Search: credit risk/exposure

Sort by: Relevance Date
110 of 881 search results for 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.

Search Results

The Australian Credit Default Swap Market

10 Dec 2011 Bulletin – December 2011
Daniel Fabbro
Two types of credit exposure arise from CDS trading. First, as discussed above, there is the credit risk associated with the reference entity. ... liquidity. More broadly, the CDS market remains relatively small compared with the bond market and other
https://www.rba.gov.au/publications/bulletin/2011/dec/6.html

Australian Banks' Activities in Derivatives Markets: Products and Risk-Management Practices

10 Sep 1994 Bulletin – September 1994
3. 11. Credit risk is the risk of loss associated with counterparty failure. ... Forms of credit risk enhancement, other than netting, are not widely used by Australian banks.
https://www.rba.gov.au/publications/bulletin/1994/sep/1.html

Recent Developments in Collateralised Debt Obligations in Australia

10 Nov 2007 Bulletin – November 2007
Susan Black and Alan Rai
Because they are issued against a pool of assets, CDOs typically have exposure to the credit risk of a number of different borrowers, whereas a bond entails an exposure to a ... A cash CDO is one where the underlying portfolio consists of physical loans,
https://www.rba.gov.au/publications/bulletin/2007/nov/1.html

The Australian Financial System

10 Sep 2012 FSR – September 2012
default funds’). Variation or mark-to-market margin is collected from participants on a daily basis to cover the risk exposure resulting from actual changes in the value of their positions. ... Initial margin is also collected for participants' new
https://www.rba.gov.au/publications/fsr/2012/sep/aus-fin-sys.html

Box D: Trade Compression

20 Apr 2016 FSR – April 2016
The process, which can be applied to both bilateral and centrally cleared trades, leaves each counterparty's market risk exposure unchanged (or within a pre-defined range). ... Reforms to counterparty credit risk capital requirements provide another
https://www.rba.gov.au/publications/fsr/2016/apr/box-d.html

The Australian Financial System

10 Mar 2010 FSR – March 2010
Given concerns about sovereign credit risk in smaller European countries, it is worth noting that Australian bank exposures to these countries are very small (Table 4). ... Mark-to-market margin has similarly declined. The central counterparties also
https://www.rba.gov.au/publications/fsr/2010/mar/aus-fin-sys.html

The Global Financial Environment

8 Oct 2021 FSR – October 2021
Faster credit growth – particularly in excess of income growth – raises the risk of households becoming excessively leveraged (including because of unrealistic expectations of ongoing capital gains) and/or the quality of ... so they have increased
https://www.rba.gov.au/publications/fsr/2021/oct/global-financial-environment.html

CCPs and Banks: Different Risks, Different Regulations

17 Dec 2015 Bulletin – December 2015
David Hughes and Mark Manning
Recent debate on the adequacy of regulatory standards for central counterparties (CCPs) has often drawn on the experience of bank regulation. This article draws out the essential differences between CCPs and banks, considering the implications of
https://www.rba.gov.au/publications/bulletin/2015/dec/8.html

Trading in Treasury Bond Futures Contracts and Bonds in Australia

18 Sep 2014 Bulletin – September 2014
Belinda Cheung
Treasury bond futures are a key financial product in Australia, with turnover in Treasury bond futures contracts significantly larger than turnover in the market for Commonwealth Government securities (CGS). Treasury bond futures contracts provide a
https://www.rba.gov.au/publications/bulletin/2014/sep/6.html

Structural Features of Australian Residential Mortgage-backed Securities

18 Jun 2015 Bulletin – June 2015
Ivailo Arsov, In Song Kim and Karl Stacey
This article provides a summary of structural features typically found in Australian residential mortgage-backed securities and their evolution over the past decade. Understanding the structural features of the securities is essential to the
https://www.rba.gov.au/publications/bulletin/2015/jun/6.html