{
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"url": "https://zenodo.org/record/4025374",
"additionalType": "Presentation",
"name": "Incremental Risk Charge (IRC) Introduction",
"author": {
"name": "Alex Yang",
"givenName": "Alex",
"familyName": "Yang",
"affiliation": {
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"name": "RBC"
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"description": "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.",
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"version": "https://ia601401.us.archive.org/13/items/irc-9/irc-9.pdf",
"keywords": "Incremental risk charge, IRC, default risk, credit migration risk, constant level of risk, liquidity horizon, risk concentration.",
"inLanguage": "en",
"datePublished": "2020-09-11",
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