10.5281/ZENODO.4025374
Alex Yang
RBC
Incremental Risk Charge (IRC) Introduction
Zenodo
2020
Incremental risk charge, IRC, default risk, credit migration risk, constant level of risk, liquidity horizon, risk concentration.
2020-09-11
en
Presentation
https://zenodo.org/record/4025375
10.5281/zenodo.4025375
https://ia601401.us.archive.org/13/items/irc-9/irc-9.pdf
Creative Commons Attribution 4.0 International
Open Access
<p>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 <strong>99.9%</strong> confidence level over a <strong>one-year</strong> capital horizon.</p>
https://ia601401.us.archive.org/13/items/irc-9/irc-9.pdf