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 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
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
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
See 4 more results from "RDP 2019-09"
The Global Financial Environment
8 Oct 2021
FSR
– October 2021
Faster credit growth – particularly in excess of income growth – raises the risk of households becoming excessively leveraged (including because of unrealistic expectations of ongoing capital gains) and/or the quality of ... so they have increased
https://www.rba.gov.au/publications/fsr/2021/oct/global-financial-environment.html
The Australian Financial System
10 Mar 2010
FSR
– March 2010
Given concerns about sovereign credit risk in smaller European countries, it is worth noting that Australian bank exposures to these countries are very small (Table 4). ... Mark-to-market margin has similarly declined. The central counterparties also
https://www.rba.gov.au/publications/fsr/2010/mar/aus-fin-sys.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
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
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