Credit risk: Difference between revisions
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imported>Doug Williamson (Add link.) |
imported>Doug Williamson (Add link.) |
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* [[Counterparty risk]] | * [[Counterparty risk]] | ||
* [[Covenant]] | * [[Covenant]] | ||
* [[Credit]] | |||
* [[Credit default swap]] | * [[Credit default swap]] | ||
* [[Credit derivative]] | * [[Credit derivative]] | ||
* [[Credit exposure]] | * [[Credit exposure]] | ||
* [[Credit migration risk]] | |||
* [[Credit rating]] | |||
* [[Credit rating agency]] | |||
* [[Credit risk diversification]] | * [[Credit risk diversification]] | ||
* [[Capital risk]] | * [[Capital risk]] | ||
| Line 24: | Line 28: | ||
* [[Event risk]] | * [[Event risk]] | ||
* [[Exchange-for-value system]] | * [[Exchange-for-value system]] | ||
* [[High-yield]] | |||
* [[KMV]] | * [[KMV]] | ||
* [[Merton distance-to-default]] | * [[Merton distance-to-default]] | ||
Latest revision as of 16:13, 9 July 2022
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
- Banker's payment
- CCR
- Counterparty risk
- Covenant
- Credit
- Credit default swap
- Credit derivative
- Credit exposure
- Credit migration risk
- Credit rating
- Credit rating agency
- Credit risk diversification
- Capital risk
- ECL
- Event risk
- Exchange-for-value system
- High-yield
- KMV
- Merton distance-to-default
- Operational risk
- Pre-settlement risk
- Price risk
- Prime bank
- Principal risk
- Putting a limit on losses
- Replacement cost risk
- Reputational risk
- Risk mitigation
- Sovereign risk
- TED spread
- Transaction risk
