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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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
The Role of Collateral in Borrowing
20 Jan 2021
RDP
2021-01
Rather, the results suggest that lenders seem to be more likely to manage their risk exposure by the amount they lend to a particular bank or even whether they lend to ... The idea is that following unexpected system-wide stress, differences in risk
https://www.rba.gov.au/publications/rdp/2021/2021-01/full.html
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Sensitivity Analysis
13 Sep 2019
RDP
2019-09
Second, loan collateralisation reduces the risk exposure to the borrower. If the borrower defaults, the cash lender may recoup most (or all) of their investment by selling the collateral. ... For repo transactions, the range of possible risk weights is
https://www.rba.gov.au/publications/rdp/2019/2019-09/sensitivity-analysis.html
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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
Results
1 Nov 1999
RDP
1999-09
Interestingly, this coincided with the introduction of the Basel risk-based capital adequacy standards. ... primary risk exposure – credit risk – has fallen (see, for example, Ulmer (1997)).
https://www.rba.gov.au/publications/rdp/1999/1999-09/results.html
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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
Australian Banking Risk: The Stock Market’s Assessment and the Relationship Between Capital and Asset Volatility
1 Dec 2009
RDP
PDF
458KB
The term ‘operating risk’ is used in theliterature. It should not be confused with operational risk, which is the risk ofearnings volatility not caused by market or credit factors.). ... exposure – credit risk – has fallen (see, for example,
https://www.rba.gov.au/publications/rdp/1999/pdf/rdp1999-09.pdf
Limiting Foreign Exchange Exposure through Hedging: The Australian Experience
22 Aug 2006
RDP
PDF
206KB
This type of derivative is therefore primarily used to hedge balance sheet exposure on debt securities and the associated transaction risk on interest payments. ... Another factor may be that longer-term derivatives are seen by banks as a higher credit
https://www.rba.gov.au/publications/rdp/2006/pdf/rdp2006-09.pdf
Australian Banks' Impaired Assets During the 1990s
31 Dec 2001
RDP
2001-06
Over this period the weakest banks became comparatively weaker. Exits from the industry and the overall improvement in banks' credit risk exposure have seen the interquartile range narrow to 0.7 ... Commercial property prices and the share of
https://www.rba.gov.au/publications/rdp/2001/2001-06/australian-banks-impaired-assets-during-the-1990s.html
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Consumer Credit Card Choice: Costs, Benefits and Behavioural Biases
9 Oct 2018
RDP
2018-11
Research Discussion Paper – RDP 2018-11 Consumer Credit Card Choice: Costs, Benefits and Behavioural Biases. ... debt, households, interest rates, money, payments. The credit card market offers consumers a wide range of options when choosing a card.
https://www.rba.gov.au/publications/rdp/2018/2018-11.html
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