328:
46:
2514:
2235:
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2162:
1901:
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1065:
731:
on the prospective borrower, may require the borrower to take out appropriate insurance, such as
2593:
2210:
1893:
1205:
406:
1887:
1189:
570:
2552:
2454:
2427:
2412:
2180:
2035:
1956:
1266:
1019:
833:
779:
73:
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2557:
2489:
2479:
2434:
2367:
2200:
1951:
1823:
1721:
1596:
1015:
982:
901:
822:
814:
796:
763:
736:
1780:
8:
2547:
2504:
2015:
1502:
Mester, Loretta J. "What's the point of credit scoring?." Business review 3 (1997): 3–16.
1246:
1164:
1054:
978:
921:
455:
401:
2524:
2519:
2499:
2387:
2190:
2148:
2045:
1971:
1677:
1514:
1476:
1197:
1092:
1048:
965:
851:
769:
732:
241:
96:
68:
1086:– Lenders to a small number of borrowers (or kinds of borrower) face a high degree of
2402:
2392:
2382:
2337:
2332:
2286:
2282:
2255:
2185:
2102:
1976:
1966:
1831:
1805:
1786:
1767:
1745:
1681:
1667:
1627:
1576:
1549:
1521:
1480:
1468:
1261:
1108:
913:
908:, or other contract. Financial institutions or other transaction counterparties may
810:
702:
643:
can be used to infer credit risk levels based on assessments by market participants.
620:
200:
78:
411:
2439:
2357:
2307:
2290:
2215:
2079:
2064:
1659:
1460:
1328:
1241:
1008:
937:
905:
544:
511:
205:
144:
1650:
Orlando, Giuseppe; Bufalo, Michele; Penikas, Henry; Zurlo, Concetta (2021-10-28),
2474:
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2407:
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2352:
2342:
2055:
2019:
1961:
1857:
1570:
1346:
1139:
933:
909:
881:
792:
670:
636:
385:
372:
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163:
121:
63:
1783:
Modern
Financial Engineering: Counterparty, Credit, Portfolio and Systemic Risks
2422:
2278:
2274:
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2133:
2112:
2060:
2050:
2040:
2030:
1999:
1981:
1924:
1819:
1739:
1663:
1658:, Topics in Systems Engineering, vol. 2, WORLD SCIENTIFIC, pp. 3–23,
1370:"Huang and Scott: Credit Risk Scorecard Design, Validation and User Acceptance"
1035:
897:
844:
691:
659:
549:
443:
421:
416:
250:
215:
182:
177:
154:
135:
116:
101:
38:
2572:
2529:
2417:
2327:
2317:
2270:
2250:
2143:
2092:
1759:
1472:
1229:
1180:
993:
974:
960:
744:
695:
651:
624:
308:
191:
126:
106:
821:
operating experience, management expertise, asset quality, and leverage and
2484:
2469:
2245:
2107:
2068:
1464:
1281:
970:
893:
856:
775:
728:
677:
640:
504:
499:
448:
376:
225:
210:
149:
1699:
1572:
Financial
Institutions Management: A Risk Management Approach, 5th Edition
2534:
2494:
2240:
2225:
2138:
2025:
2003:
1991:
1781:
Orlando, Giuseppe; Bufalo
Michele; Penikas Henry; Zurlo Concetta (2022).
929:
655:
477:
234:
111:
87:
817:, usually an asset that is pledged to secure the repayment of the loan.
2117:
2097:
2011:
2007:
1818:
1568:
720:
716:
554:
220:
172:
1869:
1652:"Distributions Commonly Used in Credit and Counterparty Risk Modeling"
1357:
2464:
1844:
1802:
The Standard & Poor's Guide to Measuring and Managing Credit Risk
1300:
1276:
740:
632:
323:
2322:
1069:
1004:
628:
318:
1799:
1638:
944:; issues insufficiently addressed under the preceding frameworks.
2377:
1758:
1740:
Bluhm, Christian; Ludger Overbeck & Christoph Wagner (2002).
1072:
may attempt to lessen credit risk by reducing payment terms from
666:
363:
313:
1923:
1621:
2444:
1866:, - information on credit risk modelling and decision analytics
1301:"Principles for the Management of Credit Risk – final document"
963:
to borrowers who are more likely to default, a practice called
1543:
1511:
1358:
BIS Paper:Sound credit risk assessment and valuation for loans
952:
Lenders mitigate credit risk in a number of ways, including:
727:
To reduce the lender's credit risk, the lender may perform a
619:
is the possibility of losing a lender holds due to a risk of
843:
Five macroeconomic variables that affect the probability of
646:
Losses can arise in a number of circumstances, for example:
2459:
1256:
709:
684:
381:
1649:
1156:
991:– Lenders may write stipulations on the borrower, called
1252:
Criticism of credit scoring systems in the United States
969:. Lenders consider factors relating to the loan such as
1884:
publishes research on credit risk theory and practice.
1860:, Springer Nature – Management for Professionals, 2020
1726:
A Brief History of Active Credit Portfolio Management
1222:
The Standardised Approach to Counterparty Credit Risk
1878:– research and white papers on credit risk modelling
1450:
1569:Cornett, Marcia Millon; Saunders, Anthony (2006).
1513:
926:standardized approach for counterparty credit risk
1828:Credit Risk: Pricing, Measurement, and Management
2570:
1516:The Concise Blackwell Encyclopedia of Management
1412:"Edelman: Risk-based pricing for personal loans"
650:A consumer may fail to make a payment due on a
1444:
1909:
1800:de Servigny, Arnaud; Olivier Renault (2004).
755:A credit risk can be of the following types:
683:A business does not pay an employee's earned
597:
270:
1870:A Guide to Modeling Counterparty Credit Risk
1845:Principles for the management of credit risk
1000:Periodically report its financial condition,
295:International regulatory standards for banks
1847:from the Bank for International Settlements
1622:Brigo, Damiano; Andrea Pallavicini (2007).
1916:
1902:
1539:
1537:
669:is unable to repay asset-secured fixed or
604:
590:
277:
263:
1610:Counterparty Risk and the Subprime Fiasco
1512:Cary L. Cooper; Derek F. Channon (1998).
1400:Investopedia: Risk-based mortgage pricing
1562:
1742:An Introduction to Credit Risk Modeling
1544:Frenkel, Karmann and Scholtens (2004).
1534:
940:and non-margined trades and recognizes
14:
2571:
1305:Basel Committee on Banking Supervision
1116:
739:over some assets of the borrower or a
676:A business or consumer does not pay a
304:Basel Committee on Banking Supervision
1897:
924:here is calculated using SA-CCR, the
880:A counterparty risk, also known as a
712:will not return funds to a depositor.
875:
694:issuer does not make a payment on a
1546:Sovereign Risk and Financial Crises
1293:
1125:Active credit portfolio management
1068:selling its products to a troubled
981:and estimates the effect on yield (
24:
1733:
1612:. 2008-01-02. Retrieved 2008-10-06
1190:reference entity suddenly defaults
809:Most lenders employ their models (
25:
2605:
1872:– SSRN Research Paper, July 2007
1851:
1155:Debit Valuation Adjustment – see
997:, into loan agreements, such as:
828:
705:does not pay a policy obligation.
2191:Conditional Value-at-Risk (CVaR)
1711:MBA Mondays:Risk Diversification
1042:their credit risk by purchasing
45:
1715:
1704:
1693:
1643:
1615:
1602:
1589:
1505:
1496:
1487:
896:will not pay as obligated on a
2510:Strategic financial management
2313:Asset and liability management
1890:SSRN Research Paper, July 2018
1830:. Princeton University Press.
1435:
1404:
1393:
1362:
1351:
1333:
1322:
1096:. Lenders reduce this risk by
959:– Lenders may charge a higher
936:, that differentiates between
698:or principal payment when due.
13:
1:
1287:
1188:- Jump-to-default, where the
947:
786:
580:Business and Economics Portal
1762:and Massimo Masetti (2006).
1656:Modern Financial Engineering
1106:– Governments may establish
867:Domestic money supply growth
537:Pillar 2: Supervisory review
394:Pillar 1: Regulatory capital
7:
2088:Operational risk management
1858:Bank Management and Control
1639:Related SSRN Research Paper
1453:Review of Financial Studies
1235:
1148:Credit valuation adjustment
838:late-2000s global recession
563:Pillar 3: Market disclosure
10:
2610:
2260:Proportional hazards model
2211:Interest rate immunization
1882:The Journal of Credit Risk
1744:. Chapman & Hall/CRC.
1664:10.1142/9789811252365_0001
1340:Credit Risk Classification
1329:Risk Glossary: Credit Risk
864:Variance of export revenue
790:
2543:
2300:
2161:
2126:
2078:
1990:
1942:
1935:
1929:financial risk management
1214:Potential future exposure
690:A business or government
2206:First-hitting-time model
2171:Arbitrage pricing theory
1132:Counterparty Credit Risk
886:counterparty credit risk
750:
2515:Stress test (financial)
2221:Modern portfolio theory
1020:interest coverage ratio
2589:Banking infrastructure
1599:. Retrieved 2008-10-06
1206:Probability of default
27:Type of financial risk
2553:Investment management
2455:Investment management
2181:Replicating portfolio
1957:Sovereign credit risk
1864:Credit Risk Modelling
1307:. BIS. September 2000
1272:Jarrow–Turnbull model
1267:Distressed securities
834:Sovereign credit risk
723:consumer or business.
2558:Mathematical finance
2490:Risk-return spectrum
2480:Mathematical finance
2435:Fundamental analysis
2368:Exchange traded fund
1952:Consumer credit risk
1824:Kenneth J. Singleton
1785:. World Scientific.
1465:10.1093/rfs/10.2.481
1117:Related Initialisms
1090:credit risk, called
1016:debt-to-equity ratio
1003:Refrain from paying
892:), is a risk that a
797:Consumer credit risk
715:A government grants
2548:Financial economics
2505:Statistical finance
2271:Value-at-Risk (VaR)
2176:Black–Scholes model
2016:Holding period risk
1247:Credit spread curve
1165:Exposure at default
1055:credit default swap
1009:repurchasing shares
979:loan-to-value ratio
922:capital requirement
760:Credit default risk
402:Capital requirement
2525:Structured product
2520:Structured finance
2500:Speculative attack
2186:Cash flow matching
2149:Non-financial risk
2046:Interest rate risk
1972:Concentration risk
1345:2013-09-27 at the
1198:Loss given default
1100:the borrower pool.
1093:concentration risk
1049:credit derivatives
1032:credit derivatives
966:risk-based pricing
957:Risk-based pricing
852:Debt service ratio
847:rescheduling are:
770:Concentration risk
733:mortgage insurance
242:Non-financial risk
97:Interest rate risk
69:Concentration risk
2584:Actuarial science
2566:
2565:
2338:Corporate finance
2333:Capital structure
2287:Cash flow at risk
2283:Liquidity at risk
2256:Survival analysis
2157:
2156:
2103:Reputational risk
1977:Credit derivative
1837:978-0-691-09046-7
1811:978-0-07-141755-6
1792:978-981-125-235-8
1773:978-1-904339-76-2
1751:978-1-58488-326-5
1722:Moody's Analytics
1673:978-981-12-5235-8
1633:978-1-58488-925-0
1597:Counterparty risk
1582:978-0-07-304667-9
1555:978-3-540-22248-4
1527:978-0-631-20911-9
1262:Default (finance)
1173:Expected Exposure
1109:deposit insurance
1104:Deposit insurance
876:Counterparty risk
811:credit scorecards
719:protection to an
703:insurance company
614:
613:
296:
287:
286:
201:Reputational risk
16:(Redirected from
2601:
2440:Growth investing
2358:Enterprise value
2308:Asset allocation
2291:Earnings at risk
2273:and extensions (
2216:Market portfolio
2080:Operational risk
2065:Refinancing risk
1940:
1939:
1918:
1911:
1904:
1895:
1894:
1841:
1815:
1796:
1777:
1755:
1728:
1719:
1713:
1708:
1702:
1697:
1691:
1690:
1689:
1688:
1647:
1641:
1637:
1626:. Chapman Hall.
1619:
1613:
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1541:
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1491:
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1484:
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1442:
1439:
1433:
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1430:
1429:
1423:
1417:. Archived from
1416:
1408:
1402:
1397:
1391:
1390:
1388:
1387:
1381:
1375:. Archived from
1374:
1366:
1360:
1355:
1349:
1337:
1331:
1326:
1320:
1319:
1314:
1312:
1297:
1242:Credit (finance)
1044:credit insurance
1028:Credit insurance
942:netting benefits
914:credit insurance
906:insurance policy
861:Investment ratio
823:liquidity ratios
662:, or other loan.
637:collection costs
635:, and increased
631:, disruption to
606:
599:
592:
545:Economic capital
512:Operational risk
294:
292:Basel Framework
289:
288:
279:
272:
265:
206:Operational risk
145:Refinancing risk
49:
30:
29:
21:
18:Creditworthiness
2609:
2608:
2604:
2603:
2602:
2600:
2599:
2598:
2569:
2568:
2567:
2562:
2539:
2475:Systematic risk
2373:Expected return
2353:Economic bubble
2348:Diversification
2343:Cost of capital
2296:
2153:
2122:
2074:
2056:Volatility risk
2020:Price area risk
1986:
1962:Settlement risk
1931:
1922:
1876:Defaultrisk.com
1854:
1838:
1812:
1804:. McGraw-Hill.
1793:
1774:
1752:
1736:
1734:Further reading
1731:
1720:
1716:
1709:
1705:
1698:
1694:
1686:
1684:
1674:
1648:
1644:
1634:
1620:
1616:
1608:Tom Henderson.
1607:
1603:
1594:
1590:
1583:
1575:. McGraw-Hill.
1567:
1563:
1556:
1542:
1535:
1528:
1510:
1506:
1501:
1497:
1492:
1488:
1449:
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1427:
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1409:
1405:
1398:
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1383:
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1372:
1368:
1367:
1363:
1356:
1352:
1347:Wayback Machine
1338:
1334:
1327:
1323:
1310:
1308:
1299:
1298:
1294:
1290:
1238:
1140:Credit Exposure
1119:
1084:Diversification
950:
882:settlement risk
878:
831:
799:
793:Credit analysis
791:Main articles:
789:
753:
671:floating charge
610:
386:Risk management
373:Monetary policy
293:
283:
164:Investment risk
122:Volatility risk
64:Settlement risk
28:
23:
22:
15:
12:
11:
5:
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2304:
2302:
2301:Basic concepts
2298:
2297:
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2294:
2279:Margin at risk
2275:Profit at risk
2268:
2266:Tracking error
2263:
2253:
2248:
2243:
2238:
2236:Risk-free rate
2233:
2228:
2223:
2218:
2213:
2208:
2203:
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2178:
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2167:
2165:
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2146:
2141:
2136:
2134:Execution risk
2130:
2128:
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2115:
2113:Political risk
2110:
2105:
2100:
2095:
2090:
2084:
2082:
2076:
2075:
2073:
2072:
2061:Liquidity risk
2058:
2053:
2051:Inflation risk
2048:
2043:
2041:Margining risk
2038:
2033:
2031:Valuation risk
2028:
2023:
2000:Commodity risk
1996:
1994:
1988:
1987:
1985:
1984:
1982:Securitization
1979:
1974:
1969:
1964:
1959:
1954:
1948:
1946:
1937:
1933:
1932:
1925:Financial risk
1921:
1920:
1913:
1906:
1898:
1892:
1891:
1885:
1879:
1873:
1867:
1861:
1853:
1852:External links
1850:
1849:
1848:
1842:
1836:
1820:Darrell Duffie
1816:
1810:
1797:
1791:
1778:
1772:
1766:. Risk Books.
1756:
1750:
1735:
1732:
1730:
1729:
1714:
1703:
1700:Debt covenants
1692:
1672:
1642:
1632:
1614:
1601:
1595:Investopedia.
1588:
1581:
1561:
1554:
1533:
1526:
1504:
1495:
1486:
1459:(2): 481–523.
1443:
1434:
1403:
1392:
1361:
1350:
1332:
1321:
1291:
1289:
1286:
1285:
1284:
1279:
1274:
1269:
1264:
1259:
1254:
1249:
1244:
1237:
1234:
1233:
1232:
1224:
1216:
1208:
1200:
1192:
1183:
1175:
1167:
1159:
1150:
1142:
1134:
1126:
1118:
1115:
1114:
1113:
1101:
1081:
1059:
1034:– Lenders and
1025:
1024:
1023:
1012:
1001:
986:
949:
946:
877:
874:
869:
868:
865:
862:
859:
854:
845:sovereign debt
830:
829:Sovereign risk
827:
788:
785:
784:
783:
780:sovereign risk
773:
767:
752:
749:
725:
724:
713:
706:
699:
688:
681:
674:
663:
660:line of credit
612:
611:
609:
608:
601:
594:
586:
583:
582:
576:
575:
574:
573:
565:
564:
560:
559:
558:
557:
552:
550:Liquidity risk
547:
539:
538:
534:
533:
532:
531:
530:
529:
524:
519:
509:
508:
507:
502:
492:
491:
490:
485:
475:
474:
473:
468:
467:
466:
463:
453:
452:
451:
446:
436:
426:
425:
424:
419:
414:
412:Leverage ratio
409:
396:
395:
391:
390:
389:
388:
379:
370:
358:
357:
353:
352:
351:
350:
349:
348:
347:
346:
341:
336:
331:
321:
316:
306:
298:
297:
285:
284:
282:
281:
274:
267:
259:
256:
255:
254:
253:
251:Stranded asset
245:
244:
238:
237:
231:
230:
229:
228:
223:
218:
216:Political risk
213:
208:
203:
195:
194:
188:
187:
186:
185:
183:Valuation risk
180:
178:Execution risk
175:
167:
166:
160:
159:
158:
157:
155:Margining risk
152:
147:
139:
138:
136:Liquidity risk
132:
131:
130:
129:
124:
119:
117:Commodity risk
114:
109:
104:
102:Inflation risk
99:
91:
90:
84:
83:
82:
81:
76:
74:Sovereign risk
71:
66:
58:
57:
51:
50:
42:
41:
39:Financial risk
35:
34:
26:
9:
6:
4:
3:
2:
2606:
2595:
2594:Financial law
2592:
2590:
2587:
2585:
2582:
2580:
2577:
2576:
2574:
2559:
2556:
2554:
2551:
2549:
2546:
2545:
2542:
2536:
2533:
2531:
2530:Systemic risk
2528:
2526:
2523:
2521:
2518:
2516:
2513:
2511:
2508:
2506:
2503:
2501:
2498:
2496:
2493:
2491:
2488:
2486:
2483:
2481:
2478:
2476:
2473:
2471:
2468:
2466:
2463:
2461:
2458:
2456:
2453:
2451:
2448:
2446:
2443:
2441:
2438:
2436:
2433:
2429:
2426:
2424:
2421:
2419:
2416:
2414:
2411:
2409:
2406:
2404:
2401:
2399:
2396:
2394:
2391:
2389:
2386:
2384:
2381:
2380:
2379:
2376:
2374:
2371:
2369:
2366:
2364:
2361:
2359:
2356:
2354:
2351:
2349:
2346:
2344:
2341:
2339:
2336:
2334:
2331:
2329:
2328:Capital asset
2326:
2324:
2321:
2319:
2318:Asset pricing
2316:
2314:
2311:
2309:
2306:
2305:
2303:
2299:
2292:
2288:
2284:
2280:
2276:
2272:
2269:
2267:
2264:
2261:
2257:
2254:
2252:
2251:Sortino ratio
2249:
2247:
2244:
2242:
2239:
2237:
2234:
2232:
2229:
2227:
2224:
2222:
2219:
2217:
2214:
2212:
2209:
2207:
2204:
2202:
2199:
2197:
2194:
2192:
2189:
2187:
2184:
2182:
2179:
2177:
2174:
2172:
2169:
2168:
2166:
2164:
2160:
2150:
2147:
2145:
2144:Systemic risk
2142:
2140:
2137:
2135:
2132:
2131:
2129:
2125:
2119:
2116:
2114:
2111:
2109:
2106:
2104:
2101:
2099:
2096:
2094:
2093:Business risk
2091:
2089:
2086:
2085:
2083:
2081:
2077:
2070:
2066:
2062:
2059:
2057:
2054:
2052:
2049:
2047:
2044:
2042:
2039:
2037:
2034:
2032:
2029:
2027:
2024:
2021:
2017:
2013:
2009:
2005:
2001:
1998:
1997:
1995:
1993:
1989:
1983:
1980:
1978:
1975:
1973:
1970:
1968:
1965:
1963:
1960:
1958:
1955:
1953:
1950:
1949:
1947:
1945:
1941:
1938:
1934:
1930:
1926:
1919:
1914:
1912:
1907:
1905:
1900:
1899:
1896:
1889:
1886:
1883:
1880:
1877:
1874:
1871:
1868:
1865:
1862:
1859:
1856:
1855:
1846:
1843:
1839:
1833:
1829:
1825:
1821:
1817:
1813:
1807:
1803:
1798:
1794:
1788:
1784:
1779:
1775:
1769:
1765:
1761:
1760:Damiano Brigo
1757:
1753:
1747:
1743:
1738:
1737:
1727:
1723:
1718:
1712:
1707:
1701:
1696:
1683:
1679:
1675:
1669:
1665:
1661:
1657:
1653:
1646:
1640:
1635:
1629:
1625:
1618:
1611:
1605:
1598:
1592:
1584:
1578:
1574:
1573:
1565:
1557:
1551:
1547:
1540:
1538:
1529:
1523:
1518:
1517:
1508:
1499:
1490:
1482:
1478:
1474:
1470:
1466:
1462:
1458:
1454:
1447:
1438:
1424:on 2012-04-02
1420:
1413:
1407:
1401:
1396:
1382:on 2012-04-02
1378:
1371:
1365:
1359:
1354:
1348:
1344:
1341:
1336:
1330:
1325:
1318:
1306:
1302:
1296:
1292:
1283:
1280:
1278:
1275:
1273:
1270:
1268:
1265:
1263:
1260:
1258:
1255:
1253:
1250:
1248:
1245:
1243:
1240:
1239:
1231:
1230:Value at risk
1228:
1225:
1223:
1220:
1217:
1215:
1212:
1209:
1207:
1204:
1201:
1199:
1196:
1193:
1191:
1187:
1184:
1182:
1181:Expected loss
1179:
1176:
1174:
1171:
1168:
1166:
1163:
1160:
1158:
1154:
1151:
1149:
1146:
1143:
1141:
1138:
1135:
1133:
1130:
1127:
1124:
1121:
1120:
1111:
1110:
1105:
1102:
1099:
1095:
1094:
1089:
1085:
1082:
1079:
1075:
1071:
1067:
1063:
1060:
1057:
1056:
1051:
1050:
1045:
1041:
1037:
1033:
1029:
1026:
1021:
1017:
1013:
1010:
1006:
1002:
999:
998:
996:
995:
990:
987:
984:
983:credit spread
980:
976:
975:credit rating
972:
968:
967:
962:
961:interest rate
958:
955:
954:
953:
945:
943:
939:
935:
931:
927:
923:
918:
915:
911:
907:
903:
899:
895:
891:
887:
883:
873:
866:
863:
860:
858:
855:
853:
850:
849:
848:
846:
841:
839:
835:
826:
824:
818:
816:
812:
807:
803:
798:
794:
781:
777:
774:
771:
768:
765:
761:
758:
757:
756:
748:
746:
745:interest rate
742:
738:
734:
730:
722:
718:
714:
711:
708:An insolvent
707:
704:
701:An insolvent
700:
697:
693:
689:
686:
682:
679:
678:trade invoice
675:
672:
668:
664:
661:
657:
653:
652:mortgage loan
649:
648:
647:
644:
642:
641:yield spreads
638:
634:
630:
626:
622:
618:
607:
602:
600:
595:
593:
588:
587:
585:
584:
581:
578:
577:
572:
569:
568:
567:
566:
562:
561:
556:
553:
551:
548:
546:
543:
542:
541:
540:
536:
535:
528:
525:
523:
520:
518:
515:
514:
513:
510:
506:
503:
501:
498:
497:
496:
493:
489:
486:
484:
481:
480:
479:
476:
472:
469:
464:
462:
459:
458:
457:
454:
450:
447:
445:
442:
441:
440:
437:
435:
432:
431:
430:
427:
423:
420:
418:
415:
413:
410:
408:
407:Capital ratio
405:
404:
403:
400:
399:
398:
397:
393:
392:
387:
383:
380:
378:
374:
371:
369:
365:
362:
361:
360:
359:
355:
354:
345:
342:
340:
337:
335:
332:
330:
327:
326:
325:
322:
320:
317:
315:
312:
311:
310:
309:Basel Accords
307:
305:
302:
301:
300:
299:
291:
290:
280:
275:
273:
268:
266:
261:
260:
258:
257:
252:
249:
248:
247:
246:
243:
240:
239:
236:
233:
232:
227:
224:
222:
219:
217:
214:
212:
209:
207:
204:
202:
199:
198:
197:
196:
193:
192:Business risk
190:
189:
184:
181:
179:
176:
174:
171:
170:
169:
168:
165:
162:
161:
156:
153:
151:
148:
146:
143:
142:
141:
140:
137:
134:
133:
128:
127:Systemic risk
125:
123:
120:
118:
115:
113:
110:
108:
107:Currency risk
105:
103:
100:
98:
95:
94:
93:
92:
89:
86:
85:
80:
77:
75:
72:
70:
67:
65:
62:
61:
60:
59:
56:
53:
52:
48:
44:
43:
40:
37:
36:
33:Categories of
32:
31:
19:
2485:Moral hazard
2470:Risk of ruin
2246:Sharpe ratio
2108:Country risk
2069:Deposit risk
1967:Default risk
1943:
1827:
1801:
1782:
1763:
1741:
1717:
1706:
1695:
1685:, retrieved
1655:
1645:
1623:
1617:
1604:
1591:
1571:
1564:
1548:. Springer.
1545:
1515:
1507:
1498:
1489:
1456:
1452:
1446:
1437:
1426:. Retrieved
1419:the original
1406:
1395:
1384:. Retrieved
1377:the original
1364:
1353:
1335:
1324:
1316:
1309:. Retrieved
1304:
1295:
1282:Merton model
1226:
1218:
1210:
1202:
1194:
1185:
1177:
1169:
1161:
1152:
1144:
1136:
1128:
1122:
1107:
1103:
1098:diversifying
1091:
1088:unsystematic
1083:
1077:
1073:
1061:
1053:
1047:
1043:
1038:holders may
1031:
1027:
992:
988:
971:loan purpose
964:
956:
951:
919:
912:or take out
894:counterparty
889:
885:
879:
870:
857:Import ratio
842:
832:
819:
808:
804:
800:
776:Country risk
754:
729:credit check
726:
645:
616:
615:
522:Standardized
483:Standardized
428:
377:Central bank
226:Moral hazard
211:Country risk
150:Deposit risk
79:Default risk
54:
2579:Credit risk
2535:Toxic asset
2495:Speculation
2428:social work
2413:engineering
2241:Risk parity
2226:Omega ratio
2139:Profit risk
2026:Equity risk
2004:Volume risk
1992:Market risk
1944:Credit risk
1311:13 December
1066:distributor
930:asset class
764:derivatives
656:credit card
617:Credit risk
478:Market risk
429:Credit risk
235:Profit risk
112:Equity risk
88:Market risk
55:Credit risk
2573:Categories
2118:Legal risk
2098:Model risk
2012:Shape risk
2008:Basis risk
1936:Categories
1687:2022-04-10
1428:2011-09-22
1386:2011-09-22
1288:References
1062:Tightening
948:Mitigation
902:derivative
815:collateral
787:Assessment
735:, or seek
717:bankruptcy
633:cash flows
571:Disclosure
555:Legal risk
368:Regulation
356:Background
221:Legal risk
173:Model risk
2465:Risk pool
2378:Financial
1682:245970287
1481:154117131
1473:0893-9454
1277:KMV model
1005:dividends
994:covenants
989:Covenants
741:guarantee
721:insolvent
687:when due.
680:when due.
625:principal
324:Basel III
2388:analysis
2323:Bad debt
2201:Drawdown
2163:Modeling
1826:(2003).
1724:(2008).
1343:Archived
1236:See also
1070:retailer
938:margined
737:security
629:interest
319:Basel II
2403:betting
2393:analyst
2383:adviser
2036:FX risk
1074:net 30
934:hedging
667:company
621:default
495:CVA vol
364:Banking
344:Endgame
314:Basel I
2445:Hazard
2196:Copula
2063:(e.g.
2002:(e.g.
1834:
1808:
1789:
1770:
1748:
1680:
1670:
1630:
1579:
1552:
1524:
1479:
1471:
1219:SA-CCR
1078:net 15
977:, and
696:coupon
505:SA-CVA
500:BA-CVA
461:SA-CCR
422:Tier 2
417:Tier 1
2450:Hedge
2408:crime
2398:asset
2231:RAROC
2127:Other
1678:S2CID
1477:S2CID
1422:(PDF)
1415:(PDF)
1380:(PDF)
1373:(PDF)
1040:hedge
910:hedge
751:Types
685:wages
673:debt.
517:Basic
449:A-IRB
444:F-IRB
434:SA-CR
2460:Risk
2423:risk
1927:and
1832:ISBN
1822:and
1806:ISBN
1787:ISBN
1768:ISBN
1746:ISBN
1668:ISBN
1628:ISBN
1577:ISBN
1550:ISBN
1522:ISBN
1469:ISSN
1313:2013
1257:CS01
1123:ACPM
1036:bond
1030:and
932:and
920:The
898:bond
795:and
710:bank
692:bond
627:and
382:Risk
339:FRTB
334:NSFR
2418:law
2363:ESG
1660:doi
1461:doi
1227:VAR
1211:PFE
1195:LGD
1186:JTD
1162:EAD
1157:XVA
1153:DVA
1145:CVA
1129:CCR
1076:to
1046:or
1018:or
890:CCR
884:or
527:AMA
488:IMA
471:CCF
465:IMM
456:EAD
439:IRB
329:LCR
2575::
2289:,
2285:,
2281:,
2277:,
2067:,
2018:,
2014:,
2010:,
2006:,
1676:,
1666:,
1654:,
1536:^
1520:.
1475:.
1467:.
1457:10
1455:.
1315:.
1303:.
1203:PD
1178:EL
1170:EE
1137:CE
1007:,
985:).
973:,
904:,
900:,
665:A
658:,
654:,
384:/
375:/
366:/
2293:)
2262:)
2258:(
2071:)
2022:)
1917:e
1910:t
1903:v
1840:.
1814:.
1795:.
1776:.
1754:.
1662::
1636:.
1585:.
1558:.
1530:.
1483:.
1463::
1431:.
1389:.
1080:.
1058:.
1022:.
888:(
766:.
605:e
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20:)
Text is available under the Creative Commons Attribution-ShareAlike License. Additional terms may apply.
