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Erschienen in:
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2024 | OriginalPaper | Buchkapitel

1. Introduction to Credit Risk and Capital Management Frameworks

verfasst von : Colin Chen

Erschienen in: Practical Credit Risk and Capital Modeling, and Validation

Verlag: Springer Nature Switzerland

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Abstract

Credit risk is the possibility of a loss resulting from the failure by a borrower, or more generally an obligor, to repay a loan or meet contractual obligations. In banking and financial industries, it refers to the risk that a lender may not receive the owed principal and interest, which results in an interruption of cash flows and increased costs for collection.

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Nächstes Kapitel Credit Data and Processing
Fußnoten
1
Fundamental review of the trading book: a revised market risk framework, BCBS 2013.
 
2
Measurement of credit losses on financial instruments, an amendment of the FASB accounting standards codification, FASB ASU 2016-13, June, 2016 (referred to as “FASB, 2016” in this book).
 
3
IASB, 2014. IFRS 9 Financial Instruments. July 2014. Technical report. International Accounting Standards Board.
 
4
Due to COVID-19 pandemic, the original 1-year lag was extended to 3 years for other entities.
 
5
Defined as the CECL transition amount (also called the day-one impact of CECL) plus the difference between retained earnings reported in the most recent regulatory report and retained earnings as of the beginning of the fiscal year that the banking organization adopts CECL. It is the cumulative CECL transition amount after the first 2 years of transition.
 
6
Regulatory Capital Rule: Revised Transition of the Current Expected Credit Losses Methodology for Allowances Federal Register Vol. 85, No. 190, September 30, 2020.
 
7
Merton, R., 1974. On the pricing of corporate debt: the risk structure of interest rates. Journal of Finance 29(2), 449–470.
 
8
Vasicek, O., 2002. Loan portfolio value. Risk 15(2), 160–162.
 
9
Gordy, M., 2003. A risk-factor foundation for risk-based capital rules. Journal of Financial Intermediation 12, 199–232.
 
10
BIS, 2006. Basel II International Convergence of Capital Measurement and Capital Standards: A Revised Framework. BIS, Basel.
 
11
Capital and the allowance for credit losses – an opportunity exists to level the playing field among international banks, Deloitte, 2018.
 
12
BIS, 2014b. Revised Basel III leverage ratio framework and disclosure requirements. Bank for International Settlements, Basel.
 
13
To ease strains in the Treasury market resulting from the coronavirus and increase banking organizations’ ability to provide credit to households and businesses, on April 1, 2020, Fed temporally changed its supplementary leverage ratio rule. The change would exclude US Treasury securities and deposits at Federal Reserve Banks from the calculation of total leverage exposures for holding companies. This change expired on March 31, 2021.
 
14
The Dodd-Frank Wall Street Reform and Consumer Protection Act (commonly referred to as the Dodd-Frank Act) is a US federal law that was enacted on July 21, 2010. The law overhauled financial regulation in the aftermath of the Great Recession, and it made changes affecting all federal financial regulatory agencies and almost every part of the nation’s financial services industry.
 
15
FRB, 2020. Comprehensive Capital Analysis and Review 2020 Summary Instructions March 2020. Board of Governors of the Federal Reserve System, Washington, DC.
 
16
FRB, 2020. Dodd-Frank Act Stress Test 2020: Supervisory Stress Test Methodology. March 2020. Board of Governors of the Federal Reserve System, Washington, DC.
 
17
In view of the extraordinary circumstances relating to the coronavirus (COVID-19) pandemic, the EBA has decided to postpone the 2020 EU-wide stress test until 2021. The ECB supports this decision and has postponed its own 2020 SREP stress test until 2021 as well.
 
18
EBA, 2020. 2020 EU-wide stress test. Methodological note. European Banking Authority, London.
 
19
BOE, 2015. Stress testing the UK banking system: key elements of the 2015 stress test. Bank of England Publications, London.
 
20
12 C.F.R. Appendix A to Part 252 – Policy Statement on the Scenario Design Framework for Stress Testing. Feb 28, 2019.
 
Literatur
BOE. (2015). Stress testing the UK banking system: Key elements of the 2015 stress test. Bank of England Publications.
EBA. (2020). 2020 EU-wide stress test, methodological note. European Banking Authority.
FASB ASU2016-13. (2016). Measurement of credit losses on financial instruments, an amendment of the FASB accounting standards codification, FASB ASU2016-13.
FRB. (2020a). Comprehensive capital analysis and review 2020 summary instructions. Board of Governors of the Federal Reserve System.
FRB. (2020b). Dodd-Frank Act stress test 2020: Supervisory stress test methodology. Board of Governors of the Federal Reserve System.
IASB. (2014). IFRS 9 Financial Instruments. July 2014. Technical report. International Accounting Standards Board.
Merton, R. (1974). On the pricing of corporate debt: the risk structure of interest rates. Journal of Finance, 29(2), 449–470.
Vasicek, O. (2002). Loan portfolio value. Risk, 15(2), 160–162.
Gordy, M. (2003). A risk-factor foundation for risk-based capital rules. Journal of Financial Intermediation, 12, 199–232.
BIS. (2006). Basel II International Convergence of Capital Measurement and Capital Standards: A Revised Framework. BIS, Basel.
Metadaten
Titel
Introduction to Credit Risk and Capital Management Frameworks
verfasst von
Colin Chen
Copyright-Jahr
2024
Buch
Practical Credit Risk and Capital Modeling, and Validation

Print ISBN: 978-3-031-52541-4

Electronic ISBN: 978-3-031-52542-1

Copyright-Jahr: 2024

DOI
https://doi.org/10.1007/978-3-031-52542-1_1