02 — Capability · BC-1780.10
Credit Risk Measurement
Know how much the firm could lose on its loans, bonds and counterparties across the whole portfolio, so limits, provisions and capital rest on sound estimates. Approving or declining a single loan sits in lending.
- Portfolio Credit Risk
- Credit Risk Analytics
- Credit Risk Modeling
In scope
- PD, LGD and EAD estimation for rated portfolios
- Concentration and large exposure monitoring
- Expected credit loss provisioning inputs
- Counterparty credit exposure on derivatives and financing
Out of scope
- Credit decisioning and underwriting of individual loans (see BC-1720.20)
- Trade credit limits for an enterprise's own customers (see BC-250.20)
Decomposes into · 4
- BC-1780.10.10Credit Risk Parameter EstimationEstimate and recalibrate probability of default, loss given default and exposure at default for each portfolio segment from internal history and external data.
- BC-1780.10.20Credit Concentration MonitoringMeasure exposure by borrower group, sector, country and collateral type and flag concentrations and large exposures before they breach limits.
- BC-1780.10.30Expected Credit Loss EstimationProduce forward-looking expected credit loss estimates by scenario, and by stage where the accounting standard requires it, that feed loan loss provisions in the accounts.
- BC-1780.10.40Counterparty Exposure MeasurementMeasure current and potential future exposure to trading and financing counterparties, net of collateral and netting agreements.