سنجش ریسک اعتباری (Credit Risk Measurement)
تعریف
ریسک اعتباری از طریق رتبه‌بندی اعتباری، مقدار سرمایه مقرراتی و داخلی مورد نیاز برای پوشش این ریسک و سنجه‌های اعتباری کلیدی اندازه‌گیری می‌شود. در رویکرد استاندارد، ریسک اعتباری یا از طریق وزن‌های ریسکی ثابت از قبل تعیین‌شده توسط مقررات‌گذار و یا با بکارگیری رتبه‌بندی‌های بیرونی اندازه‌گیری می‌شود.
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English Definition 1. Credit risk is measured by credit rating, regulatory and internal capital demand and key credit metrics. The standardized approach measures credit risk either pursuant to fixed risk weights, which are predefined by the regulator, or through the application of external ratings.
English Definition 2. The purpose of the credit risk measurement is the quantification of potential losses from credit operation. The amount of losses is never known with certainty therefore it is necessary to estimate it. There are two basic approaches to define credit losses and thus to quantify the credit risk; The methods based on the absolute position in Credit risk & The methods based on the expected rate of default on credit claims.
English Definition 3. The development of credit risk measurement models has two dimensions. The first dimension is the establishment of credit risk rating models, and the second is the development of techniques for measuring potential loss on the bank's total credit exposure.
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- English Definition 1. Credit risk is measured by credit rating, regulatory and internal capital demand and key credit metrics. The standardized approach measures credit risk either pursuant to fixed risk weights, which are predefined by the regulator, or through the application of external ratings. Reference address 1. https://annualreport.deutsche-bank.com/2016/ar/risk-report/risk-and-capital-management/credit-risk-management/measuring-credit-risk.html English Definition 2. The purpose of the credit risk measurement is the quantification of potential losses from credit operation. The amount of losses is never known with certainty therefore it is necessary to estimate it. There are two basic approaches to define credit losses and thus to quantify the credit risk; The methods based on the absolute position in Credit risk & The methods based on the expected rate of default on credit claims. Reference address 2. Erika Spuchľáková, Katarína Valašková & Peter Adamko (2015), The Credit Risk and its Measurement, Hedging and Monitoring, Procedia Economics and Finance Volume 24, 2015, Pages 675-681 English Definition 3. The development of credit risk measurement models has two dimensions. The first dimension is the establishment of credit risk rating models, and the second is the development of techniques for measuring potential loss on the bank's total credit exposure. Reference address 3. Managing Risks in Commercial and Retail Banking by AMALENDU GHOSH in https://www.oreilly.com
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