Category:Credit risk

• Credit risk

A

• Advanced IRB
• Altman Z-score

B

• Bond credit rating

C

• Chan–Karolyi–Longstaff–Sanders process
• Concentration risk
• Constant maturity credit default swap
• Consumer credit risk
• Contingent convertible bond
• Counterparty credit risk
• Credibility theory
• Credit analysis
• Credit conversion factor
• Credit default option
• Credit default risk
• Credit default swap
• Credit derivative
• Credit event
• Credit Exposure
• Credit reference
• Credit spread (bond)
• Credit spread curve
• Credit valuation adjustment
• Credit-linked note
• CS01
• Current exposure method

D

• Default (finance)

E

• Expected loss
• Exposure at default

F

• FASB 133
• Foundation IRB

H

• Hazard function
• Hazard rate
• High-yield debt

I

• IAS 39
• IFRS 9
• Impairment (financial reporting)
• Infection ratio
• Internal ratings-based approach (credit risk)
• ITraxx

J

• Jarrow–Turnbull model
• The Journal of Credit Risk

K

• KMV model

L

• Libor-OIS spread
• Loan credit default swap index
• Loss given default

M

• Margin (finance)
• Margin at risk
• Margining risk
• Merton model

O

• Ohlson O-score

P

• PAUG
• Potential future exposure
• Probability of default

R

• Recovery swap
• Redlining
• Refinancing risk
• Risk-weighted asset

S

• Securitization
• Standardised method (credit risk)
• Standardized approach (counterparty credit risk)
• Standardized approach (credit risk)
• Swap spread

T

• Total return swap

V

• Value at risk

W

• Wrong way risk

X

• XVA

Y

• Yield spread

Z

• Z-spread