Exposure at default
Q&A: Ryozo Himino on Basel's RWA probe and the need for minimum standards...
Original headline:
Source: Risk magazine
The Basel Committee is keeping an eye on Basel III implementation, led by its standards implementation group. Nick Sawyer talks to Ryozo Himino, chair of the group, about the monitoring of timelines, consistency...
Original headline:
Source: Risk magazine
The credibility of bank capital has been called into question by the wildly differing risk-weighted asset (RWA) numbers produced by bank models – and the Basel Committee is preparing to launch an investigation....
Original headline:
Source: Risk magazine
Basel III has incorporated credit valuation adjustment (CVA) in calculations of regulatory capital for counterparty credit risk (CCR). CVA appears via a completely new CVA capital charge and a downward...
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More Exposure at default articles
Basel III CVA charge still flawed; lacks risk sensitivity
Original headline:
Source: Asia Risk
Finalised by the Basel Committee in December, a capital charge for credit value adjustment (CVA) will have a significant impact on major derivatives dealers. But risk managers argue the revised charge is not risk-sensitive enough and fails to reflect...
Name concentration correction
Original headline:
Source: Asia Risk
Jasper Hommels and Viktor Tchistiakov describe the implementation of a simple analytical framework for the name concentration measurement that occurs in a credit portfolio due to imperfect diversification of idiosyncratic risk. The result is an intuitive...
Name concentration correction
Original headline:
Source: Risk magazine
Jasper Hommels and Viktor Tchistiakov describe the implementation of a simple analytical framework for the name concentration measurement that occurs in a credit portfolio due to imperfect diversification of idiosyncratic risk. The result is an intuitive...
BIS: bank derivatives exposure falls in Q4 2009
Published online only
Source: Risk magazine
Bank exposure to derivatives continued to fall in the last few months of 2009, according to data released today by the Bank for International Settlements (BIS). At the end of the year, total derivatives exposure was $3.996 trillion, down 12% from the...
Counterparty charge an act too far?
Published online only
Source: Risk magazine
The Basel Committee shocked many bankers in December by unleashing proposals to significantly increase capital requirements for counterparty risk exposures. But industry participants argue the measures overlap with each other and could hike up capital...
Ways in which a firm can prepare for a major default in the market.
Published online only
Source: Risk magazine
When a credit default occurs, the exposure at default is calculated using the positive exposure to the defaulting counterparty, appropriate recognition of netting where legally permitted. Prior to an actual default, the potential future exposure (PFE)...
Wrong way risk II
Published online only
Source: Risk magazine
Credit exposure is defined as the amount that would be lost if the borrower or counterparty were to default, with no recovery from the subsequent liquidation. This exposure is traditionally measured independently from the quality or nature of the counterparty....
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