Definicja risk differentiation

Function that helps banks to meet the requirements of Basel II that stipulate that separate capital charge amounts are to be calculated for each category of risk inherent in a transaction (for example, default risk, special market risk, direct settlement risk, third-party settlement risk, dilution risk, and residual value risk).

Risk differentiation assigns the relevant risk categories and results factors to a risk asset, and adjusts any collateral relationships that may exist according to the risk categories found.