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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

    Downloads

    Item Name: pdf irc-9.pdf
      Download View in browser
    Activity: Downloads: 55

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