Incremental Risk Charge (IRC) Introduction
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17.01.2021
Co-author
Affiliation
BMO
Main category
Social Sciences (Economics)
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.
Further information
Further reading
Language
English
DOI
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