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Probability of default, low default portfolio, most prudent estimation, confidence bound
Sharpe Ratio, Value-at-Risk (VaR), Conditional Value-at-Risk (CVaR), linear regression, quadratic regression.
Regulatory capital charge, loss given default (LGD)
Backtesting; Capital Allocation; Coherence; Diversification; Elicitability; Expected Shortfall; Expectile; Forecasts; Probability Integral Transform (PIT); Risk Measure; Risk Management; Robustnes; Value-at-Risk
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backtesting, capital allocation, coherence, diversification, conditional elicitability, risk measures
risk contribution, multi-factor model, diversification index
Probability of default (PD), rating prediction, benchmarking, external rating
Transfer risk, PD estimation, conditional probability, Basel II
probability of default, calibration, likelihood ratio, Bayes' formula, rating profile, binary classification
Capital allocation, kernel estimation, importance sampling
Low default portfolio, probability of default, upper confidence bound, Bayesian estimator
Loss Given Default, regulatory capital requirements, Foundation Internal Ratings Based Approach
Covered bonds, expected loss, asset value distribution, quantile, expected shortfall, method of moments, two-parameter distribution family
Multivariate hypergeometric distribution, number of partitions, Poisson approximation, Panjer recursion, lottery bonds
Credit rating, rating override, discriminatory power, accuracy ratio, misclassification rate
Risk concentration, stress test, scenario analysis, joint default probability
