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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Derivatives – Bank Activities and Supervisory Responses
10 May 1995
Bulletin
– May 1995
Transactions in derivative products can be characterised as ‘zero-sum games’ where those seeking to reduce their risk exposure (to, for instance, a rise in the exchange rate) pay another party ... Sometimes, where the bank chooses to be the risk
https://www.rba.gov.au/publications/bulletin/1995/may/1.html
A Banker's Perspective on the Future of the Financial System | Conference – 1996
9 Jul 1996
Conferences
Another area of concern grows out of the rapid increase in risk exposure by many of the emerging non-bank players in the financial system. ... Overlaying all of the above is the technological revolution in risk information processing.
https://www.rba.gov.au/publications/confs/1996/ferguson-w.html
Managing Market Risk in Banks
10 Dec 1996
Bulletin
– December 1996
In this way they provide a summary measure of the risk exposure generated by a given portfolio. ... This is a quite separate matter from the analysis of any credit risk on the balance sheet (the risk that counterparties may default).
https://www.rba.gov.au/publications/bulletin/1996/dec/1.html
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
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
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
Non-dealer Clearing of Over-the-counter Derivatives
20 Mar 2014
Bulletin
– March 2014
In 2009, the G20 leaders agreed that all standardised over-the-counter (OTC) derivatives should be cleared through central counterparties (CCPs). Accordingly, an increasing proportion of OTC derivatives are now centrally cleared, particularly where
https://www.rba.gov.au/publications/bulletin/2014/mar/9.html
Note 16 | Financial Statements
20 Aug 2009
RBA Annual Report
– 2009
The RBA's maximum credit risk exposure in relation to off-balance sheet items is:. ... Concentration of credit risk. As noted, the RBA operates to minimise its credit risk exposure through comprehensive risk management policy guidelines.
https://www.rba.gov.au/publications/annual-reports/rba/2009/fin-statements/note-16.html
Note 15 – Financial Instruments and Risk
21 Oct 2021
RBA Annual Report
– 2021
Note 15 – Financial Instruments and Risk | Reserve Bank of Australia Annual Report – 2021
https://www.rba.gov.au/publications/annual-reports/rba/2021/financial-statements/note-15.html
Collateralised Debt Obligations in Australia
10 Sep 2005
FSR
– September 2005
In the simplest form of a CDO, this credit risk exposure is generated in the same way as for any asset-backed security (ABS): the CDO is backed by outright holdings ... Rather than directly holding a pool of corporate debt as collateral, an equivalent
https://www.rba.gov.au/publications/fsr/2005/sep/collateral-debt.html