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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Limiting Foreign Exchange Exposure through Hedging: The Australian Experience
22 Aug 2006
RDP
PDF
206KB
This type of derivative is therefore primarily used to hedge balance sheet exposure on debt securities and the associated transaction risk on interest payments. ... Another factor may be that longer-term derivatives are seen by banks as a higher credit
https://www.rba.gov.au/publications/rdp/2006/pdf/rdp2006-09.pdf
Financial Stability Review
18 Nov 2022
FSR
- October 2021
PDF
3266KB
https://www.rba.gov.au/publications/fsr/2021/oct/pdf/financial-stability-review-2021-10.pdf
Reserve Bank of Australia Annual Report 2021
29 Sep 2022
RBA Annual Report
2021
PDF
6721KB
https://www.rba.gov.au/publications/annual-reports/rba/2021/pdf/2021-report.pdf
The Australian Financial System
10 Sep 2009
FSR
– September 2009
Despite the recovery in activity, the scale of risk exposure assumed by the central counterparties supporting the equities and futures markets has declined. ... One measure of risk exposure is the value of margin held by the central counterparties in
https://www.rba.gov.au/publications/fsr/2009/sep/aus-fin-sys.html
December: 1997-Glossary
9 Mar 2023
Media Release
the currency purchased is received with finality (see credit risk/exposure and foreign exchange settlement risk). ... The resulting exposure is the cost of replacing, at current market prices, the original transaction (see credit risk/exposure and market
https://www.rba.gov.au/media-releases/1997/mr-97-22-fxsp/annex-e.html
Reserve Bank of Australia Annual Report 2021 - Financial Statements
29 Sep 2022
RBA Annual Report
2021
PDF
480KB
https://www.rba.gov.au/publications/annual-reports/rba/2021/pdf/financial-statements.pdf
OTC Derivatives Reforms and the Australian Cross-currency Swap Market
24 Jun 2013
Bulletin
– June 2013
Reforms to improve the management of counterparty credit risk in over-the-counter (OTC) derivatives markets are underway globally. A key pillar of the reforms is the migration of these markets to central counterparties (CCPs), while higher capital
https://www.rba.gov.au/publications/bulletin/2013/jun/7.html
Operations in Financial Markets
31 Aug 2007
RBA Annual Report
– 2007
levels. To minimise its exposure to credit risk the Reserve Bank mainly holds highly rated securities. ... base. Credit exposure to each counterparty is aggregated across all the products in which the Reserve Bank has dealt with that counterparty, with
https://www.rba.gov.au/publications/annual-reports/rba/2007/oper-fin-mkts.html
Financial Stability Review September 2013
24 Sep 2013
FSR
September 2013
PDF
1605KB
https://www.rba.gov.au/publications/fsr/2013/sep/pdf/0913.pdf
Recent Developments in Collateralised Debt Obligations in Australia
13 Nov 2007
Bulletin
PDF
90KB
Reserve Bank of Australia Bulletin November 2007
https://www.rba.gov.au/publications/bulletin/2007/nov/pdf/bu-1107-1.pdf