The last regulation of the Fundamental Review of the Trading Book (FRTB) proposed to replace the Incremental Risk Charge (IRC) with the Default Risk Charge (DRC). Since, many studies were implemented to give the adequate model and the impact of this change. As we know in the modeling area, we...

In the last regulation for the minimum capital market risk requirements, Fundamental Review of the Trading Book (FRTB), one of the major changes is replacing the Incremental Risk Charge (IRC) with the Default Risk Charge (DRC). The DRC measures only the default and it does not take account of...