Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/201810 
Autor:innen: 
Erscheinungsjahr: 
2019
Verlag: 
ZBW – Leibniz Information Centre for Economics, Kiel, Hamburg
Zusammenfassung: 
The incremental risk charge (IRC) is a new regulatory requirement from the Basel Committee in response to the recent financial crisis. Notably few models for IRC have been developed in the literature. This paper proposes a methodology consisting of two Monte Carlo simulations. The first Monte Carlo simulation simulates default, migration, and concentration in an integrated way. Combining with full re-valuation, the loss distribution at the first liquidity horizon for a subportfolio can be generated. The second Monte Carlo simulation is the random draws based on the constant level of risk assumption. It convolutes the copies of the single loss distribution to produce one year loss distribution. The aggregation of different subportfolios with different liquidity horizons is addressed. Moreover, the methodology for equity is also included, even though it is optional in IRC.
Schlagwörter: 
Incremental risk charge (IRC)
constant level of risk,
liquidity horizon
constant loss distribution
Merton-type model
concentration
JEL: 
E44
G21
G24
G32
G33
G18
G28
Dokumentart: 
Working Paper

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