Modeling the Default Risk Charge Using the Intensity Model

December 20, 2018

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.

BylawsCode of ConductPrivacy NoticeTerms of Use © 2024 Global Association of Risk Professionals