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
10 Dec 2011
Bulletin
– December 2011
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
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
Financial Stability Review - September 2005
26 Sep 2005
FSR
- September 2005
PDF
494KB
https://www.rba.gov.au/publications/fsr/2005/sep/pdf/0905.pdf
Bulletin March Quarter 2023
8 Jun 2023
Bulletin
- March 2023
PDF
7038KB
https://www.rba.gov.au/publications/bulletin/2023/mar/pdf/bulletin-2023-03.pdf
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
Financial Stability Review
1 Apr 2004
FSR
PDF
611KB
This is giving rise to concerns about the possibility of the mispricing of global credit risk and a misallocation of global capital. ... Graph 21Indicators of Corporate Credit Risk. Sources: AFMA; Bloomberg; RBA; Reuters; UBS Australia Ltd.
https://www.rba.gov.au/publications/fsr/2004/mar/pdf/0304.pdf
Bulletin
17 Apr 2024
Bulletin
- April 2024
PDF
7253KB
https://www.rba.gov.au/publications/bulletin/2024/apr/pdf/bulletin-2024-04.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