Any one of a specified set of events (for example bankruptcy, moratorium, restructuring) that, if occurring with respect to an obligation, will trigger contingent payments.

A total value of exposure that a bank is exposed to at the time of default

an insurance policy that compensates in the event that a party defaults

The line of credit or credit scale is the financial framework, to which a bank promised the borrower to give him a loan. A credit line is a so-called revolving credit, he can be used again after reclaiming in the meantime until maturity or until termination.

the extent to which the credit quality of an obligor or counterparty improves or deteriorates

An assessment of the credit worthiness of a borrower in general terms or with respect to a particular debt or financial obligation. A credit rating can be assigned to any entity that seeks to borrow money – an individual, corporation, state or provincial authority, or sovereign government. Credit assessment and evaluation for companies and governments is generally done by a credit rating agency such as Standard & Poor’s or Moody’s.

The counterparty (borrower) are classified according to their probability of default in homogeneous groups of customers (= with similar damage progression).

the risk of a bank or other entity to lose money due to the default of its counterparty

the process of determining the extent of credit risk inherent in a financial instrument or portfolio

Banks must have independent credit control units that are responsible for the design or selection, implementation and performance of their internal rating systems. The unit(s) must be functionally independent from the personnel and management functions responsible for originating exposures.

a system used by lenders to calculate the statistical probability that a loan they grant will be repaid

The difference in yield between two instruments of similar maturity and duration. The credit spread is often quoted as a spread to a benchmark floating-rate index such as Libor and used as a measure of relative creditworthiness.

The VaR of a loan portfolio is called credit value at risk.

a security with redemption and/or coupon payments linked to the occurrence of a credit event with respect to a specified reference entity

An entity (person or institution) that extends credit by giving another entity permission to borrow money if it is paid back at a later date. Creditors can be classified as either "personal" or "real." Real creditors (i.e. a bank or finance company) have legal contracts with the borrower granting the lender the right to claim any of the debtor's real assets (e.g. real estate or car) if he or she fails to pay back the loan.

swap in which the notional amount is exchanged at the beginning and at the end of the term as well as interim interest payments, the main difference to FX-swap is the interim payment of interest. Types:par value swap: initial- and final-transaction are effected at the same rate (usually the spot price at the conclusion of the swap)forward outright swap: the initial transaction is done at the spot rate, the final transaction is done at the forward rate

a clause in a loan or other debt contract that specifies that an entity is in default if it fails to pay another obligation

abbr. Capital Requirements Regulation

abbr. Central Securities Depository

abbr Cheapest-to-Deliver