Credit Risk Glossary

A

• acceptance for settlement in Credit Risk
• access criteria in Credit Risk
• advisory netting in Credit Risk
• affiliate in Credit Risk
• aggregator/payment aggregator) in Credit Risk
• Altman Z-Score in Credit Risk
• Asset-Backed Security (ABS) in Credit Risk
• authentication in Credit Risk
• authorisation (of a transaction) in Credit Risk

B

• backtesting in Credit Risk
• Basel Accord in Credit Risk
• Basics of Credit Rating in Credit Risk
• Basics of Credit Scoring in Credit Risk
• batch settlement in Credit Risk
• beneficial owner in Credit Risk
• bilateral netting in Credit Risk
• book entry in Credit Risk
• book-entry system in Credit Risk
• business continuity in Credit Risk
• Business Cycle Risk in Credit Risk

C

• Calculation of Risk in Credit Risk
• caps in Credit Risk
• central bank money in Credit Risk
• central counterparty (CCP) in Credit Risk
• central securities depository (CSD) in Credit Risk
• certificate in Credit Risk
• choice of law in Credit Risk
• clearing fund in Credit Risk
• clearing house in Credit Risk
• clearing in Credit Risk
• close out in Credit Risk
• close-out horizon in Credit Risk
• close-out period in Credit Risk
• collateral arrangement in Credit Risk
• collateral concentration limit in Credit Risk
• collateral in Credit Risk
• collateral liquidation/collateral enforcement in Credit Risk
• collateral management service in Credit Risk
• collateral mismatch in Credit Risk
• Collateralized Debt Obligation (CDO) in Credit Risk
• Collaterals and Covenants in Credit Risk
• commercial bank money in Credit Risk
• committed facilities in Credit Risk
• confirmation in Credit Risk
• conflict of laws in Credit Risk
• cooperative arrangement in Credit Risk
• counterparty credit limits in Credit Risk
• counterparty in Credit Risk
• Counterparty Risk in Credit Risk
• Credit Assessment Methods in Credit Risk
• Credit Bureau in Credit Risk
• credit cap in Credit Risk
• Credit Enhancement in Credit Risk
• credit limit in Credit Risk
• Credit Portfolio Fundamentals in Credit Risk
• Credit Risk Basics in Credit Risk
• Credit Risk Diversification in Credit Risk
• credit risk in Credit Risk
• Credit Risks in Project Finance in Credit Risk
• Credit Risks in Working Capital in Credit Risk
• Credit Score in Credit Risk
• critical service providers (CSP) in Credit Risk
• cross-border collateral in Credit Risk
• cross-border netting scheme in Credit Risk
• cross-border payment in Credit Risk
• cross-border settlement in Credit Risk
• cross-margining agreement in Credit Risk
• cross-margining arrangement in Credit Risk
• current exposure in Credit Risk
• custodian in Credit Risk
• custody in Credit Risk
• custody risk in Credit Risk
• cut-off time (for an FMI) in Credit Risk

D

• debit balance in Credit Risk
• debit caps in Credit Risk
• Debt Service Coverage Ratio (DSCR) in Credit Risk
• Debt-to-Equity Ratio in Credit Risk
• default fund in Credit Risk
• Default in Credit Risk
• default waterfall in Credit Risk
• defaulter pays approach in Credit Risk
• deferred net settlement (DNS) in Credit Risk
• delivery versus delivery (DvD) in Credit Risk
• delivery versus payment (DvP) in Credit Risk
• dematerialisation in Credit Risk
• derivative in Credit Risk
• direct holding system in Credit Risk
• direct participant (in an FMI) in Credit Risk
• DvP model 1 in Credit Risk
• DvP model 2 in Credit Risk
• DvP model 3 in Credit Risk

E

• end user (payment services) in Credit Risk
• Essentials of Credit Risk Analysis in Credit Risk
• Evaluating the Credit Decision in Credit Risk
• exchange-of-value settlement system in Credit Risk
• exit criteria (of an FMI) in Credit Risk
• Exogenous Risk in Credit Risk
• Expected Credit Loss (ECL) in Credit Risk
• Expected Loss (EL) in Credit Risk
• Exposure at Default (EAD) in Credit Risk
• Exposure at Default in Credit Risk
• Exposures in Credit Risk

F

• failed transaction in Credit Risk
• fellow-customer risk in Credit Risk
• final settlement in Credit Risk
• Financial Distress in Credit Risk
• financial market infrastructure (FMI) in Credit Risk
• financial resources (of an FMI) in Credit Risk
• Firm Risks to Portfolio Risks and Capital Adequacy in Credit Risk
• foreign collateral in Credit Risk
• Forward Curve in Credit Risk
• free of payment (FoP) in Credit Risk
• free of transfer (FoT) in Credit Risk
• Funding Liquidity Risk in Credit Risk
• funds settlement in Credit Risk
• funds transfer system (FTS) in Credit Risk

G

• general business risk in Credit Risk
• Global Credit Crisis in Credit Risk
• global custodian agent in Credit Risk
• global custodian in Credit Risk
• global note in Credit Risk
• governance in Credit Risk
• Gross Domestic Product (GDP) in Credit Risk
• gross settlement in Credit Risk
• gross settlement system in Credit Risk

H

• Haircut in Credit Risk
• Historical Data in Credit Risk
• Holding Period Return (HPR) in Credit Risk
• hybrid system in Credit Risk

I

• immobilisation in Credit Risk
• indirect holding system in Credit Risk
• indirect participant (in an FMI) in Credit Risk
• individual account in Credit Risk
• Inflation Risk in Credit Risk
• initial margin in Credit Risk
• interdependency in Credit Risk
• Interest Rate Risk in Credit Risk
• Internal Rating in Credit Risk
• international central securities depository (ICSD) in Credit Risk
• interoperability in Credit Risk
• intraday liquidity in Credit Risk
• investment risk in Credit Risk
• investor CSD in Credit Risk
• issuer CSD in Credit Risk

J

• J-Curve Effect in Credit Risk
• Joint and Several Liability in Credit Risk
• Jump-To-Default Risk in Credit Risk

K

• Key Performance Indicators (KPIs) in Credit Risk
• Key Rate Duration in Credit Risk
• Key Risk Indicators (KRIs) in Credit Risk

L

• large-value payment system (LVPS) in Credit Risk
• legal ownership in Credit Risk
• legal risk in Credit Risk
• Leverage Ratio in Credit Risk
• link (FMI links) in Credit Risk
• liquidation period in Credit Risk
• Liquidity Coverage Ratio (LCR) in Credit Risk
• liquidity facility in Credit Risk
• liquidity risk in Credit Risk
• liquidity saving features in Credit Risk
• liquidity saving mechanisms in Credit Risk
• Loss Given Default (LGD) in Credit Risk
• Loss Given Default in Credit Risk
• loss-sharing arrangement (for an FMI) in Credit Risk
• loss-sharing rule in Credit Risk

M

• Major Portfolio Risks in Credit Risk
• Managing Risk in Credit Risk
• Margin Call in Credit Risk
• margin in Credit Risk
• mark to market in Credit Risk
• Mark-to-Market in Credit Risk
• master agreement in Credit Risk
• model risk in Credit Risk
• money settlement in Credit Risk
• Moody’s Investor Service in Credit Risk
• multilateral netting in Credit Risk

N

• Negative Covenant in Credit Risk
• net credit (or debit) position in Credit Risk
• Net Present Value (NPV) in Credit Risk
• net settlement system in Credit Risk
• netting in Credit Risk
• Non-Performing Loan (NPL) in Credit Risk
• novation in Credit Risk

O

• offshore system in Credit Risk
• omnibus account in Credit Risk
• open offer in Credit Risk
• open position in Credit Risk
• Operational Risk in Credit Risk
• Option-Adjusted Spread (OAS) in Credit Risk
• Overcollateralization in Credit Risk
• overnight credit (overnight money) in Credit Risk
• oversight in Credit Risk

P

• participant link (between CCPs) in Credit Risk
• payment (funds transfer) in Credit Risk
• payment netting in Credit Risk
• payment order (instruction) message in Credit Risk
• payment system in Credit Risk
• payment versus payment (PvP) in Credit Risk
• peer-to-peer link (between CCPs) in Credit Risk
• physical delivery in Credit Risk
• pledge in Credit Risk
• portability in Credit Risk
• Portfolio in Credit Risk
• portfolio margining in Credit Risk
• position netting in Credit Risk
• potential future exposure in Credit Risk
• pre-settlement risk in Credit Risk
• prefunded default arrangement in Credit Risk
• Pricing Basics in Credit Risk
• Pricing Methods in Credit Risk
• Principal At Risk (PAR) in Credit Risk
• principal risk in Credit Risk
• Probability of Default (PD) in Credit Risk
• Probability of Default (PD) Model in Credit Risk
• Probability of Default in Credit Risk
• procyclicality in Credit Risk
• provisional transfer in Credit Risk

Q

• Quality of Collateral in Credit Risk
• Quantitative Analysis in Credit Risk
• Quick Ratio in Credit Risk

R

• Rating terminology in Credit Risk
• re-hypothecation in Credit Risk
• real-time gross settlement (RTGS) in Credit Risk
• reconciliation in Credit Risk
• recovery (of an FMI) in Credit Risk
• Recovery Rate in Credit Risk
• Recovery Risk in Credit Risk
• replacement cost in Credit Risk
• replacement-cost risk in Credit Risk
• repurchase agreement (repo) in Credit Risk
• retail payment system in Credit Risk
• reuse of collateral in Credit Risk
• reverse repo in Credit Risk
• reverse stress testing in Credit Risk
• Risk-Adjusted Return on Capital (RAROC) in Credit Risk
• rolling settlement in Credit Risk

S

• Scoring at Different Customer Stages in Credit Risk
• Securities in Credit Risk
• securities registrar in Credit Risk
• securities settlement system (SSS) in Credit Risk
• Securitization in Credit Risk
• segregated individual account in Credit Risk
• segregation in Credit Risk
• sender limit in Credit Risk
• settlement agent in Credit Risk
• settlement asset in Credit Risk
• settlement bank in Credit Risk
• settlement cycle in Credit Risk
• settlement fail in Credit Risk
• settlement in Credit Risk
• settlement lag (payment lag) in Credit Risk
• settlement obligation in Credit Risk
• settlement risk in Credit Risk
• settlement system in Credit Risk
• single point of failure in Credit Risk
• specific wrong-way risk in Credit Risk
• Spread Risk in Credit Risk
• straight through processing (STP) in Credit Risk
• Stress Testing in Credit Risk
• substitution in Credit Risk
• survivors pay in Credit Risk
• systemic disruption in Credit Risk
• systemic risk in Credit Risk
• systemically important payment system (SIPS) in Credit Risk

T

• Term Structure of Credit Spreads in Credit Risk
• The First Pillar-Minimum Capital Requirements in Credit Risk
• The Second Pillar-Supervisory Review Process in Credit Risk
• The Third Pillar-Market Discipline. in Credit Risk
• third-party service provider to an FMI in Credit Risk
• tiered participation arrangement in Credit Risk
• Time to Default (TTD) in Credit Risk
• Trade Credit Insurance in Credit Risk
• trade repository (TR) in Credit Risk
• Trading of Credit Assets in Credit Risk
• transfer in Credit Risk

U

• Understanding Financial Statements in Credit Risk
• Underwriting Standards in Credit Risk
• Unsecured Debt in Credit Risk
• Unsystematic Risk in Credit Risk
• unwind in Credit Risk

V

• value date in Credit Risk
• Value-at-Risk (VaR) in Credit Risk
• Value-in-Use (VIU) in Credit Risk
• variation margin in Credit Risk
• Volatility Risk in Credit Risk

W

• waterfall in Credit Risk
• Weighted Average Rating Factor (WARF) in Credit Risk
• wind down in Credit Risk
• Working Capital in Credit Risk
• Write-Down in Credit Risk

X

• X-Value Adjustment (XVA) in Credit Risk

Y

• Yield Curve in Credit Risk
• Yield Spread in Credit Risk
• Yield-to-Maturity (YTM) in Credit Risk

Z

• Z-Score in Credit Risk
• Z-Spread in Credit Risk
• zero hour rule in Credit Risk
• Zero-Coupon Bond in Credit Risk