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
The Role of Collateral in Borrowing
14 Jan 2021
RDP
PDF
1784KB
credit supply, separate from mitigating counterparty risk and information asymmetries, as banks. ... manage their risk exposure by the amount they lend to a particular bank or even whether they lend to.
https://www.rba.gov.au/publications/rdp/2021/pdf/rdp2021-01.pdf
Australian Money Market Divergence: Arbitrage Opportunity or Illusion?
12 Sep 2019
RDP
PDF
1464KB
10 Here we account for the difference between the notional dollar value of the asset and the institution’s risk exposure. ... weight. Second, loan collateralisation reduces the risk exposure to the borrower.
https://www.rba.gov.au/publications/rdp/2019/pdf/rdp2019-09.pdf
Fiscal, Monetary and Macroprudential Regimes: Incentives-Values Compatibility in Constitutional Democracies
28 Dec 2022
Conferences
PDF
375KB
RBA Annual Conference 2022
https://www.rba.gov.au/publications/confs/2022/pdf/rba-conference-2022-tucker.pdf
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
Measuring Traded Market Risk: Value-at-risk and Backtesting Techniques
1 Dec 2009
RDP
PDF
400KB
accurate measure of market risk exposure. ... The difficulty with this though, is that such a highly aggregate figuremay mask imbalances in risk exposure across markets or individual traders.
https://www.rba.gov.au/publications/rdp/1997/pdf/rdp9708.pdf
A Banker's Perspective on the Future of the Financial System
7 Dec 2006
Conferences
PDF
35KB
RBA Conference Volume 1996
https://www.rba.gov.au/publications/confs/1996/pdf/ferguson-w.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
Risk and the Transformation of the Australian Financial System | Conference – 2007
20 Aug 2007
Conferences
This should be supportive of financial stability to the extent that it disperses credit risk more widely. ... While securitisation allows for the transfer of credit risk, the banks' primary objective in securitising housing loans has been to fund more
https://www.rba.gov.au/publications/confs/2007/ryan-thompson.html