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: | Bonollo Michele, Persio Luca Di, Prezioso Luca |
---|---|
Format: | Article |
Language: | English |
Published: |
De Gruyter
2018-12-01
|
Series: | Dependence Modeling |
Subjects: | |
Online Access: | https://doi.org/10.1515/demo-2018-0018 |
Similar Items
-
High-accuracy numerical scheme for solving the space-time fractional advection-diffusion equation with convergence analysis
by: Y. Esmaeelzade Aghdam, et al.
Published: (2022-01-01) -
An effective approach to solve a system fractional differential equations
by: H. Jafari, et al.
Published: (2020-10-01) -
Dependent defaults and losses with factor copula models
by: Ackerer Damien, et al.
Published: (2017-12-01) -
Calibration and simulation of Heston model
by: Mrázek Milan, et al.
Published: (2017-05-01) -
Efficient exponential timestepping algorithm using control variate technique for simulating a functional of exit time of one-dimensional Brownian diffusion with applications in finance
by: Hasan Alzubaidi
Published: (2020-07-01)