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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
Search term matches:
Tag
...
constant
level
of
risk
...
Full Text
... ◆ IRC Main Features ◆ Default and Migration Simulation ◆
Constant
level
of
risk
◆ Implementation IRC ...
Incremental Risk Charge Methodology
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Article
Tag(s):
incremental risk charge
,
liquidity risk
,
risk management
,
capital charge
,
constant level of risk
Search term matches:
Tag
...
constant
level
of
risk
...
Full Text
... is the random draws based on the
constant
level
of
risk
assumption. It convolutes the copies of the single ...
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