• Credit risk is the risk of economic loss from default or changes in credit
• Types of credit risky securities include: corporate and sovereign debt,
credit derivatives, and
structured credit products. Their interest rates include a credit spread
above credit risk-free securities.
Comprised of the (very high quality) liquid assets and credit facilities that
are meant to satisfy general liabilities in stressed situations.
Contingent liquidity is estimated using the liquid asset buffer, which
includes assets that typically have little or no credit and market risk, are
easy to value, and are actively traded. The stressed liquidity asset buffer is
estimated as: (normal) liquidity asset buffer–stressed cash outflows + stressed
Net Interest Margin (NIM)：
Measure of bank performance: (interest income–interest expense) / bank assets
that earn income
Interest-Sensitive (IS) Gap：
Meaure of interest rate risk: interest-sensitive assets–interest-sensitive