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• Incremental Risk Charge (IRC) Introduction

  Author(s):

  Tim Xiao (see profile)

  Date:

  2020

  Group(s):

  Business Management

  Subject(s):

  Economics

  Item Type:

  Presentation

  Tag(s):

  Incremental risk charge, IRC, default risk, credit migration risk, constant level of risk, liquidity horizon

  Search term matches:

  Tag

  ... constant level of risk ...

  Full Text

  ... ◆ IRC Main Features ◆ Default and Migration Simulation ◆ Constant level of risk ◆ Implementation IRC ...

  
  

• Incremental Risk Charge Methodology

  Author(s):

  Tim Xiao (see profile)

  Date:

  2020

  Group(s):

  Business Management

  Subject(s):

  Economics

  Item Type:

  Article

  Tag(s):

  incremental risk charge, liquidity risk, risk management, capital charge, constant level of risk

  Search term matches:

  Tag

  ... constant level of risk ...

  Full Text

  ... is the random draws based on the constant level of risk assumption. It convolutes the copies of the single ...

  
  

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