Blog Program: General
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Risk Aggregation
In order to determine the total enterprise risk for a financial institution, all risks must be aggregated and analyzed
What is Potential Future Exposure?
Potential Future Exposure is actually derived from MTM and revaluing the portfolio and considered an estimate of MTM,...
Backtesting VaR
Backtesting attempts to verify whether actual losses are reasonably consistent with projected losses.It compares valu...
What is Sovereign Risk?
Sovereign Risk is the risk that the country will default on its financial obligations.
Conditional Prepayment Rate
The CPR is the annual rate at which a mortgage pool balance is assumed to be prepaid during the life of the pool.
Counter Cyclical Buffer
Basel III recommends that banks have a capital buffer to protect against the cyclicality of bank earnings, called the...
Vasicek Model for Probability of Default Modelling
Vasicek Rate Model refers to a mathematical method of modeling the movement and evolution of interest rates.
Unexpected Loss
Unexpected loss refers to the amount that a company could lose in addition to its average (anticipated) loss possibil...
Basel Accord
The Basel Accord is a set of agreements on banking regulations concerning capital risk, market risk, and operational ...