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IRC and CRM : modelling framework for the "Basel 2.5" risk measures

Wilkens, Sascha; Brunac, Jean-Baptiste; Chorniy, Vladimir - In: European financial management : the journal of the … 19 (2013) 4, pp. 801-829

Persistent link: https://www.econbiz.de/10010237356

Default Risk Charge : Modeling Framework for the 'Basel' Risk Measure

Wilkens, Sascha - 2017

Revised standards for capital requirements for market risks in a bank's trading book have been issued as a result of the Fundamental Review of the Trading Book. Under the new standards, default risk needs to be measured and capitalized through a dedicated Default Risk Charge (DRC). While...

Persistent link: https://www.econbiz.de/10012971306

Default risk charge : modeling framework for the "Basel" risk measure

Wilkens, Sascha; Pedescu, Mirela - In: Journal of risk 19 (2016/2017) 4, pp. 23-50

Persistent link: https://www.econbiz.de/10011710248

Model risk in the Fundamental Review of the Trading Book : the case of the Default Risk Charge

Wilkens, Sascha; Predescu, Mirela - In: The journal of risk model validation 12 (2018) 4, pp. 41-67

Persistent link: https://www.econbiz.de/10011992266

IRC and CRM : Modelling Framework for the 'Basel 2.5' Risk Measures

Wilkens, Sascha; Brunac, Jean-Baptiste; Chorniy, Vladimir - 2023

This paper presents a modelling framework for the Incremental Risk Charge (IRC) and Comprehensive Risk Measure (CRM) as the new capital requirements for market risks in a bank’s trading book ("Basel 2.5"). Both are Value-at-Risk-type measures projecting losses over a one-year capital horizon...

Persistent link: https://www.econbiz.de/10014257295