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incremental-risk-charge

  1. Nicole Seaman

    P2.T7.20.9. Solvency, liquidity and other regulation after the global financial crisis (1of 2)

    Learning objectives: Describe and calculate the stressed VaR introduced in Basel 2.5 and calculate the market risk capital charge. Explain the process of calculating the incremental risk capital charge for positions held in a bank’s trading book. Describe the comprehensive risk (CR) capital...
  2. Nicole Seaman

    P2.T7.520. Basel 2.5 with stressed VaR, IRC and CRM (Hull)

    Learning outcomes: Describe and calculate the stressed value-at-risk measure introduced in Basel 2.5, and calculate the market risk capital charge. Explain the process of calculating the incremental risk capital charge for positions held in a bank’s trading book. Describe the comprehensive risk...
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