A reality check in calculating VaR. It involves testing how well the VaR estimates would have performed in the past....
A type of wrong way risk (WWR) that comes into play because of general market risk factors (macroeconomic factors) affecting...
The risk that arises when income decreases due to changes in interest rates associated with changed maturity profile of interest-bearing...
A hedging transaction that meets a host of conditions for qualification as bona fide hedge. The transaction must (1) represent...
An acronym for right way risk; the risk that arises when a counterparty risk is positively correlated with the credit...
The risk that arises when a counterparty risk is positively correlated with the credit quality of the counterparty in question....
A threat or opportunity that is by nature quantifiable or can be quantified using typical risk management tools and analysis....
A threat or opportunity that is by nature quantifiable or can be quantified using typical risk management tools and analysis....
The instantaneous probability of default (conditional default rate) by an issuer. This risk management tool measures the probability of default...
An interest risk management procedure in which the cash flows of a specific claim are assigned or mapped to a...