The Default Risk Charge approach to regulatory risk measurement processes
In the present paper we consider the Default Risk Charge (DRC) measure as an effective alternative to the Incremental Risk Charge (IRC) one, proposing its implementation by a quasi exhaustive-heuristic algorithm to determine the minimum capital requested to a bank facing the market risk associated t...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
De Gruyter
2018-12-01
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| Series: | Dependence Modeling |
| Subjects: | |
| Online Access: | https://doi.org/10.1515/demo-2018-0018 |