Transcription of Incremental Risk Capital (IRC) and Comprehensive …
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Incremental Risk Capital (IRC) and Comprehensive …
Group Risk ManagementRisk IM Incremental Risk Capital (IRC) and Comprehensive Risk measure (CRM):Modelling Challenges in a Bank-wide SystemJean-Baptiste BrunacBNP Paribas Risk Methodology and AnalyticsEIFR February 2012 GRM Risk IM22 Outline New Capital charges on trading books: Overview IRC and CRM: Definition IRC: Calculation Modelling default and migration Selected examples CRM: Calculation Additional risk factors for credit correlation products Modelling choices Selected examples Backtesting feasibility Industry and regulator views Conclusion and outlookGRM Risk IM33 New Capital charges on trading books: Overview (I) With internal models missing major market (and credit) risks during the recent financial crisis, the Basel Committee has suggested new Capital charges for trading books Targeted shortcomings
Group Risk Management Risk – IM Incremental Risk Capital (IRC) and Comprehensive Risk Measure (CRM): ModellingChallenges in a Bank-wide System
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