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
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
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
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
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
Robust Design Principles for Monetary Policy Committees | Conference – 2018
12 Apr 2018
Conferences
Risk management necessarily involves questioning standard assumptions and encouraging outside-the-box thinking. ... Against that background, the experiences of many central banks over recent decades highlight two basic types of risk exposure in monetary
https://www.rba.gov.au/publications/confs/2018/archer-levin.html
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
Structural Features of Australian Residential Mortgage-backed Securities
18 Jun 2015
Bulletin
– June 2015
This article provides a summary of structural features typically found in Australian residential mortgage-backed securities and their evolution over the past decade. Understanding the structural features of the securities is essential to the
https://www.rba.gov.au/publications/bulletin/2015/jun/6.html