Search: credit risk/exposure
RBA Glossary definition for credit risk/exposure
credit risk/exposure – The risk that a counterparty will not settle an obligation for full value, either when due or thereafter. In 'exchange-for-value' systems, the risk is generally defined to include replacement risk (the risk of having to replace a contract at a potentially unfavourable price) and principal risk.
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Credit Loss Modelling
20 Sep 2022
RDP
2022-03
signs of elevated credit risk. ... This is a simplification for modelling purposes. Higher provisions might be expected in a scenario in which credit risk is elevated, since banks are unlikely to assume this risk fully unwinds
https://www.rba.gov.au/publications/rdp/2022/2022-03/credit-loss-modelling.html
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Credit Exposure
1 Dec 1994
RDP
9409
Calculating the current credit exposure on an interest rate swap or an FRA is relatively straightforward. ... To collapse these time paths into a single credit exposure number the maximum exposure is taken.
https://www.rba.gov.au/publications/rdp/1994/9409/credit-exposure.html
See 12 more results from "RDP 9409"
Do Monetary Policy and Economic Conditions Impact Innovation? Evidence from Australian Administrative Data
13 Feb 2024
RDP
PDF
1260KB
exposure to the channels through which monetary policy affects innovation. These channels include. ... 5.2 The credit constraint channel 13. 6. Macroeconomic Effects on Productivity 16.
https://www.rba.gov.au/publications/rdp/2024/pdf/rdp2024-01.pdf
Credit Risk and the Macroeconomy: Evidence from an Estimated DSGE Model
20 Nov 2009
Research Workshop
PDF
727KB
Reserve Bank of Australia Research Workshop 2009
https://www.rba.gov.au/publications/workshops/research/2009/pdf/gilchrist.pdf
Read me file for Consumer Credit Card Choice: Costs, Benefits and Behavioural Biases
3 Oct 2018
RDP
PDF
460KB
RDP 2018-11 supplementary information
https://www.rba.gov.au/publications/rdp/2018/2018-11/rdp-2018-11-read-me.pdf
Credit, Money, Interest and Prices
26 Nov 2018
Research Workshop
PDF
1403KB
To establish aconnection between MP and credit markets, models must have features by which MP impacts credits. ... However, reductions in intermediary net worth can reduce the supply of money andthereby increase exposure to idiosyncratic risk.
https://www.rba.gov.au/publications/workshops/research/2018/pdf/rba-workshop-2018-bigio.pdf
Research Workshop – 2023
20 Dec 2023
Research Workshop
Papers presented at the Reserve Bank of Australia 2023 Research Workshop
https://www.rba.gov.au/publications/workshops/research/2023/
Valuing Safety and Privacy in Retail Central Bank Digital Currency
4 Apr 2024
RDP
PDF
1594KB
This is one of. the main value propositions of a CBDC, since money issued by the RBA has no credit risk. ... household internet access, and credit card usage. The survey asked 9,100 Australians to join via.
https://www.rba.gov.au/publications/rdp/2024/pdf/rdp2024-02.pdf
Macrofinancial Stress Testing on Australian Banks
13 Sep 2023
RDP
PDF
1940KB
tax profits. Collectively, these components (net interest income and credit losses, along with the. ... portfolios to overall credit risk. Since banks are required by accounting standards to provision for.
https://www.rba.gov.au/publications/rdp/2022/pdf/rdp2022-03.pdf
The Evolution of Consumer Payments in Australia: Results from the 2022 Consumer Payments Survey
21 Nov 2023
RDP
PDF
2354KB
age, sex, household income, state of residence, credit card ownership and internet access (where. ... of payments using credit cards increased significantly. However, consumers aged under 40 used.
https://www.rba.gov.au/publications/rdp/2023/pdf/rdp2023-08.pdf