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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The Australian Credit Default Swap Market
22 Feb 2012
Bulletin
PDF
674KB
Reserve Bank of Australia December Bulletin 2011
https://www.rba.gov.au/publications/bulletin/2011/dec/pdf/bu-1211-6.pdf
Box D: Trade Compression
14 Apr 2016
FSR
April 2016
PDF
189KB
https://www.rba.gov.au/publications/fsr/2016/apr/pdf/box-d.pdf
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
Robust Design Principles for Monetary Policy Committees | Conference – 2018
12 Apr 2018
Conferences
Risk management necessarily involves questioning standard assumptions and encouraging outside-the-box thinking. ... Against that background, the experiences of many central banks over recent decades highlight two basic types of risk exposure in monetary
https://www.rba.gov.au/publications/confs/2018/archer-levin.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
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
CCPs and Banks: Different Risks, Different Regulations
15 Dec 2015
Bulletin
December Quarter 2015
PDF
159KB
https://www.rba.gov.au/publications/bulletin/2015/dec/pdf/bu-1215-8.pdf
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
Financial Stability Review - September 2004
6 Jan 2005
FSR
PDF
1099KB
Wider access by households to credit, the development of new loan products and rapid growth in lending to investors have contributed to an increase in credit risk in these portfolios, notwithstanding ... Measures of corporate credit risk, including
https://www.rba.gov.au/publications/fsr/2004/sep/pdf/0904.pdf
Structural Features of Australian Residential Mortgage-backed Securities
18 Jun 2015
Bulletin
– June 2015
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