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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Central Clearing of Repos in Australia: Conclusions
28 Oct 2015
Consultations
PDF
306KB
Counterparty credit risk. Opportunities for settlement and exposure netting from central clearing are likely to be limited, although there may be some scope for regulatory capital efficiencies. ... a broad range of counterparties towards concentrating
https://www.rba.gov.au/publications/consultations/201503-central-clearing-of-repos-in-australia/conclusions/pdf/central-clearing-of-repos-in-australia-conclusions-2015-10.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
The Australian Otc Derivatives Market Insights From New Trade Repository Data
23 Jul 2018
Bulletin
- June 2018
PDF
852KB
https://www.rba.gov.au/publications/bulletin/2018/jun/pdf/the-australian-otc-derivatives-market-insights-from-new-trade-repository-data.pdf
Credit and Money | Chart Pack
6 Sep 2023
Chart Pack
A set of graphs on Credit and Money from the Chart Pack
https://www.rba.gov.au/chart-pack/credit-money.html