Varotto, Simone - In: International Journal of Managerial Finance 7 (2011) April, pp. 134-152
Purpose – The purpose of this paper is to investigate the relationship between liquidity and credit risk, and employ … the findings to estimate the Incremental Risk Charge (IRC), the new credit risk capital add-on introduced by the Basel … findings show that, although the (incremental) credit risk in the trading book may be considerable, the capital needed to …