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Incremental Risk Charge (IRC) Calculation

The incremental risk charge (IRC) is a regulatory requirement from the Basel Committee in response to the financial crisis. It measures default and credit migration risk at a 99.9% confidence level over a one-year capital horizon. This presentation describes methodology and implementation details of IRC. You can find more information at http://www.finpricing.com/paperList.html

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Incremental Risk Charge (IRC) Tom Mills FinPricing http: //finpricing

Incremental Risk Charge (IRC) Tom Mills FinPricing http: //www.finpricing.com. IRC. Summary Market Risk Types IRC Definition IRC Scope IRC Main Features Default and Migration Simulation Constant level of risk Implementation. IRC. Market Risk Types General market risk

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139 views • 12 slides

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3 months liquidity horizon - PowerPoint PPT Presentation

Incremental Risk Charge (IRC) Calculation

Incremental Risk Charge (IRC) Tom Mills FinPricing http: //finpricing