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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Derivatives – Bank Activities and Supervisory Responses
2 Jun 2003
Bulletin
PDF
53KB
Sometimes, where the bankchooses to be the risk ‘acceptor’, this will leaveit with a risk exposure; in other cases, the bank. ... financial institutions on currentexposures to derivatives, the potential forfurther exposure to risk should market
https://www.rba.gov.au/publications/bulletin/1995/may/pdf/bu-0595-1.pdf
Non-dealer Clearing of Over-the-counter Derivatives
27 Mar 2014
Bulletin
PDF
572KB
Reserve Bank of Australia Bulletin March 2014
https://www.rba.gov.au/publications/bulletin/2014/mar/pdf/bu-0314-9.pdf
Non-dealer Clearing of Over-the-counter Derivatives
20 Mar 2014
Bulletin
– March 2014
In 2009, the G20 leaders agreed that all standardised over-the-counter (OTC) derivatives should be cleared through central counterparties (CCPs). Accordingly, an increasing proportion of OTC derivatives are now centrally cleared, particularly where
https://www.rba.gov.au/publications/bulletin/2014/mar/9.html
The Australian Financial System
24 Sep 2012
FSR
– September 2012
PDF
494KB
https://www.rba.gov.au/publications/fsr/2012/sep/pdf/aus-fin-sys.pdf
RBA Annual Report 1999 - The Bank's Earnings
21 Feb 2001
Annual Report
PDF
276KB
The Bank’s maximum credit risk exposure in relation to off-balance sheet items is:. ... Note 18 (continued). 84. Concentration of credit riskThe Bank operates to minimise its credit risk exposure through comprehensive risk management policyguidelines.
https://www.rba.gov.au/publications/annual-reports/rba/1999/pdf/earnings.pdf
Supervision of Market Risk: The State of Play
16 May 1996
Speech
Speech by Les Austin to the AIC Integrated Risk Management Conference, Sydney
https://www.rba.gov.au/speeches/1996/sp-ag-160596.html
Managing Market Risk in Banks
17 Jun 2003
Bulletin
PDF
44KB
In this way they provide a summary measureof the risk exposure generated by a givenportfolio. ... This is a quite separate matter fromthe analysis of any credit risk on the balancesheet (the risk that counterparties maydefault).
https://www.rba.gov.au/publications/bulletin/1996/dec/pdf/bu-1296-1.pdf
Liquidity in Fixed Income Markets
16 Jun 2016
Bulletin
– June 2016
Fixed income markets in many jurisdictions have been going through a period of change, resulting in a debate as to whether they are continuing to function effectively, or will function effectively in times of stress. Changes in dealer business
https://www.rba.gov.au/publications/bulletin/2016/jun/7.html
Collateralised Debt Obligations in Australia
10 Sep 2005
FSR
– September 2005
In the simplest form of a CDO, this credit risk exposure is generated in the same way as for any asset-backed security (ABS): the CDO is backed by outright holdings ... Rather than directly holding a pool of corporate debt as collateral, an equivalent
https://www.rba.gov.au/publications/fsr/2005/sep/collateral-debt.html
Note 15 – Financial Instruments and Risk
21 Oct 2021
RBA Annual Report
– 2021
Note 15 – Financial Instruments and Risk | Reserve Bank of Australia Annual Report – 2021
https://www.rba.gov.au/publications/annual-reports/rba/2021/financial-statements/note-15.html