The article reports on the plans for a standardised capital charge for credit spread risk on loans, bonds and other assets held in the banking book has been dropped by the Basel Committee on Banking Supervision due to delayed rules on interest rate risk in the banking book (IRRBB).Conti...
Credit risk management in the current competitive condition in the Chinese banking industry In recent years, it has been witnessed that a number of countries are trying to recover from a deep recession which spread widely around the world. Researchers have pointed out that the laxity of credit ri...
反映在credit spread上。一般的信用风险市场化量度由CDS的价格确定（对贷款有LCDS).对于Counterparty risk...
debit spread Generic credit spread Quality spread References in periodicals archive ? It said Lebanon's credit spreads have outperformed most peers since June 2019 due to improving risk sentiment and to the announcement that Qatar bought Lebanese Eurobonds as part of the pledge it made in January ...
Credit Derivatives: Risk Management, Trading and Investing The credit derivatives market has developed rapidly over the last ten years and is now well established in the banking community and is increasingly making its presence felt in all areas of finance. This book covers the subject from cred....
Under the Internal-Rating Based (IRB) approach, the RWAs in the banking book measure the exposure of a bank granting loans by applying a weight according to the intrinsic riskiness of each asset. An issuer’s default probability and loss at default time are based on the bank’s own ...
Risk Management: Credit and Interest Rate Risk Credit and interest rate risk in the banking book are the two most important risks faced by commercial banks. In this paper we derive a consistent and gene... R Kiesel,W Perraudin,AP Taylor 被引量: 13发表: 2002年 The integrated impact of cr...
According to theoretical models of credit risk, the determinants of credit spreads are the differences in creditworthiness between corporations. However, considering several theories, credit spreads may also be influenced by other economic factors. This paper aims to empirically test the explanatory power...
The banks' motive to conclude these CDS contracts is to improve the diversification of their credit risk. It is shown that these CDSs reduce the stability of the banking sector in a recession. However, during a boom or in periods of moderate economic up- or downturn, they may reduce this ...
behalf. The buyer presents a letter of credit to theseller, which eliminates theriskthat the seller will not be paid. Letters of credit have become very common in international commerce, as distance and other factors make it difficult for sellers to establish the creditworthiness of every buyer....