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Incremental Risk Charge (IRC) Introduction
- Author(s):
- Tim Xiao (see profile)
- Date:
- 2020
- Group(s):
- Business Management
- Subject(s):
- Economics
- Item Type:
- Presentation
- Tag(s):
- Incremental risk charge, IRC, default risk, credit migration risk, constant level of risk, liquidity horizon
- Permanent URL:
- http://dx.doi.org/10.17613/1nx1-9363
- Abstract:
- The incremental risk charge (IRC) is a regulatory requirement from the Basel Committee in response to the financial crisis. It supplements existing Value-at-Risk (VaR) and captures the loss due to default and migration events at a 99.9% confidence level over a one-year capital horizon.
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 3 years ago
- License:
- All-Rights-Granted
irc-9.pdf