The bank capital burden

p16-horse-jpg

The incremental risk charge (IRC) has been a long time coming. The idea to create an incremental default risk charge was first proposed in 2005, with the aim of imposing an explicit charge for default risk on assets held in bank trading books - a risk not captured by value-at-risk models. Then the credit crisis struck. Waves of bank losses from risks other than actual default caused the Basel Committee on Banking Supervision to consider expanding its scope. In July 2008, the IRC was introduced t

To continue reading...

You must be signed in to use this feature.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: