Skoglund, Jimmy; Chen, Wei - Volkswirtschaftliche Fakultät, … - 2010
The recent incremental risk charge addition to the Basel (1996) market risk amend- ment requires banks to estimate … incremental risk charge for credit risk. In contrast to Basel II models for the banking book no model is prescribed and banks can … use internal models for calculating the incremental risk charge. In the calculation of incremental risk charges a key …