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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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 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 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
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
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
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
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
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
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