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.
Search Results
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
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
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
Reserve Bank of Australia Annual Report 2023
18 Oct 2023
RBA Annual Report
- 2023
PDF
402KB
https://www.rba.gov.au/publications/annual-reports/rba/2023/pdf/notes.pdf
Notes to and Forming Part of the Financials Statements
9 Aug 2023
RBA Annual Report
- 2022
PDF
284KB
https://www.rba.gov.au/publications/annual-reports/rba/2022/pdf/notes.pdf
Reserve Bank of Australia Annual Report 2023
1 May 2024
RBA Annual Report
- 2023
PDF
9575KB
https://www.rba.gov.au/publications/annual-reports/rba/2023/pdf/rba-annual-report-2023.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
Payments System Board Annual Report 2023
11 Oct 2023
PSB Annual Report
- 2023
PDF
2459KB
https://www.rba.gov.au/publications/annual-reports/psb/2023/pdf/psb-annual-report-2023.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
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