125. Competent authorities should assess credit risk arising from all non-trading book exposures …

Competent authorities should assess credit risk arising from all non-trading book exposures (including off balance sheet items). They should also assess the counterparty credit risk and the settlement risk that could fall under both non-trading and trading books. In order to perform such assessment, competent authorities should consider all the components that determine potential credit losses, and in particular:

• a. the probability of a credit event (i.e. default), or correlated credit events, that mainly concerns the borrowers and their ability to repay relevant obligations;
• b. the size of exposures subject to credit risk;
• c. the recovery rate of the credit exposures in the event of borrowers defaulting.

1. Oversigt

1.1 Referencer

1.2 Identificerede krav

1.3 Relaterede standarder

2. Identificerede krav

3. Relaterede standarder

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