The incremental risk charge (IRC) is a new regulatory requirement from the Basel Committee in response to the recent …

As part of Basel II's incremental risk charge (IRC) methodology, this paper summarizes our extensive investigations of …

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 …