-
1 probability of default
банк. !Русский аналог: вероятность дефолтаВ рамках рекомендованного Базельским комитетом по банковскому надзору подхода на основе внутренних рейтингов (IRB) - один из основных компонентов риска."См. также: internal ratings-based approach (IRB); risk components"http:www.basel-ii-risk.com/Basel-II/Basel-II-Glossary/Basel-Probability-of-Default-(PD).htmThe Probability of Default is the likelihood that a loan will not be repayed and fall into default. This PD will be calculated for each company who have a loan. The credit history of the counterparty and nature of the investment will all be taken into account to calculate the PD figures. Many banks will use external ratings agencies such as Standard and Poors. However, banks are also encouraged to use their own Internal Rating Methods as well."o Analyse the credit risk aspects of the counterparty;"o Map the counterparty to an internal risk grade which has an associated PD: ando Determine the facility specific PD. This last step will gives a weighted Probability of Default for facilities that are subject to a guarantee or protected by a credit derivative. The weighting takes account of the PD of the guarantor or seller of the credit derivative."• Probability of Default (PD) for the ""Other"" segment: is derived from a credit scoring process for a new customer and behavioral scoring for existing business. The resulting PD is mapped to an internal risk grade."(PD) of an Obligor can be derived from an Internal Rating model that is used and maintained within the business area responsible for the counterparty relationship. For the purposes of the Accord there will be one PD associated with each risk grade representing the probability of Default within a 1 year time period.Англо-русский экономический словарь > probability of default
См. также в других словарях:
Probability of default — Basel II Bank for International Settlements Basel Accords Basel I Basel II Background Banking Monetary policy Central bank Risk … Wikipedia
Default trap — The default traps in sovereign borrowing refers to the idea that once a country falls into a default, it is more likely to default again in the future, compared to another country with identical future output ability. The idea of default traps is … Wikipedia
Metrication in the United Kingdom — The metric and imperial systems of measurement are used side by side in the United Kingdom: Eurostar s design speed is cited both as 300 km/h [1] and as 186 mph .[2] Metrication in the United Kingdom is the pr … Wikipedia
Credit default swap — If the reference bond performs without default, the protection buyer pays quarterly payments to the seller until maturity … Wikipedia
Paul the Octopus — Paul in his tank, next to a football boot with the German flag colours Other appellation(s) Paul Oktopus Paul der Krake Pulpo Paul … Wikipedia
Formation and evolution of the Solar System — Artist s conception of a protoplanetary disk The formation and evolution of the Solar System is estimated to have begun 4.568 billion years ago with the gravitational collapse of a small part of a giant molecular cloud … Wikipedia
Black–Scholes — The Black–Scholes model (pronounced /ˌblæk ˈʃoʊlz/[1]) is a mathematical model of a financial market containing certain derivative investment instruments. From the model, one can deduce the Black–Scholes formula, which gives the price of European … Wikipedia
Address space layout randomization — (ASLR) is a computer security technique which involves randomly arranging the positions of key data areas, usually including the base of the executable and position of libraries, heap, and stack, in a process s address space. Benefits Address… … Wikipedia
Answers in Genesis — Formation 1994 Type Religious ministry Legal status Non profit Purpose/focus Young Earth creationist Christian apologetics Headquarters … Wikipedia
Greeks (finance) — The Greeks redirects here. For the ethnic group, see Greeks. In mathematical finance, the Greeks are the quantities representing the sensitivities of the price of derivatives such as options to a change in underlying parameters on which the value … Wikipedia
Fusion power — The Sun is a natural fusion reactor. Fusion power is the power generated by nuclear fusion processes. In fusion reactions two light atomic nuclei fuse together to form a heavier nucleus (in contrast with fission power). In doing so they release a … Wikipedia
