Modeling the Default Risk Charge Using the Intensity Model

The Fundamental Review of the Trading Book proposes to replace the incremental risk charge (IRC) with a default risk charge (DRC). Badreddine Slime describes what the switch to the DRC entails and explains its potential impact on model risk.

November 29, 2021

BylawsCode of ConductPrivacy NoticeTerms of Use © 2021 Global Association of Risk Professionals