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Homeen-gbModel risk in the Fundamental Review of the Trading Book: the case of the Default Risk ChargeThis paper assesses the model risk associated with the copula choice for the calculation of the Default Risk Charge (DRC) measure.
https://www.risk.net/journal-of-risk-model-validation/5465841/model-risk-in-the-fundamental-review-of-the-trading-book-the-case-of-the-default-risk-charge
https://www.risk.net/journal-of-risk-model-validation/5465841/model-risk-in-the-fundamental-review-of-the-trading-book-the-case-of-the-default-risk-charge
Thu, 22 Mar 2018 10:06:53 +0000 Default risk charge: modeling framework for the “Basel” risk measureThis paper presents a comprehensive model framework for DRC that is compliant with the revised Basel regulatory framework.
https://www.risk.net/journal-of-risk/4562696/default-risk-charge-modeling-framework-for-the-basel-risk-measure
https://www.risk.net/journal-of-risk/4562696/default-risk-charge-modeling-framework-for-the-basel-risk-measure
Thu, 30 Mar 2017 12:44:10 +0100