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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Structural Features of Australian Residential Mortgage-backed Securities
17 Jun 2015
Bulletin
June Quarter 2015
PDF
395KB
https://www.rba.gov.au/publications/bulletin/2015/jun/pdf/bu-0615-6.pdf
Bulletin December Quarter 2011
22 Feb 2012
Bulletin
PDF
3062KB
Reserve Bank of Australia
https://www.rba.gov.au/publications/bulletin/2011/dec/pdf/bu-1211.pdf
The Future of the Financial System
7 Dec 2006
Conferences
PDF
831KB
RBA Conference Volume 1996
https://www.rba.gov.au/publications/confs/1996/pdf/conf-vol-1996.pdf
OTC Derivatives Reforms and the Australian Cross-currency Swap Market
19 Jun 2013
Bulletin
PDF
241KB
Reserve Bank of Australia Bulletin June 2013
https://www.rba.gov.au/publications/bulletin/2013/jun/pdf/bu-0613-7.pdf
Economic and Financial Research in the Reserve Bank in 1999
10 Jan 2000
Bulletin
– January 2000
Australian banks use ‘Value at Risk’ models as a basis for determining the capital required to cover their market-risk exposure – that is, the risk arising from variability in the value ... The results imply that the risk of bank failure has
https://www.rba.gov.au/publications/bulletin/2000/jan/2.html
Financial Stability Risks from Non-bank Financial Intermediation in Australia
18 Apr 2024
Bulletin
– April 2024
Risks to financial stability posed by the non-bank financial intermediation (NBFI) sector in Australia remain relatively contained.
https://www.rba.gov.au/publications/bulletin/2024/apr/financial-stability-risks-from-non-bank-financial-intermediation-in-australia.html
Reassessing the Costs and Benefits of Centrally Clearing the Australian Bond Market
16 Mar 2023
Bulletin
– March 2023
This article considers the costs and benefits of centrally clearing the Australian bond market, in light of developments in the market since the Reserve Bank’s last review in 2015.
https://www.rba.gov.au/publications/bulletin/2023/mar/reassessing-the-costs-and-benefits-of-centrally-clearing-the-australian-bond-market.html
Assessing Physical Climate Risk in Repo-eligible Residential Mortgage-backed Securities
18 Apr 2024
Bulletin
– April 2024
This article assesses physical climate risk in Australian residential mortgage-backed securities (RMBS) using two risk metrics.
https://www.rba.gov.au/publications/bulletin/2024/apr/assessing-physical-climate-risk-in-repo-eligible-residential-mortgage-backed-securities.html
Reassessing the Costs and Benefits of Centrally Clearing the Australian Bond Market
15 Mar 2023
Bulletin
- March 2023
PDF
506KB
https://www.rba.gov.au/publications/bulletin/2023/mar/pdf/reassessing-the-costs-and-benefits-of-centrally-clearing-the-australian-bond-market.pdf
The Australian OTC Derivatives Market: Insights from New Trade Repository Data
21 Jun 2018
Bulletin
– June 2018
Gross credit exposure is a better measure of risk than notional value or gross market value. ... However, their counterparty risk exposure, as measured by gross credit exposure, is more concentrated with foreign banks than with CCPs.
https://www.rba.gov.au/publications/bulletin/2018/jun/the-australian-otc-derivatives-market-insights-from-new-trade-repository-data.html