120. CSRBB captures a combination of two elements: (a) The chang es of the “market credit spread” …

CSRBB captures a combination of two elements:

• (a) The chang es of the “market credit spread” or “market price of credit risk” ( distinct from the idiosyncratic credit spread)¹⁴ representing the credit risk premium required by market participants for a given credit quality;¹⁵
• (b) The changes of the “market liquidity spread” representing the liquidity premium that sparks market appetite for investments and presence of willing buyers and sellers;

¹⁴ Idiosyncratic credit spread reflects the specific credit risk associated with the credit quality of the individual borrower (which will also reflect assessments of risks arising from the sector and geographical location of the borrower) and the specifics of the credit instrument (e.g., whether a bond or a derivative).

¹⁵ For instance, the additional yield that a debt instrument issued by an AA-rated entity must produce over a risk-free alternative.

1. Áttekintés

1.1 Hivatkozások

1.2 Azonosított követelmények

1.3 Kapcsolódó szabványok

2. Azonosított követelmények

3. Kapcsolódó szabványok

• EBA -

  EN: Guidelines and other publications of the European Banking Authority (EBA), https://www.eba.europa.eu/. © European Banking Authority. Reproduction is authorised provided the source is acknowledged (EBA legal notice). Divided into sections and converted into the GRCA format, the wording unchanged. Only the versions published by the EBA are authoritative.

  DE: Leitlinien und weitere Veröffentlichungen der Europäischen Bankenaufsichtsbehörde (EBA), https://www.eba.europa.eu/. © European Banking Authority. Wiedergabe mit Quellenangabe gestattet (Rechtlicher Hinweis der EBA). In Abschnitte aufgeteilt und in das GRCA-Format umgewandelt, der Wortlaut unverändert. Maßgeblich sind allein die von der EBA veröffentlichten Fassungen.