Modeling the Default Risk Charge Using the Intensity Model
December 20, 2018
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.
•Bylaws •Code of Conduct •Privacy Notice •Terms of Use © 2022 Global Association of Risk Professionals